Application of the Kalman Filter to inventory Control

Abstract

This paper presents a brief introduction to state estimation techniques, in particular Kalman filtering. A description of the Kalman filter and its properties is given. An example employing a three-state K, alman filter is given which highlights the modeling capabilities of the estimation technique. The example, concerned with estimating material loss, is contrasted with the standard CUSUM control chart statistic.

KEY WORDS:

• Kalman filtering
• State estimation
• Safeguards
• CUSUM
• Prediction
• Control theory