An Introduction to Kalman Filters

Abstract

Kalman filters are a powerful tool for reducing the effects of noise in measurements. This paper gives a no-nonsense introduction to the subject for people with A-level maths. The basic ideas of getting better estimates from many measurements are simply introduced. Thereafter, the basics are gradually developed, using worked examples, to a full Kalman filter. Wherever possible, variations, simplifications, and applications are given in the hope that the reader will be encouraged to use Kalman filter techniques