Estimation, Control, and the Discrete Kalman Filter

In 1960, R. E. Kalman published his celebrated paper on recursive min­ imum variance estimation in dynamical systems [14]. This paper, which introduced an algorithm that has since been known as the discrete Kalman filter, produced a virtual revolution in the field of systems engineering. Today, Kalman filters are used in such diverse areas as navigation, guid­ ance, oil drilling, water and air qua...