KALMAN FILTER ALGORITHM

Abstract

This section covers the Kalman Filter Algorithm. First we'll cover the State Space format of modeling and measuring a discrete-time dynamic system of estimated states, noisy inputs, and noisy measurements. Second, we'll explore all the different pieces of information about our system necessary to inform the algorithm. Third, the specific Kalman Filter Algorithm constructed based off of those parameters. Finally, we'll use some example state spaces and measurements to see how well we track.