Linear problems are ones in the form of sum(a_i * f_i(x)). So all Newton ballistics are linear because acceleration is a*x^2. Sometimes people who deal in proba

Linear problems are ones in the form of sum(a_i * f_i(x)). So all Newton ballistics are linear because acceleration is a*x^2. Sometimes people who deal in probably refer to systems where the noise is Brownian as linear as well. So, both descriptions of linearity apply to a regular Kalman filter. There are Extended Kalman Filter and Unscented Kalman Filters that are designated to relax both of these constraints, but they aren’t perfect.