KALMAN FILTERING
KALMAN FILTERING
Theory and Practice Using MATLAB
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Third Edition
MOHINDER S. GREWAL
California State University at Fullerton
ANGUS P. ANDREWS
Rockwell Science Center (retired)
Copyright # 2008 by John Wiley & Sons, Inc. All rights reserved
Published by John Wiley & Sons, Inc., Hoboken, New Jersey
Published simultaneously in Canada
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Library of Congress Cataloging-in-Publication Data:
Grewal, Mohinder S.
Kalman filtering : theory and practice using MATLAB/Mohinder S. Grewal,
Angus P. Andrews. — 3rd ed.
p. cm.
Includes bibliographical references and index.
ISBN 978-0-470-17366-4 (cloth)
1. Kalman filtering. 2. MATLAB. I. Andrews, Angus P. II. Title.
QA402.3.G695 2008
629.8’312—dc22
200803733
Printed in the United States of America
10987654321
CONTENTS
Preface ix
Acknowledgments xiii
List of Abbreviations xv
1 General Information 1
1.1 On Kalman Filtering, 1
1.2 On Optimal Estimation Methods, 5
1.3 On the Notation Used In This Book, 23
1.4 Summary, 25
Problems, 26
2 Linear Dynamic Systems 31
2.1 Chapter Focus, 31
2.2 Dynamic System Models, 36
2.3 Continuous Linear Systems and Their Solutions, 40
2.4 Discrete Linear Systems and Their Solutions, 53
2.5 Observability of Linear Dynamic System Models, 55
2.6 Summary, 61
Problems, 64
3 Random Processes and Stochastic Systems 67
3.1 Chapter Focus, 67
3.2 Probability and Random Variables (RVs), 70
3.3 Statistical Properties of RVs, 78
v
