Kalman Filtering: Theory and Practice using MATLAB

by Mohinder S. Grewal and Angus P. Andrews

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.

Numerical Code To Accompany Individual Sections/Problems:
    Chapter 2 (Linear Dynamic Systems):
    Chapter 3 (Random Proceses and Stochastic Systems):
    Chapter 4 (Linear Optimal Filters and Predictors):
    Chapter 6 (Implementation Methods):

John Weatherwax
Last modified: Thu Jul 5 21:16:19 EDT 2007