A Semi-Gentle Introduction to the Kalman Filter
The Kalman Filter, named after Rudolf E. Kálmán - its principle mastermind, was developed around 1960. In short, it is an optimal algorithm used to estimate a state of a linear system by recursively processing data. To illustrate its importance, our professor constantly reminded us that two things got man to the moon: Fortran and the Kalman Filter. To help us understand the algorithm better, let’s take a practical example for the rest of this introduction....