The Kalman filter is a computational tool that provides an efficient solution of the least-squares method. The algorithm processes measurements to deduce an optimum estimate of the past, present, or future state of a linear system by
using a time sequence of measurements of the system behavior, plus a statistical model that characterizes the system and measurement errors, plus initial conditions. The Kalman filter has found widespread usage in applications as
diverse as tracking, navigation, GPS, sales estimation, and econometric modelling.
The Kalman Filter Design Studio is a GUI-based environment built with O-Matrix for graphically designing, building, and analyzing Kalman filters. The integrated environment is used both as a tool to design Kalman filters, and to accelerate the implementation of existing filter designs. The product distribution includes extensive examples to both illustrate visual filter design, and to explain the principles of Kalman filters.