Fundamentals of Kalman Filtering and Estimation

Kalman Filtering and Least Squares Estimation have been at the heart of the GNC system design within the US Space Program since it's inception. Yet, there is a great deal of mystique surrounding the subject because it requires a modicum of familiarity with linear analysis, nonlinear analysis, optimization, and statistics. This goal of this seminar is to present a gentle introduction to Kalman Filtering and estimation to those who aren't familiar with the topic, or who have viewed it with fear and trepidation. Beginning with linear systems, the basic concepts will be introduced, and several examples will serve to flesh out the concepts. There will be an emphasis on practical implications and implementations of these concepts, with an eye toward helping develop intuition and demystifying the field.

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