This course introduces the Kalman filter as a method that can solve problems related to estimating the hidden internal state of a dynamic system. It develops the background theoretical topics in state ...

If we are hiring someone such as a carpenter or an auto mechanic, we always look for two things: what kind of tools they have and what they do when things go wrong. For many types of embedded systems, ...

As a follow-on course to "Kalman Filter Boot Camp", this course derives the steps of the linear Kalman filter to give understanding regarding how to adjust the method to applications that violate the ...

We consider non-linear filtering problem with Gaussian martingales as a noise process, and obtain iterative equations for the optimal filter. We apply that result in the case of fractional Browian ...

This is an expository article that develops the Kalman filter from a Cholesky factorization perspective. In particular, the Kalman filter is shown to be a modification of the Cholesky factorization ...

If you program using values that represent anything in the real world, you have probably at least heard of the Kalman filter. The filter allows you to take multiple value estimates and process them ...

Kalman filters have long stood as a cornerstone in the field of target tracking and state estimation, providing an optimally recursive solution for estimating the state of dynamic systems in the ...