Reading Vershynin's HDP I: Markov, Chernoff, Hoeffding
A result on the convergence of sample mean and notes on some standard concentration inequalities such as the Markov, Chernoff, Hoeffding, and Chernoff’s bounds
Mathematix
Blog posts on mathematics
Projection on the epigraph of the squared Euclidean norm
How to project on the epigraph of the squared Euclidean norm
Beyond the Kalman Filter II: Moving horizon estimation
Moving horizon estimation
Beyond the Kalman Filter I: Extended Kalman Filter
The extended Kalman filter with an application to position estimation
Projections on epigraphs
How to project on the epigraph of a convex function
The Kalman Filter VIII: QR-based square root form
Square root form of the Kalman filter
The Kalman Filter VII: Recursive maximum a posteriori
We show that the Kalman filter is a recursive maximum a posteriori estimator. This
The Kalman Filter VI: Further examples
Further examples using the Kalman filter in Python
The Kalman Filter V: It's BLUE!
In this post we will show that the Kalman filter is BLUE: a best linear unbiased estimator
The Kalman Filter IV: Application to position estimation
We use the Kalman filter to estimate the position of a vehicle by fusing tachometer and GPS sensor data