The aim of this chapter is to introduce particle lters to those with a background in “classical” recursive estimation based on variants of the Kalman lter. We describe the principles behind the basic particle lter algorithm and present an application to a tracking and guidance example involving multiple objects. A detailed worked example including some simple MATLAB® code is described in the Appendix. We also show that the basic algorithm is a special case of a more general particle lter that greatly extends the lter design options. The chapter concludes with a discussion of computational issues and application areas.