Understanding Kalman Filtering and its Application in Real Time Tracking Systems

The theory and applications of Kalman filtering have now been under development for over a decade. Kalman filtering is currently being used operationally in numerous applications such as satellite tracking systems, aircraft navigational systems and aircraft tracking systems. Because Kalman filtering is a statistical concept that is typically described in terms of state-space notation, project managers and engineers must frequently accept on abstruse set of equations while feeling insufficiently qualified to appreciate their significance or applicability. In spite of the obscure terminology and associated matrix notation that typically accompanies any discussion of Kalman filtering, the salient features of the theory are relatively straightforward and can be presented in a manner that appeals to intuition. The paper represents such an attempt with emphasis on applications to real time tracking systems.