The following is probably more a matter of belief than hard facts - sorry for that. I am currently discussing the following issue in my thesis:
Is the simple Kalman Filter in general a compact solution to the filter problem to be implemented with an 8-bit Microcontroller?
Issues to regarded are Memory consumption (Flash as well as RAM), Performance and Real-Time capabilities.
- Periodic stepwise iterations support real-time implementations.
- Most implementations of Matrix operations have a nearly constant execution time that is independent from input values.
- Matrix operations are easy to implement (at least in C language)
- Floating Point operations are very costly in terms of code size and performance without a hardware Floating Point Unit. Fixed-Point Arithmetik is probable to inexact.
- Matrix operations are time consuming and require large amounts of memory.
I have not yet decided if I should propose the usage of KF for small Microcontroller systems (eg. 8 KB FLash ROM, 1k RAM) or to call the KF time-consuming and elaborate for small MCs.