The Kalman Filter: The Mathematics of Knowing Where You Are

The Kalman filter is a hidden mathematical tool with an enormous impact on our daily lives. Most people have never heard of it – yet it quietly powers everything from spaceflight and aviation to our GPS, smartphones, and wearable devices. Developed in the late 1950s and early 60s, the Kalman filter provides the optimal solution to this problem: If you have an imperfect prediction of where something should be…and a noisy measurement of where it seems to be…what’s the best estimate of where it actually is? And more remarkably – it lets you answer that question over and over again, in real time. In this episode, we explore the origins, ideas, and lasting influence of the Kalman filter with two world‑leading experts, Laureate Professor Emeritus Rob Evans and Professor Bill Moran from The University of Melbourne. Along the way, we unpack concepts like least squares, minimum mean square error, and even dip into probability and statistics, including Bayes’ Theorem. But don’t let that scare you off – because this is a story about powerful mathematics hiding in plain sight – and quietly shaping the technology we rely on every day. Our host for this episode is Dr Tom Kimpson, a Postdoctoral Research Fellow with MACSYS at The University of Melbourne. The episode webpage: https://www.therandomsample.com.au/podcast/kalman-filter/  See omnystudio.com/listener for privacy information.