An Introduction to Kalman filtering

Abstract

The introductory aspects of the systems engineering discipline known as Kalman filtering are described in this review report. The report is intended primarily for readers who have a desire to understand just the fundamentals of what a Kalman filter is and how it works. Simple examples are used to illustrate the basic concepts of Kalman filtering without the complications of high order system mathematics. The intention is to supply just enough information to encourage . the interested reader to seek further reference sources if he or she wishes to use the Kalman filter as an integrated systems design tooI. Nevertheless, some practical implications involved in applying the Kalman filter approach to integrated aircraft navigation systems are covered because of their specific importance to various projects at NAE. A list of what the author considers to be good general references on all aspects of Kalman filtering is given as well.