It has been four decades since Kalman introduced his systematic approach to linear filtering based on the method of least-squares (Kalman, R. E., "A New Approach to Linear Filtering and Prediction Problems," Journal of Basic Engineering, Vol. 82, No. 1, March 1960, pp. 35 46). Although his original journal article was difficult to read and understand, the results of the paper were applied immediately in many different fields by individuals with a variety of backgrounds because the filtering algorithm actually worked and was easy to implement on a digital computer. People were able to apply Kalman filtering without necessarily understanding or caring about the intricacies of its derivation. Because of the ease of implementation of the original recursive digital Kalman filter, engineers and scientists were able to find out immediately that this new filtering technique was often much better than existing filtering techniques in terms of performance. Both performance improvements and ease of implementation rather than analytical elegance made the Kalman filter popular in the world of applications. However, the Kalman filter was usually much more computationally expensive than existing filtering techniques, which was an issue in many cases for the primitive computers that were available at that time. In addition to improved performance, this new filtering technique also provided a systematic approach to many problems, which was also an improvement over some of the ad hoc schemes of the day. Today, because of the popularity and proliferation of Kalman filtering, many individuals either do not know (or care) about...