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).

Understanding and Applying Kalman Filtering Lindsay Kleeman Department of Electrical and Computer Systems Engineering Monash University, Clayton. 2 Introduction Objectives: 1. Provide a basic understanding of Kalman Filtering and assumptions behind its implementation. 2. Limit (but cannot avoid) mathematical treatment to broaden appeal.

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