I.

E QUATIONS 94, 98, 107,120 AND 125

A. Equation 94
Equation (94) can be simplified as follows considering PnT = Pn .

Kn

= Fn Pn HnT (Hn Pn FnT )T + 2Kn Hn Pn HnT + 2Kn Rn

Fn Pn HnT

(Fn PnT HnT )

+ 2Kn Hn Pn HnT
2Fn Pn HnT + 2Kn Hn Pn HnT + 2Kn Rn
Fn Pn HnT + Kn Hn Pn HnT + Kn Rn

+ 2Kn Rn

=0

(1)

=0
=0
=0

From (1) we get

Kn Hn Pn HnT + Kn Rn

=Fn Pn HnT

Kn (Hn Pn HnT + Rn )

=Fn Pn HnT

(2)

Thus Kalman gain Kn is,

Kn

=Fn Pn HnT Hn Pn HnT + Rn

1

(3)

B. Equation 98
Equation (98) is repeated here for convenience
Pn+1 = Fn Pn FnT Fn Pn HnT [(Hn Pn HnT + Rn )1 ]T Hn Pn FnT

Fn Pn HnT (Hn Pn HnT

Fn Pn HnT (Hn Pn HnT
Fn Pn HnT (Hn Pn HnT

+
+ Qn

+
+
+

(4)

Rn ) Hn Pn FnT
Rn )1 Hn Pn HnT [(Hn Pn HnT + Rn )1 ]T Hn Pn FnT
Rn )1 Rn [(Hn Pn HnT + Rn )1 ]T Hn Pn FnT
1

Now, using symmetry argument, we have

[(Hn Pn HnT + Rn )1 ]T = (Hn Pn HnT + Rn )1

(5)

Substitute (5) in (4), we have

Pn+1 = Fn Pn FnT Fn Pn HnT (Hn Pn HnT + Rn )1 Hn Pn FnT

+
+

Fn Pn HnT (Hn Pn HnT

Fn Pn HnT (Hn Pn HnT
Fn Pn HnT (Hn Pn HnT

+
+
+

(6)

Rn ) Hn Pn FnT
Rn )1 Hn Pn HnT (Hn Pn HnT + Rn )1 Hn Pn FnT
Rn )1 Rn (Hn Pn HnT + Rn )1 Hn Pn FnT
1

+ Qn
Simplifying (6), we have
Pn+1 = Fn Pn FnT 2Fn Pn HnT (Hn Pn HnT + Rn )1 Hn Pn FnT
+
+

Fn Pn HnT (Hn Pn HnT

Fn Pn HnT (Hn Pn HnT

+
+

(7)

Rn ) Hn Pn HnT (Hn Pn HnT + Rn )1 Hn Pn FnT

Rn )1 Rn (Hn Pn HnT + Rn )1 Hn Pn FnT
1

+ Qn
Items in red can be simplified thus,


Fn Pn HnT (Hn Pn HnT + Rn )1


Hn Pn HnT + Rn [(Hn Pn HnT + Rn )1 Hn Pn FnT ]

(8)

Now cancelling terms, we have

Fn Pn HnT (Hn Pn HnT + Rn )1 Hn Pn FnT
Substitute (9) in (7), we have

(9)

Pn+1 = Fn Pn FnT 2Fn Pn HnT (Hn Pn HnT + Rn )1 Hn Pn FnT

+

Fn Pn HnT (Hn Pn HnT

+ Rn )

(10)

Hn Pn FnT

+ Qn
From (10) we get (11).
Pn+1 = Fn Pn FnT Fn Pn HnT (Hn Pn HnT + Rn )1 Hn Pn FnT

(11)

+ Qn
Consider (11), it can be simplified thus,
Pn+1 = Fn Pn FnT Fn Pn HnT (Hn Pn HnT + Rn )1 Hn Pn FnT + Qn
Pn+1 =

Kn Hn Pn FnT +
Kn Hn )Pn FnT + Qn

Fn Pn FnT

Pn+1 = (Fn

Qn

(12)
(13)
(14)

C. Equation 107

x
n xn = (Kn zn + Kn x
n1 ) xn

(15)

put zn = Hn xn + vn and xn = Fn1 xn1 + wn1 in (15)

x
n xn = Kn (Hn xn + vn ) + Kn x
n1 (Fn1 xn1 + wn1 )

(16)

n1 (Fn1 xn1 + wn1 )

= Kn [Hn (Fn1 xn1 + wn1 ) + vn ] + Kn x

= (Kn Hn I)Fn1 xn1 + Kn x

n1 + (Kn Hn I)wn1 + Kn vn
D. Equation 120
use (17) and (18) to get (120)

T
(Qn1 HnT )Kn
= Qn1 HnT
Kn

Kn

(Kn Hn Qn1 ) = (Hn Qn1 )T

(17)
T
T
= QT
n1 Hn = Qn1 Hn

(18)

E. Equation 125
T
Pn = Kn (Hn Mn1 HnT + Rn )Kn

Kn Hn Mn1
+ Mn1

(19)

T
Mn1 HnT Kn

Substitute Kn = Mn1 HnT [Hn Mn1 HnT + Rn ]1 in (19) for Kn in first term, only
T
Pn = Mn1 HnT [Hn Mn1 HnT + Rn ]1 (Hn Mn1 HnT + Rn )Kn

Kn Hn Mn1

(20)

T
Mn1 HnT Kn

+ Mn1
we have,
T
T
Pn = Mn1 HnT Kn
Kn Hn Mn1 Mn1 HnT Kn
+ Mn1

(21)

Canceling first and third terms, we get

Pn = Mn1 Kn Hn Mn1

(22)

= (I Kn Hn )Mn1

(23)