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Kalman Filter

An Algorithm in Control Theory introduced by R. Kalman in 1960 and refined by Kalman and R. Bucy. 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


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.

© 1996-9 Eric W. Weisstein