Kalman Filtering Theory and Practice with MATLAB [Hardcover]

The definitive textbook and professional reference on Kalman Filtering – fully updated, revised, and expanded

This book contains the latest developments in the implementation and application of Kalman filtering. Authors Grewal and Andrews draw upon their decades of experience to offer an in-depth examination of the subtleties, common pitfalls, and limitations of estimation theory as it applies to real-world situations. They present many illustrative examples including adaptations for nonlinear filtering, global navigation satellite systems, the error modeling of gyros and accelerometers, inertial navigation systems, and freeway traffic control.

Kalman Filtering: Theory and Practice Using MATLAB, Fourth Edition is an ideal textbook in advanced undergraduate and beginning graduate courses in stochastic processes and Kalman filtering. It is also appropriate for self-instruction or review by practicing engineers and scientists who want to learn more about this important topic.

Preface to the Fourth Edition ix

Acknowledgements xiii

List of Abbreviations xv

1 Introduction 1

1.1 Chapter Focus 1

1.2 On Kalman Filtering 1

1.3 On Optimal Estimation Methods 6

1.4 Common Notation 28

1.5 Summary 30

Problems 31

References 34

2 Linear Dynamic Systems 37

2.1 Chapter Focus 37

2.2 Deterministic Dynamic System Models 42

2.3 Continuous Linear Systems and their Solutions 47

2.4 Discrete Linear Systems and their Solutions 59

2.5 Observability of Linear Dynamic System Models 61

2.6 Summary 66

Problems 69&l3Q