An Introduction to the Kalman Filter-英文文献.pdf

An Introduction to the Kalman Filter 1 2 Greg Welch and Gary Bishop TR 95-041 Department of Computer Science University of North Carolina at Chapel Hill Chapel Hill, NC 27599-3175 Updated: Monday, April 5, 2004 Abstract In 1960, R.E. Kalman published his famous paper describing a recursive solution to the discrete-data linear filtering problem. Since that time, due in large part to ad- vances in digital computing, the Kalman filter has been the subject of extensive re- search and application, particularly in the area of autonomous or assisted navigation. The Kalman filter is a set of mathematical equations that provides an efficient com- putational (recursive) means to estimate the state of a process, in a way that mini- mizes the mean of the squared error. The filter is very powerful in several aspects: it supports estimations of past, present, and even future states, and it can do so even when the precise nature of the modeled system is unknown. The purpose of this paper is to provide a practical introduction to the discrete Kal- man filter. This introduction includes a description and some discussion of the basic discrete Kalman filter, a derivation, description and some discussion of the extend- ed Kalman filter, and a relatively simple (tangible) example with real numbers results. 1. welch@, /~welch 2. gb@, /~gb Welch Bishop, An Introduction to the Kalman Filter 2 1 The Discrete Kalman Filter In 1960, R.E. Kalman published his famous paper describing a recursive solution to the discr