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.