一、Pseudo-algorithm
**Algorithm Bayes Filter(bel( xt−1,ut,zt ):
for all xt do
bel¯¯¯¯(xt) = ∫ p(xt | ut,xt−1) bel(xt−1) dxt−1
bel(xt) =η p(zt | xt) bel¯¯¯¯(xt)
endfor
return\ \ bel(xt)
二、Mathematical Derivation of the Bayes Filter
p(xt | z1:t,u1:t) = p(zt | xt,z1:t−1,u1:t)p(xt | z1:t−1,u1:t)p(zt | z1:t−1,u1:t) = η∗p(zt | xt,z1:t−1,u1:t)p(xt | z1:t−1,u1:t)
p(zt | xt,z1:t−1,u1:t) = p(zt | xt)
p(xt | z1:t,u1:t) = η∗p(zt | xt)p(xt | z1:t−1,u1:t)
令 bel¯¯¯¯(xt) = p(xt | z1:t−1,u1:t)
bel¯¯¯¯(xt) = p(xt | z1:t−1,u1:t) = ∫p(xt | xt−1,z1:t−1,u1:t)p(xt−1 | z1:t−1,u1:t)dxt−1 = ∫p(xt | xt−1,ut)p(xt−1 | z1:t−1,u1:t−1)dxt−1 = ∫p(xt | xt−1,ut) bel(xt−1)dxt−1
所以p(xt | z1:t,u1:t) = η∗p(zt | xt) bel¯¯¯¯(xt)