The Kalman Filter is an algorithm that uses measurements observed over time to produce estimates of unknown variables. It is essential for GPS navigation, aerospace tracking, and robotics.

Combining an Accelerometer and a Gyroscope to get a stable orientation for a smartphone or drone.

Key concepts:

% Update K = P * H' / (H * P * H' + R); x = x + K * (z(k) - H * x); P = (eye(2) - K * H) * P;