Are you an EPFL student looking for a semester project?
Work with us on data science and visualisation projects, and deploy your project as an app on top of Graph Search.
Concept
Kalman filter
Summary
For statistics and control theory, Kalman filtering, also known as linear quadratic estimation (LQE), is an algorithm that uses a series of measurements observed over time, including statistical noise and other inaccuracies, and produces estimates of unknown variables that tend to be more accurate than those based on a single measurement alone, by estimating a joint probability distribution over the variables for each timeframe. The filter is named after Rudolf E. Kálmán, who was one of the primary developers of its theory.
This digital filter is sometimes termed the Stratonovich–Kalman–Bucy filter because it is a special case of a more general, nonlinear filter developed somewhat earlier by the Soviet mathematician Ruslan Stratonovich. In fact, some of the special case linear filter's equations appeared in papers by Stratonovich that were published before summer 1961, when Kalman met with Stratonovich during a conference in Moscow.
Kalman filtering has numerous technological applications. A common application is for guidance, navigation, and control of vehicles, particularly aircraft, spacecraft and ships positioned dynamically. Furthermore, Kalman filtering is a concept much applied in time series analysis used for topics such as signal processing and econometrics. Kalman filtering is also one of the main topics of robotic motion planning and control and can be used for trajectory optimization. Kalman filtering also works for modeling the central nervous system's control of movement. Due to the time delay between issuing motor commands and receiving sensory feedback, the use of Kalman filters provides a realistic model for making estimates of the current state of a motor system and issuing updated commands.
The algorithm works by a two-phase process. For the prediction phase, the Kalman filter produces estimates of the current state variables, along with their uncertainties. Once the outcome of the next measurement (necessarily corrupted with some error, including random noise) is observed, these estimates are updated using a weighted average, with more weight being given to estimates with greater certainty.
Official source
About this result
This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.