• Applied Optimal Estimation
• Fundamentals Of Kalman Filtering: A Practical Approach (Progress in Astronautics and Aeronautics)
• Optimal Control Theory: An Introduction
• Optimal State Estimation: Kalman, H Infinity, and Nonlinear Approaches
• Global Positioning Systems, Inertial Navigation, and Integration

Lacking explanations as a textbook
I am trying to learn the subject by reading this and Gelb. Even though this book covers a lot of introductory concepts, it is lacking proper derivation of equations that I usually see in most math and physics textbooks. I find this book very disappointing for its price.

what you need to get started
Review written by: K. McLaughlin From USA
I have read over simplified and over complicated descriptions
of the Kalman filter for years. The theoretical discussion is
well matched to the examples. THe authors have obviously had
extensive experiance TEACHING to a wide range of students and
the book benefits from their experiance.

I was able to program filters for three of the examples that
most closely match my own applications and exploit what I
learned in a matter of hours. The MATLAB code was useful, but
not critical.

what you need to get started
Review written by: K. McLaughlin From USA
I have read over simplified and over complicated descriptions
of the Kalman filter for years. The theoretical discussion is
well matched to the examples. THe authors have obviously had
extensive experiance TEACHING to a wide range of students and
the book benefits from their experiance.

I was able to program filters for three of the examples that
most closely match my own applications and exploit what I
learned in a matter of hours. The MATLAB code was useful, but
not critical.

Best Kalman filter book
Review written by: Tom Homsley From Madison, AL USA
I use this book on a daily basis. It is worth its weight in gold.

Kalman filters, Brown & Hwang vs. Gelb
Review written by: Donald L. Mackison From Boulder, CO United States
This is not my favorite text on Kalman filters. I find there is too much emphasis on elementary, preliminary material, and not enough on application.

I teach the subject out of my own notes (draft book) where the development follows that of Gelb, Applied Optimal Estimation, and all of the computations are done in Matlab. I first read Kalman's original papers in great detail, and rederived his work before the Gelb book (MIT Press, 1974) was published. Since the advdent of Matlab (1984) I have continued to used Gelb's derivations, and augmented that work with extensive Matlab examples.

I still find Gelb more usable as a text than other, newer books, and will continue to use it along with my Matlab supplements.