EAN: 9783031014086

SYNTHESIS LECTURES ON SIGNAL PROCESSING AN IN...

The Kalman filter is the Bayesian optimum solution to the problem of sequentially estimating
the states of a dynamical system in which the state evolution and measurement processes are
both linear and Gaussian. Given the ubiquity of such systems  the Kalman filter finds use in a
variety of applications  e.g.  target tracking  guidance and navigation  and communications
systems. The purpose of this book is to present a brief introduction to Kalman filtering. The
theoretical framework of the Kalman filter is first presented  followed by examples showing its
use in practical applications. Extensions of the method to nonlinear problems and distributed
applications are discussed. A software implementation of the algorithm in the MATLAB
programming language is provided  as well as MATLAB code for several example applications
discussed in the manuscript.

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