Pretty helpful video on Kalman Filter: http://www.bzarg.com/p/how-a-kalman-filter-works-in-pictures/
import numpy as np import matplotlib.pyplot as plt from math import *
from IPython.display import Image from IPython.display import FileLink, FileLink Image(filename='files/week10notes.jpg')
19.1) What is the approximate Kalman gain matrix in the limit of small measurement noise? How is the error matrix updated in this case?