ABSTRACT
The purpose of this chapter is to provide an overview of Kalman filtering concepts. We cover only a small portion of thematerial associated with Kalman filters. Our choice of material is primarily motivated by the material needed in the design and analysis of multivariable feedback control systems for linear time-invariant (LTI) systems and, more specifically, by the design philosophy commonly called the linear quadratic Gaussian (LQG) method. Thus, from a technical perspective, we cover, without proofs, the so-called steady-state, constant-gain LTI Kalman filters.
