This book is a practical guide to building Kalman filters and shows how the filtering equations can be applied to real-life problems. Numerous examples are presented in detail showing the many ways in which Kalman filters can be designed. To give readers an intuitive feel for the problem being addressed, the text thoroughly sets up a problem before the Kalman filter is actually formulated. The revised third edition contains new chapters on least squares, fixed and finite memory filters, and filter initialization.
MATLAB is used to solve numerous examples in the book.