Abstract: As an important optimal estimation theory,Kalman filter has been used in many fields.There are some truths in a practical system which cause filtering divergence,such as model uncertainties and statistical characteristics of interference signal known incompletely.This paper takes interval parameters that have interval membership function to Kalman filter,and let interval set denote membership function,whick provides a new way to slove system optimization problem with uncertain parameters.The results from the actual GPS/IMU integrated system indicate that the filtering method proposed is effective.