Kalman Filtering Tutorial

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1Understanding and ApplyingKalman FilteringLindsay KleemanDepartment of Electrical and computer Systems EngineeringMonash University, Clayton2 a basic understanding of Kalman Filtering and assumptionsbehind its (but cannot avoid) mathematical treatment to broaden some practicalities and examples of C++ software is a Kalman Filter and What Can It Do?A Kalman filter is an optimal estimator - ie infers parameters of interest fromindirect, inaccurate and uncertain observations. It is recursive so that newmeasurements can be processed as they arrive. (cf batch processing where alldata must be present).Optimal in what sense?If all noise is Gaussian, the Kalman filter minimises the mean square error ofthe estimated if the noise is NOT Gaussian?

Department of Electrical and Computer Systems Engineering Monash University, Clayton. 2 Introduction ... The solution of the Riccati equation in a time invariant system converges to ... • Validation gates - rejecting outlier measurements

  Computer, System, Validation