Thu Jul 8 10:11:26 CEST 2010

Predict and Update

If you look at the equations for the Kalman filter[1], it is
remarkable that they are factored in two steps:

  1. predict output using current input, previous state estimate and
     system equations.

  2. update state estimate and noise statistics by observing the real
     (noisy) system output.

[1] http://en.wikipedia.org/wiki/Kalman_filter