The first edition of this book was published by Prentice-Hall in 1993. With this second edition, as with the first, our primary objective is to provide our readers a working familiarity with both the theoretical and practical aspects of Kalman filtering by including "real-world" problems in practice as illustrative examples. We are pleased to have this opportunity to incorporate the many helpful corrections and suggestions from our colleagues and students over the last several years for the overall improvement of the textbook. The book covers the historical background of Kalman filtering and the more practical aspects of implementation: how to represent the problem in a mathematical model, analyze the performance of the estimator as a
function of model parameters, implement the mechanization equations in numerically stable algorithms, assess its computational requirements, test the validity of results, and monitor the filter performance in operation. These are important attributes of the subject that are often overlooked in theoretical treatments but are necessary for application of the theory to real-world problems.