Cyrus said:
I'd personally appreciate any good journal articles you might know on the subject to read in my spare time. I know the theory, but it would be nice to read about some actual applications of KF. It gets to be dense reading very quickly. I have the Hawng book: "Introduction to Random Signals and Applied Kalman Filtering, 4th Ed." I should go back and read that when I have time.
Minor correction: The authors of "Introduction to Random Signals and Applied Kalman Filtering" are Brown and Hwang, and they haven't come out with a 4th edition yet.
Texts
"Introduction to Random Signals and Applied Kalman Filtering" by Brown and Hwang is one of the key texts on the subject. That book has grown in size and scope over the years. The first edition was a nice compact 52 pages. It is now ten times as long. Another good book on the subject is "Applied Optimal Estimation" by Gelb.
Classes
Here is the SIGGRAPH 2001 class on "An Introduction to the Kalman Filter":
http://www.cs.unc.edu/~tracker/media/pdf/SIGGRAPH2001_CoursePack_08.pdf
There are lots of commercial classes on Kalman filters as well. Some are boondoggles (the last day is a field demonstration of a Kalman filter in action -- typically on a yacht, cash bar). I never could convince my employer to send me to one of those.
Journals
Almost every issue of AIAA Journal of Guidance, Control, and Dynamics has at least one article on Kalman filters and their application.
Conferences
The following conferences inevitably have multiple papers on Kalman filters and their application:
AAS/AIAA Astrodynamics Specialist Conference
AAS/AIAA Space Flight Mechanics Meeting
AIAA Guidance, Navigation, And Control Conference
The first is sometimes called the GN&Ski conference because it is ofttimes held at a ski resort and has very long lunch breaks (more than enough time to hit the slopes between sessions). Nice boondoggle if you can convince your employer to send you there.
