The objective of the Non-Linear Filtering course is to explain state of the art, algorithms and applications in non-linear filtering. The course starts with a review of the theory on linear and non-linear estimation, with a focus to sensor network applications. Then, general non-linear filter theory is surveyed, with a particular detail on particle filtering. Complexity and implementation issues are discussed in detail. Simultaneous localization and mapping (SLAM) is used as a challenging application area of high-dimensional non-linear filtering problems.