Kalman Filtering: Theory and Practice using MATLAB

by Mohinder S. Grewal and Angus P. Andrews

Introduction
This is an excellent textbook on Kalman filtering theory. I found the problems very challenging. I would recommend it highly. You can find solutions to the problems I have had time to typeset below.

• The Most Recent Solution Manual

Chapter 2 (Linear Dynamic Systems):

• prob_2_6.nb (some algebra for this problem)
Chapter 3 (Random Proceses and Stochastic Systems):

• prob_3_6.m (some simple calculations)
• prob_3_8.m (plots the integration region)
• prob_3_21.nb (some algebra for this problem)
• prob_3_23_d.m (plot the given function w(t))
• prob_3_32.nb (some algebra for this problem)
• prob_3_37.nb (some algebra for this problem)
• prob_3_38.nb (some algebra for this problem)
Chapter 4 (Linear Optimal Filters and Predictors):

• prob_4_1.m (some simple calculations)
• prob_4_8.m (some simple calculations)
• prob_4_12.nb (some simple calculations)
Chapter 6 (Implementation Methods):

• prob_6_1.m (Moler matrices)
• prob_6_2.m (more Moler matrices)