The KF: Navigation's Integration Workhorse

Since its introduction in 1960, the Kalman filter has become an integral component in thousands of military and civilian navigation systems. This deceptively simple, recursive digital algorithm has been an early-on favorite for conveniently integrating (or fusing) navigation sensor data to achieve optimal overall system performance. To provide current estimates of the system variables -such as position coordinates -the filter uses statistical models to properly weight each new measurement relative to past information. It also determines up-to-date uncertainties of the estimates for real-time quality assessments or for off-line system design studies. Because of its optimum performance, versatility, and ease of implementation, the Kalman filter has been especially popular in GPS/inertial and GPS stand-alone devices. In this month's column, Larry Levy will introduce us to the Kalman filter and outline its application in GPS navigation.