The Kalman filter, also known as linear quadratic estimation (LQE), is an algorithm that uses a series of measurements observed over time, containing noise (random variations) and other inaccuracies, and produces estimates of unknown variables that tend to be more precise than those based on a single measurement alone. More formally, the Kalman filter operates recursively on streams of noisy input data to produce a statistically optimal estimate of the underlying system state. The filter is named for Rudolf (Rudy) E. Kálmán, one of the primary developers of its theory.
References
- http://en.wikipedia.org/wiki/Kalman_filter
- http://kimfeel82.egloos.com/151269
- http://blog.naver.com/msnayana/80106682874
- http://blog.naver.com/msnayana/80144116755
- http://trip2ee.tistory.com/62