Kalman Filter for beginners

Kalman filter is an algorithm of predicting the future state of a system based on the previous ones.

In the presentation, I introduce to basic Kalman filtering step by step, with providing examples for better understanding. 

Source

C#

KalmanDemo

Python

pykalman: the dead simple Kalman Filter, Kalman Smother, and EM library

ANSI C

recovery of motion and 3D structure from a sequence of images.

References

• Kalman, R. E. 1960. “A New Approach to Linear Filtering and Prediction Problems”, Transaction of the ASME – Journal of Basic Engineering, March 1960
  
• Greg Welch, Gary Bishop, "An Introduction to the Kalman Filter", University of North Carolina at Chapel Hill Department of Computer Science, 2001
  
• Lindsay Kleeman, "Understanding and Applying Kalman Filtering", Department of Electrical and Computer Systems Engineering
  
• Simon D. Levy, “Kalman Filter Interactive Tutorial”
  
• M.S.Grewal, A.P. Andrews, "Kalman Filtering - Theory and Practice Using MATLAB", Wiley, 2001
  
• MIT Video Lecture on the Kalman filter, YouTube