Understanding Kalman Filters

Preface

This document summarizes the work undertaken to understand and evaluate Kalman Filters. The primary objective of this effort is to establish a solid foundation for implementing Kalman filtering as a benchmark method in future parameter estimation and system identification studies.

The references used are

• “Optimal State Estimation”, Dan Simon Simon (2006).

• “Fundamentals of Kalman filtering”, Paul Zarchan Zarchan (2005).

Simon, Dan. 2006. Optimal State Estimation: Kalman, h Infinity, and Nonlinear Approaches. John Wiley & Sons.

Zarchan, Paul. 2005. Progress in Astronautics and Aeronautics: Fundamentals of Kalman Filtering: A Practical Approach. Vol. 208. Aiaa.