Kalman Filter - Linear Quadratic Estimation (LQE)

• for statistics and control theory
• is an algorithm that uses a series of measurements observed over time, including statistical noise and other inaccuracies, and produces estimates of unknown variables that tend to be more accurate than those based on a single measurement alone, by estimating a joint probability distribution over the variables for each timeframe

Applications

• guidance, navigation, and control of vehicles, particularly aircraft, spacecraft, and ships positioned dynamically
• time-series analysis (e.g. signal processing and econometrics)
• robotic motion planning and control
• trajectory optimization
• modeling the central nervous system’s control of movement