Kalman Filtering

This text presents a thorough discussion of the mathematical theory of Kalman filtering. The filtering equations are derived in a series of elementary steps enabling the optimality of the process to be understood. The book provides a comprehensive treatment of various major topics in Kalman-filtering theory, including uncorrelated and correlated noise, coloured noise, steady-state theory, nonlinear systems, systems identification, numerical algorithms and real-time applications. A series of problems for the student, together with a complete set of solutions, are also included. The style of the book is informal, and the mathematics elementary but rigorous, making it accessible to all those with a minimal knowledge of linear algebra and systems theory. In this second edition, in addition to some minor corrections and up-dating, the section on real-time system identification has been expanded and a brief introduction to wavelet analysis has been included. This textbook on applied mathematics, electrical engineering and aerospace engineering is intended for graduate and senior undergraduate students and university and industrial researchers.