Kalman filter for "dummies"

I do not have strong math background, I am not math guru but I want to learn
Kalman filtering with simple examples.
Can someone help me with step by step examples please?
Thanks
Reply to
<4d>
Loading thread data ...
Always a good place to start. Not intimidating, intuitive beginning:
formatting link
Reply to
Rich Webb
Reply to
Mitch Berkson
The first chapter of Peter Maybeck's book is an excellent place to start. It's free on-line. If you want to know more after reading that, I strongly recommend Peter Joseph's paper. The introduction is available on-line and he will email you the first four chapters for free. He will email you the more advanced chapter for less than $10, which is a very good deal.
Joseph's paper was much easier for me to understand than the higher (>1) chapters of Maybeck's book, but Maybeck's book is available to buy also.
Maybeck's first chapter:
formatting link
's first chapter:
formatting link
Assorted other Kalman filter stuff:
formatting link
Mitch
Reply to
Mitch Berkson
I agree that the Welch-Bishop and the Maybeck sources are probably the best available.
I studied and I studied the literature and it didn't make any sense until I reread the Maybeck chapter. The most important part for me was to add two normal graphs like described by Maybeck. As soon as I did that to compute the new mean and sigma in a recursive form, then I immediately saw the functionality of the kalman filter in 1D.
So, I would say that you first understand how to add two normal distributions in batch form and then in recursive form. Maybeck's paper demonstrates that. The correlation to the multi-dimensional matrix form Kalman filter then becomes obvious.
Ed L
Reply to
Ed LeBouthillier
how is this filter applied to robotics?
Reply to
aiiadict
formatting link
formatting link
formatting link
formatting link
formatting link
formatting link
formatting link
formatting link
formatting link
formatting link
formatting link

Reply to
Ed LeBouthillier
Any recommended, well written, documended, Kalman filter implementations in C++ ?
Reply to
<Hasuvara>
It's application dependent. If you want an example of a one dimensional extended Kalman filter, look at
formatting link
It is in C.
Mitch
Reply to
Mitch Berkson
On Wed, 26 Jan 2005, it was written:
Herman
Reply to
Herman

PolyTech Forum website is not affiliated with any of the manufacturers or service providers discussed here. All logos and trade names are the property of their respective owners.