> "'We have a new theorem--that mathematicians can only prove trivial theorems, because every theorem that's proved is trivial.'" - Richard Feynman

Sigh.

KF is essentially solving a QP with equality constraints (Boyd's course is a good place for details), which can be solved exactly with a single decomposition of the KKT system - picking an ordering is all that matters for complexity.

This is essentially the principle on which all of Sparse Linear algebra and Graphical models work. There is nothing special about the structure of KF, nor in LQR, nor in their non-linear generalizations.

One can symbolically unroll Schur complements multiple times to make block-LU appear opaque and sophisticated, but it really is not (this of course is not to say this is done deliberately). KF can also derived from the Bayes' network model, but extending this to non-linear forms like EKF, and to things which are not first-order becomes rather troublesome (or impossible).

I'd have appreciated a post asking for details rather than infantile derision.