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Kalman Filtering Tutorial

1 Understanding 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.

Sequential Measurement Processing If the measurement noise vector components are uncorrelated then state update can be carried out one measurement at a time. Thus matrix inversions are replaced by scalar inversions. Procedure: state prediction as before scalar measurements are processed sequentially (in any order) using scalar measurement ...

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