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The kalman filter

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References

The basic literature

  1. Kalman, R. E.:A New Approach to Linear Filtering and Prediction Problems, Journal of Basic Engineering, Vol. 1, 1960, p. 597–622. (where it all began)

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  2. Battin, R.H.: Astronautical Guidance, McGraw Hill, 1964. (Space Guidance Application)

  3. Bucy, R. S. and Joseph, P. D.:Filtering for Stochastic Processes with Applications to Guidance,Interscience N.Y., 1968. (Source Book)

  4. Meditch, J. S.:Stochastic Optimal Linear Filtering and Control,McGraw Hill, 1969. (Discrete Case)

For a detailed account of the Wiener Process Version of Linear and Non-Linear Filtering:

  1. Liptser, R. S. and Shiryayev, A. N.:Statistics of Random Processes, Vol. I, and II -Springer-Verlag 1977.

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Authors and Affiliations

  1. System Science Department, University of California, Los Angeles, USA

    A. V. Balakrishnan

Authors
  1. A. V. Balakrishnan
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Balakrishnan, A.V. The kalman filter. The Mathematical Intelligencer 1, 90–92 (1978). https://doi.org/10.1007/BF03023070

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  • DOI: https://doi.org/10.1007/BF03023070

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