Kalman Filter

An algorithm in control theory introduced by Kalman (1960) and refined by Kalman and Bucy (1961). It is an algorithm which makes optimal use of imprecise data on a linear (or nearly linear) system with Gaussian errors to continuously update the best estimate of the system's current state.

See also

Wiener Filter

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Casti, J. L. "The Kalman Filter." Ch. 1 in Five More Golden Rules: Knots, Codes, Chaos, and Other Great Theories of 20th-Century Mathematics. New York: Wiley, pp. 101-154, 2000.Chui, C. K. and Chen, G. Kalman Filtering: With Real-Time Applications, 2nd ed. Berlin: Springer-Verlag, 1991.Grewal, M. S. Kalman Filtering: Theory & Practice. Englewood Cliffs, NJ: Prentice-Hall, 1993.Kalman, R. E. "A New Approach to Linear Filtering and Prediction Problems." Trans. ASME Ser. D. J. Basic Eng. 82, 35-45, 1960.Kalman, R. E. and Bucy, R. S. "New Results in Linear Filtering and Prediction Theory." Trans. ASME Ser. D. J. Basic Eng. 83, 95-108, 1961.Simon, D. Optimal State Estimation: Kalman, Hinfty, and Nonlinear Approaches. New York: Wiley, 2006.

Referenced on Wolfram|Alpha

Kalman Filter

Cite this as:

Weisstein, Eric W. "Kalman Filter." From MathWorld--A Wolfram Web Resource.

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