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The purpose of this tutorial is to illustrate the usage of Kalman Filter by a simple example.
The problem: Predict the position and velocity of a moving train 2 seconds ahead, having noisy measurements of its positions along the previous 10 seconds (10 samples a second).
Ground truth: The train is initially located at the point x = 0 and moves along the X axis with constant velocity V = 10m/sec, so the motion equation of...