Theoretically, the Kalman filter is an estimator for what is called the linear-quadratic
problem, which is the problem of estimating the instantaneous “state” (a concept that
will be made more precise in the next chapter) of a linear dynamic system perturbed
by white noise—by using measurements linearly related to the state but corrupted
by white noise. The resulting estimator is statistically optimal with respect to any
quadratic function of estimation error.
Practically, the Kalman filter is one of the greater discoveries in the history of statistical
estimation theory and possibly the greatest discovery in the twentieth century.
It has enabled humankind to do many things that could not have been done without it,
and it has become as indispensable as silicon in the makeup of many electronic
systems. Its most immediate applications have been for the control of complex
dynamic systems such as continuous manufacturing processes, aircraft, ships, or
spacecraft. To control a dynamic system, you must first know what it is doing. For
these applications, it is not always possible or desirable to measure every variable