This course introduces the Kalman filter as a method that can solve problems related to estimating the hidden internal state of a dynamic system. It develops the background theoretical topics in state ...

This is an expository article that develops the Kalman filter from a Cholesky factorization perspective. In particular, the Kalman filter is shown to be a modification of the Cholesky factorization ...

As a follow-on course to "Kalman Filter Boot Camp", this course derives the steps of the linear Kalman filter to give understanding regarding how to adjust the method to applications that violate the ...