History
The papers establishing the mathematical foundations of Kalman type filters were published between 1959 and 1961. The primary drawback of the Kalman Filter is that it is the optimal estimate for linear system models with additive independent white noise in both the transition and the measurement systems. Unfortunately in engineering most systems are nonlinear, so some attempt was immediately made to apply this filtering method to nonlinear systems. Most of this work was done at NASA Ames. The EKF which adapted techniques, namely multivariate Taylor Series expansions, from calculus to linearize about a working point became the working solution. If the system model (as described below) is not well known or is inaccurate, then Monte Carlo methods, especially particle filters are employed for estimation. Monte Carlo techniques predate the existence of the EKF but are more computationally expensive for any moderately dimensioned state-space.
Read more about this topic: Extended Kalman Filter
Famous quotes containing the word history:
“Like their personal lives, women’s history is fragmented, interrupted; a shadow history of human beings whose existence has been shaped by the efforts and the demands of others.”
—Elizabeth Janeway (b. 1913)
“A poet’s object is not to tell what actually happened but what could or would happen either probably or inevitably.... For this reason poetry is something more scientific and serious than history, because poetry tends to give general truths while history gives particular facts.”
—Aristotle (384–323 B.C.)
“All history becomes subjective; in other words there is properly no history, only biography.”
—Ralph Waldo Emerson (1803–1882)