If we are hiring someone such as a carpenter or an auto mechanic, we always look for two things: what kind of tools they have and what they do when things go wrong. For many types of embedded systems, ...

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 ...

If you program using values that represent anything in the real world, you have probably at least heard of the Kalman filter. The filter allows you to take multiple value estimates and process them ...

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 ...