A video completed recently provides just enough matrix theory needed for Kalman filtering. It’s available for (1) purchase or 72-hour rent at low cost or (2) free to those attending courses I teach in 2014 or after (because the short durations don’t allow time to cover it). The one-hour presentation is divided into three sections. Each section has a preview, freely viewable.
The first section, with almost NO math, begins by explaining why matrices are needed — and then immediately emphasizes that MATH ALONE IS NOT ENOUGH, To drive home that point, a dramatic illustration was chosen. Complex motions of a satellite, though represented in a MATHEMATICALLY correct way, were not fully understood by its designers nor by the first team of analysts contracted to characterize it. From those motions, shown with amplitudes enlarged (e.g., doubled or possibly more) for easy visualization, it becomes clear why insight is every bit as important as the math.
For some viewers the importance of insight alone will be of sufficient interest with no need for the latter two sections. Others, particularly novices aspiring to be designers, will find the math presentation extremely helpful. Straight to the point for each step where matrices are applied, it is just the type of information I was earnestly seeking years ago, whole “pulling teeth” to extract clarification of ONLY NECESSARY theory without OVER simplification.
The presentation supplies matrix theory prerequisites that will assist aspiring designers in formulating linear(ized) estimation algorithms in block (weighted least squares) or sequential (recursive Kalman/EKF) form. Familiar matrix types (e.g., orthogonal, symmetric), their properties, how they are used — and why they are useful — with interpretation of physical examples, enable important operations both powerful and versatile. An enormous variety of applications involving systems of any order can be solved in terms of familiar expressions we saw as teenagers in college.
Useful for either introduction or review, there is no better way to summarize this material than to repeat one word that matters beyond all else — INSIGHT.