Kalman filtering: With real-time applications, fifth edition

Charles Kam-Tai CHUI, Guanrong Chen

Research output: Book/ReportBook or reportpeer-review

174 Citations (Scopus)


This new edition presents a thorough discussion of the mathematical theory and computational schemes of Kalman filtering. The filtering algorithms are derived via different approaches, including a direct method consisting of a series of elementary steps, and an indirect method based on innovation projection. Other topics include Kalman filtering for systems with correlated noise or colored noise, limiting Kalman filtering for time-invariant systems, extended Kalman filtering for nonlinear systems, interval Kalman filtering for uncertain systems, and wavelet Kalman filtering for multiresolution analysis of random signals. Most filtering algorithms are illustrated by using simplified radar tracking examples. The style of the book is informal, and the mathematics is elementary but rigorous. The text is self-contained, suitable for self-study, and accessible to all readers with a minimum knowledge of linear algebra, probability theory, and system engineering. Over 100 exercises and problems with solutions help deepen the knowledge. This new edition has a new chapter on filtering communication networks and data processing, together with new exercises and new real-time applications.

Original languageEnglish
PublisherSpringer International Publishing
Number of pages247
ISBN (Electronic)9783319476124
ISBN (Print)9783319476100
Publication statusPublished - 1 Jan 2017

Scopus Subject Areas

  • Physics and Astronomy(all)
  • Economics, Econometrics and Finance(all)
  • Business, Management and Accounting(all)
  • Mathematics(all)
  • Engineering(all)
  • Computer Science(all)

User-Defined Keywords

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  • Filtering communication networks
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  • Textbook kalman filtering


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