Kalman filter

The Kalman filter (named after its inventor, Rudolf E Kalman[?]) is an efficient recursive computational solution of the least-squares method[?], which is applicable to distinguishing signals from noise so as to predict changes in a modeled system with time.

Kalman filtering is used extensive in control systems[?] engineering.

Compare with: Wiener filter[?]

External links

• The Kalman Filter (http://www.cs.unc.edu/~welch/kalman/)
• Kalman Filtering (http://www.innovatia.com/software/papers/kalman.htm)
• Kalman filters (http://ourworld.compuserve.com/homepages/PDJoseph/kalman.htm)