5. Kalman filtering

5.1 Motivation

The Kalman filter is an infinite impulse response filter that estimates the states of a dynamic device from a series of incomplete or noisy measurements.

Its implementation is recursive: the estimate is updated at each calculation step.

The calculation of its expression is based on a method of internal description of systems called "state representation".

It is used in a wide range of technological fields (radar, electronic vision, communication, etc.), and is a major theme in automatic control and signal processing.

An example of use may be the continuous provision of information such as the position or speed of an object from a series of observations relative to its position,...