Kalman filter

The Kalman filter (named after its inventor, Rudolf Kalman)an efficient recursive computational solutiontrackingtime-dependent state vectornoisy equationsmotionreal time byleast-squares method. Itusedseparate signal from noise so asoptimally predict changes inmodeled systemtime.

Kalman filteringused extensivelycontrol systems engineering.

Compare with: Wiener filter

External links

• The Kalman Filter
• Kalman Filtering
• Kalman filters