Lower-case, bold letters represent vector quantities, e.g., x. Vectors are assumed to be column vectors.

matrices

Upper-case, bold letters represent matrix values, e.g., A.

sets

Calligraphic, upper-case letters represent sets, e.g., . In some cases, if a set of values can be easily converted to a vector by stacking all of the values in the set, . represents that stacked vector.

A^{⊤}

Implies the transpose of the matrix A.

time indices

Subscripts denote time indices, e.g., x_{k} is the value of x at time step k.

functions

Lower-case letters followed by parentheses represent functions, e.g., f(x) is a function of x. To avoid confusion, if multiplication is implied by parentheses, a space will be placed between the letter and the parentheses, e.g., K(z – h(x)) represents the matrix K multiplied by the difference between z and the function h of x.

N(0, Σ)

Represents a zero-mean normal distribution with covariance Σ.

Denotes the 2-norm of the vector v weighted by the covariance matrix A, i.e., .

p(x)

Represents the probability distribution of the random variable x.