
Poor Man's Explanation of Kalman Filtering [pdf] - kqr2
http://edge.rit.edu/content/P07106/public/Docs/Research/KalmanFilter/Poor_Mans_Explanation_of_Kalman_Filtering.pdf
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axiom
Wow, this is really well done. Everyone should go read this now!

Kalman filtering is one of these techniques that's used _everywhere_ and yet
most engineers/developers don't even know it exists (let alone the math behind
it, which is fairly straightforward undergrad level stuff.)

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dlnovell
Awesome! I worked on the inertial navigation system for Insight Racing's entry
into the 2nd DARPA Grand Challenge as my senior design project in college. We
implemented a Kalman filter, but I'm not sure we got all the bugs out as it
didn't work very well. I sure wish I had known about this little doc at the
time!

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dlnovell
Actually, I should probably clarify: _our senior design team_ couldn't get the
inertial navigation system working very well. I'm pretty sure they took what
we worked on and fixed it as they finished somewhere in the middle of the
pack. It was easily the coolest project I've ever worked on.

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brisance
Dan Simon's 2001 article is just as good, if not better IMO.
<http://web.cecs.pdx.edu/~greenwd/kalman_overview.pdf>

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gvb
"Taygeta Scientific Incorporated, has acquired the rights to republish the
report." <http://www.taygeta.com/kalman_book.html>

Has anyone bought a copy? I assume it is typeset rather than being a very
difficult to read fifth generation photocopy scanned to PDF.

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smanek
Offtopic: Why was kjhgfghjk's joke (this comment's sibling) killed?

It's funny, since the scan of the article is very 'noisy' and a Kalman filter
is a possible solution to help clean it up (probably not the best, but still
...)

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gjm11
I would say that in more than half the cases where I see a dead comment, there
is nothing obviously very wrong with the comment. Sometimes it's dead because
the user who posted it is auto-dead-ified -- everything s/he posts is killed
-- but in most of the (few) such cases where I've looked back over the user's
comment history, I haven't found anything very awful that they got put in that
state for.

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andrewljohnson
Here is an open source Kalman filter (written for my iPhone app) by a very
smart friend of mine: <http://github.com/lacker/ikalman>

It's in C.

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mturmon
If you just want the equations, try:

<http://www.ece.cmu.edu/~byronyu/papers/derive_ks.pdf>

And for the EKF:

<http://www-npl.stanford.edu/~byronyu/papers/derive_eks.pdf>

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joeyo
Welch and Bishop also have an excellent introduction:
<http://www.cs.unc.edu/~welch/media/pdf/kalman_intro.pdf>

