Engineers Do It, Scientists Do It, Mathematicians?

Abstract

There is a magnificent mathematical gem missing from most numerical analysis curricula. A literature search of numerical analysis and mathematical modeling texts indicates its absence. What is missing from the numerical analysis toolbox and why isn't it there? The missing tool is the Kalman filter. The Kalman filter requires a modest knowledge of statistics. Is this why it is missing from the toolbox? Read and reach your own conclusion whether this piece of mathematics should be part of a numerical analysis or mathematical modeling curriculum.