In 1 960 , R . E . Kalman published his famous paper describing a recursive solution to the discrete

data linear filtering problem [ Kalman6O ] . Since that time , due in large part to advances in

computing , the Kaloanfilter has been the subject ofextensiveresearchandapplication , particularly in the area of autonomous or assisted navigation . A very " friendly , , introduction

general idea oftheKalmanfiltercanbefoundinChapterlof [ Maybeck79 ] , whileamorecomplete introductory discussion can be found in [ Sorenson7O ] , which also contains some interesting historical narrative . More extensive references include [ Gelb74 Grewal93 Maybeck79 Lewis86

Brown92 Jacobs93 ] . The Process to be Estimated-In 1960, R. E. Kalman published his famous paper describ ing a recursive solution to the discrete data li near filtering problem [Kalman6O]. Since that time, due in large part to advances in computing, the Kaloanfilter has been the subject ofextens iveresearchandapplication. particularly in the area of autonomous or Assis ted navigation. A very "friendly, and introduction general idea oftheKalmanfilter canbefoundinChapterlof [Maybeck79] whileamorecomplete introductory discussion can be found in [Sorenson7O] which also contains some interesting historic al narrative. More extensive references inclu de [Gelb74 Grewal93 Maybeck79 Lewis86 Brown92 Jacobs93]. The Process to be Estimated