Kaiman filtering is frequently used in high energy physics particle tracking. For inhomogeneous magnetic fields, the transport isn’t linear though, so we pair i

Kaiman filtering is frequently used in high energy physics particle tracking. For inhomogeneous magnetic fields, the transport isn’t linear though, so we pair it with 4th order Runge-Kutta for state and covariant propagation. Works pretty well and is typically faster than the alternatives.