Kalman filtering

  • Thread starter beserk
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  • #1
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Main Question or Discussion Point

What is it and where is it used ?
 

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  • #2
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It is the optimal filtering technique to recover the maximum information
about a signal in the presence of noise.

It is used (for example) to extract the signals from distant space satellites
when they are covered up by lots of noise.
 
  • #3
SGT
In addition of what Antiphon wrote:
When we say that some system is optimal, it is optimal relative to some parameter. Kalman filter is the optimal estimator for a linear system in the sense of minimization of the error covariance matrix.
The extended Kalman filter, is a suboptimal estimator used in nonlinear systems. for instance radar and sonar tracking systems. One important characteristic of the KF is that you can estimate velocity and acceleration of a dynamic system from noisy measurements of it's position.
 

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