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by alex_be4 hours ago |
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upvoteby magicalhippo3 hours ago|
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I just glossed through for now so might have missed it, but it seemed you pulled the process noise matrix Q out of a hat. I guess it's explained properly in the book but would be nice with some justification for why the entries are what they are.
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upvoteby alex_be2 hours ago|
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To keep the example focused and reasonably short, I treated Q matrix as given and concentrated on building intuition around prediction and update. But you're right that this can feel like it appears out of nowhere.

The derivation of the Q matrix is a separate topic and requires additional assumptions about the motion model and noise characteristics, which would have made the example significantly longer. I cover this topic in detail in the book.

I'll consider adding a brief explanation or reference to make that step clearer. Thanks for pointing this out.

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upvoteby magicalhippo1 hours ago|
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Yeah I understand. I do think a brief explanation would help a lot though. As it sits it's not even entirely clear if the presented matrix is general or highly specific. I can easily see someone just use that as their Q matrix because that's what the Q matrix is, says so right there.
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upvoteby seanhunter2 hours ago|
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Firstly I think the clarity in general is good. The one piece I think you could do with explaining early on is which pieces of what you are describing are the model of the system and which pieces are the Kalman filter. I was following along as you built the markov model of the state matrix etc and then you called those equations the Kalman filter, but I didn't think we had built a Kalman filter yet.

Your early explanation of the filter (as a method for estimating the state of a system under uncertainty) was great but (unless I missed it) when you introduced the equations I wasn't clear that was the filter. I hope that makes sense.

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upvoteby alex_be2 hours ago|
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You’re pointing out a real conceptual issue: where the system model ends and where the Kalman filter begins.

In Kalman filter theory there are two different components:

- The system model

- The Kalman filter (the algorithm)

The state transition and measurement equations belong to the system model. They describe the physics of the system and can vary from one application to another.

The Kalman filter is the algorithm that uses this model to estimate the current state and predict the future state.

I'll consider making that distinction more explicit when introducing the equations. Thanks for pointing this out.

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upvoteby CrazyStat48 minutes ago|
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This reads like chatgpt.
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upvoteby alex_be23 minutes ago|
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The tutorial actually predates ChatGPT by quite a few years (first published in 2017). Today, I do sometimes use ChatGPT to fix grammar, but I am responsible for the content and it is always mine.
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upvoteby matt-attack37 minutes ago|
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You’re right to point this out!
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upvoteby renjimen3 hours ago|
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You lead with "Moreover, it is an optimal algorithm that minimizes state estimation uncertainty." By the end of the tutorial I understood what this meant, but "optimal algorithm" is a vague term I am unfamiliar with (despite using Kalman Filters in my work). It might help to expand on the term briefly before diving into the math, since IIUC it's the key characteristic of the method.
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upvoteby alex_be2 hours ago|
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That's a good point. "Optimal" in this context means that, under the standard assumptions (linear system, Gaussian noise, correct model), the Kalman Filter minimizes the estimation error covariance. In other words, it provides the minimum-variance estimate among all linear unbiased estimators.

You're right that the term can feel vague without that context. I’ll consider adding a short clarification earlier in the introduction to make this clearer before diving into the math. Thanks for the suggestion.

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upvoteby KellyCriterion2 hours ago|
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You could do a line extension of your product, like "Kalman Filter in Financial Markets" and sell additional copies :)
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upvoteby alex_be2 hours ago|
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That's an interesting idea. The Kalman filter is definitely used in finance, often together with time-series models like ARMA. I've been thinking about writing something, although it's a bit outside my usual engineering focus.

The challenge would be to keep it intuitive and accessible without oversimplifying. Still, it could be an interesting direction to explore.

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