To celebrate the IMA’s 60th anniversary in 2024, a number of articles have been chosen by IMA members and MT readers, who introduce their favourite MT articles and explain why they are important to them. Here Jenny Macey CMath CSci FIMA, introduces …
Kalman Filter Tutorial, Part 1 and 2 by Edward V. Stansfield CMath CSci FIMA (MT Editor in 2019)
These two articles provide a basic tutorial of Kalman filters, their extensions and the applications they can be applied to. In the first part we are introduced to the basic formulation and its application to tracking a target subjected to a known acceleration, for which simulation results are presented. In the second part extensions are introduced, such as Unscented Kalman filters, Particle filters and Federated Kalman filters. Finally a survey of applications such as satellite orbit determination, computer vision and composite clocks are discussed.
I recall that a few months after these articles were published a colleague came to me seeking advice on Kalman Filters. Not being my area of expertise, the colleague and I enjoyed figuring them out together and Edward’s articles proved a great starting point for our discovery of this topic.
These articles hold a place in my heart because I remember the joy they brought to Edward. Edward was part of Professional Affairs Committee when I first joined it, the warm welcome he and others gave me helped to quell any initial nervousness I felt. Edward had many roles in the IMA and his untimely passing was a shock to many of us, it is lovely to reread these articles and remember him.
Download the article, Kalman Filter Tutorial, Part 1 (pdf) and Kalman Filter Tutorial, Part 2 (pdf) from the 2016 Mathematics Today, vol. 52, no. 3, pp. 143–147 and no. 4, pp. 188–192.
