## Kalman Filter References

Here is a reading list for Kalman filtering:## Reading list

**1**- Aström and P.
Eykhoff, 1971;
*System identification, A survey*, Automatica, V. 7, pp. 123-162 **2**- Bélanger, Pierre, 1974;
*Estimation of Noise Covariance Matrices for a Linear Time-Varying Stochastic Process*, Automatica, V. 10, pp. 267 - 275 **3**- Berkhout, A.J. and P.R. Zaanen,
1976;
*A comparison between Wiener filtering, Kalman filtering, and deterministic least-squares estimation*, Geophys. Prosp., V. 24, pp. 141-197 **4**- Bierman, G.L,
1974;
*Sequential square root filtering and smoothing of discrete linear systems*, Automatica, V. 10, pp. 147-158 **5**- Bierman, G.L, 1977;
*Factorization methods for discrete sequential estimation*, Mathematics in Science and Engineering, V. 128, Academic Press, New York **6**- Brown, R.G. and Y.C. Hwang, 1992;
*Introduction to Random Signals and Applied Kalman Filtering*, Second edition, John Wiley & Sons **7**- Bryson, A.E., and Y-C Ho, 1975;
*Applied Optimal Control; optimization, estimation and control*, Halsted Press (John Wiley & Sons), New York, 481 pages, ISBN 0-470-26774-7 **8**- Carlson, N.A, 1973;
*Faster triangular formulation of the square-root filter*, AIAA J., V. 11, No. 9 **9**- Cohn, S., M. Ghil,
and E. Isaacson, 1981;
*Optimal Interpolation and the Kalman Filter*, Proceedings of the Fifth Conference on Numerical Weather Prediction, Monterey California, American Meterological Society, Boston Mass., pp. 36 - 42 **10**- Crump, N.D, 1974;
*A Kalman filter approach to the deconvolution of seismic signals*, Geophysics, V. 39, pp. 1-13 **11**- Dean, G.C, 1986;
*An Introduction to Kalman filters*Measurement and Control, V. 19, pp. 69 - 73 **12**- Dee, D.P., S.E. Cohn, A. Dalcher and
M. Ghil, 1985;
*An Efficient Algorithm for Estimating Noise Covariances in Distributed Systems*, IEEE Trans. Auto. Control, AC-30 No. 11, pp 1057 - 1065 **13**- du Plessis,
R.M., 1967;
*Poor man's explanation of Kalman Filters or How I stopped worrying and learned to love matrix inversion*, Rockwell International Technical Note, Anaheim, California, 24 pages **14**- Dyer, P. and S. McReynolds, 1969;
*Extension of square-root filtering to include process noise*, J. Optimization Theory and Applications, V. 3 No. 6, pp. 444-459 **15**- Gelb, A. (ed), 1974;
*Applied Optimal Estimation*, MIT press, Cambridge Mass, 374 pages, ISBN 0 262 70008-5 **16**- Grewal, M.S. and
A.P. Andrews, 1993;
*Kalman Filtering Theory and Practice*, Prentice-Hall, Englewood Cliffs, New Jersey **17**- Halpenny, J., 1984;
*A method of editing time series observations*, Geophysics, V. 49. No. 5, pp. 521-524 **18**- Ho, Y.C, 1963;
*On the stochastic approximation method and optimal filtering theory*, J. Math. Annal. Appl., V. 6, pp. 152 - 154 **19**-
*Special Issue on applications of Kalman filtering*, IEEE Trans. Auto. Control, V. AC-28, No. 3, **20**- Jacobs, O.L.R, 1993;
*Introduction to Control Theory*, second edition, Oxford University Press **21**- Jazwinski, A.H.,
1970;
*Stochastic Processes and Filtering Theory*, Academic Press, New York **22**- Kailath, T., 1968;
*An innovations approach to least-squares estimation Part 1: Linear filtering in additive white noise*, IEEE Trans. Auto. Control, AC-13, pp. 645-655 **23**- Kailath, T.,
1974;
*A view of three decades of linear filtering theory*IEEE Trans. Info. Theory, V. IT-20, pp. 146-181 **24**- Kalman, R.E., 1960;
*A new approach to linear filtering and prediction problems*, Trans. ASME, Series D, J. Basic Eng., V. 82, March, pp. 35 - 45 **25**- Kalman, R.E., 1961;
*New Methods and Results in Linear Filtering and Prediction Theory*, ASME Jour. Basic Engineering, Series D, V. 83 **26**- Kaminski P.F., A.E. Bryson, and
S.F. Schmidt,1971;
*Discrete square root filtering: A survey of current techniques*, IEEE Trans. Auto. Control, AC-16, pp. 727-736 **27**- Lewis, R., 1986;
*Optimal Estimation with an Introduction to Stochastic Control Theory*, John Wiley & Sons **28**- Lobdill, J.,
1981;
*Kalman Mileage Predictor-Monitor*, Byte, July, pp. 230 - 248 **29**- McGee, L.A. and S.F.
Schmidt, 1985;
*Discovery of the Kalman Filter as a Practical Tool for Aerospace and Industry*, NASA Technical Memorandum 86847, Moffett Field, California, 21 pages **30**- Maybeck, P.S., 1979;
*Stochastic Models, Estimation, and Control*, Volume 1, Academic Press. **31**- Mehra, R.K., 1970;
*On the identification of variances and adaptive Kalman filtering*IEEE Trans. Auto. Control, AC-15, pp. 175-184 **32**- Mehra, R.K., 1972;
*Approaches to adaptive filtering*IEEE Trans. Auto. Control, AC-17, pp. 693-698 **33**- Mendel, J.M. and J. Kormylo,
1978;
*Single-Channel white-noise esimators for deconvolution*, Geophysics, V. 43 No. 1, pp. 102-124 **34**- Ott, N. and H.G. Meder, 1972;
*The Kalman filter as a prediction error filter*, Geophys. Prosp., V. 20, pp. 549-560 **35**- Sage, A.O. and
G.W. Husa, 1969;
*Adaptive filtering with unknown prior statistics*, JACC Boulder Colorado **36**- Schmidt, S.F., 1981;
*The Kalman filter: Its recognition and development for aerospace applications*, AIAA J. Guidance Control, V 4. No. 1, p. 4 **37**- Sorenson, H.W., 1970;
*Least-Squares estimation: from Gauss to Kalman*IEEE Spectrum, V. 7, pp. 63-68 **38**- Wieslander, J.
and B. Wittenmark, 1971;
*An approach to adaptive control using real-time identification*, Automatica, V. 7, pp. 211-218

The note by **du Plessis** is a * must have* classic.
You can now purchase copies of the
du Plessis book from Taygeta Scientific!

The book edited by **Gelb**
is the one book that *anyone* that does Kalman filtering should have on
their shelf (where it is handy to get at).

Everett (Skip) Carter Phone: 831-641-0645 FAX: 831-641-0647 Taygeta Scientific Inc. INTERNET: skip@taygeta.com 1340 Munras Ave., Suite 314 UUCP: ...!uunet!taygeta!skip Monterey, CA. 93940 WWW: http://www.taygeta.com/skip.htmlSkips Home page