Kalman Filter

A technique for estimating an unknown state of a linear dynamic system given observations of the system which have additive (Gaussian) noise. Can be used for non-linear systems by an approximate linear model. It creates an optimum solution to such a system by minimising the state error correlation matrix. It makes use of a recursive algorithm in which a non-linear difference equation represents the covariance matrix of the optimal estimate error. This equation can be solved recursively or iteratively. Widely used in industry for real-time applications such as control systems, seismology and radar tracking.

See also: Filter, Recursive Filter.