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\subsection{Kalman Filter (KF)}
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Bayes Filter for Gauss. dist of R.V. \& linear meas. model.
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Initial state $\vec{x}_0 \sim \cN(\hat{\vec{x}}, \mat{P}_0)$, $\mat{P}_0$ previous covariance;
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Bayes Filter for Gauss. dist of R.V. \& \hl{linear meas. model.}
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Initial state $\vec{x}_0 \sim \cN(\hat{\vec{x}}, \mat{P}_0)$, $\mat{P}_0$ previous covariance
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\bi{Prediction} With linear state transition model ($\vec{u}_k$ odometry, $\vec{w}_k$ noise (covariance $\mat{Q}_k$)):\\
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$\vec{x}_k = \mat{F}\vec{x}_{k - 1} + \mat{G}\vec{u}_k + \mat{L}\vec{w}_k$ with $\vec{w}_k \sim \cN(\vec{0}, \mat{Q}_k)$:
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\subsection{Extended Kalman Filter (EKF)}
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Non-l. state trans. model $\vec{x}_k = \vec{f}(\vec{x}_{k - 1}, \vec{u}_k, \vec{w}_k)$ as above:
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\hl{Non-l. state trans. model} $\vec{x}_k = \vec{f}(\vec{x}_{k - 1}, \vec{u}_k, \vec{w}_k)$ as above:
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\begin{itemize}
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\item \bi{Mean}: $\hat{\vec{x}}_{k | k - 1} = \vec{f}(\hat{\vec{x}}_{k - 1 | k - 1}, \vec{u}_k)$
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\item \bi{Covariance}: $\mat{P}_{k | k - 1} = \mat{F}_k \mat{P}_{k - 1 | k - 1} \mat{F}_k^\top + \mat{L}_k \mat{Q}_k \mat{L}_k^\top$\\
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With $\mat{F}_k$ linearisation $\frac{\partial \vec{f}}{\partial \vec{x}}$ and $\mat{L}_k$ lin. $\frac{\partial \vec{f}}{\partial \vec{w}}$
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With $\mat{F}_k$ linearisation $\frac{\partial \vec{f}}{\partial \vec{x}}$ and $\mat{L}_k$ lin. $\frac{\partial \vec{f}}{\partial \vec{w}}$
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\end{itemize}
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\bi{Update} Non-Linear meas.: $\tilde{\vec{z}}_k = \vec{h}(\vec{x}_k) + \vec{v}_k$:
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\begin{itemize}
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