A fresh look at the Kalman filter

• Autores: Jeffrey Humpherys, Preston Redd, Jeremy West
• Localización: SIAM Review, ISSN 0036-1445, Vol. 54, Nº. 4, 2012, págs. 801-823
• Idioma: inglés
• DOI: 10.1137/100799666
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• Resumen

  • In this paper, we discuss the Kalman filter for state estimation in noisy linear discrete-time dynamical systems. We give an overview of its history, its mathematical and statistical formulations, and its use in applications. We describe a novel derivation of the Kalman filter using Newton's method for root finding. This approach is quite general as it can also be used to derive a number of variations of the Kalman filter, including recursive estimators for both prediction and smoothing, estimators with fading memory, and the extended Kalman filter for nonlinear systems.