R. E. Kalman

New Results in Linear Filtering and Prediction Theory

A nonlinear differential equation of the Riccati type is derived for the covariance matrix of the optimal filtering error. The solution of this “variance equation” completely sp...

Contributions to the theory of optimal control

This paper was in fact the first to introduce the RDE as an algorithm for computing the state feedback gain of the optimal controller for a general linear system with a quadrati...

On the general theory of control systems

A unified approach to the theory of sampling systems

A New Approach to Linear Filtering and Prediction Problems

The classical filtering and prediction problem is re-examined using the Bode-Shannon representation of random processes and the “state-transition” method of analysis of dynamic ...