The Kalman filter is linear quadratic estimator. We assume the system is linear, which should be good enough for our purposes. For non linear systems, do an extended Kalman filter. However, this takes much more computational resources and is much more unstable. | The Kalman filter is linear quadratic estimator. We assume the system is linear, which should be good enough for our purposes. For non linear systems, do an extended Kalman filter. However, this takes much more computational resources and is much more unstable. |