Linear Kalman Filter

A basic Linear Kalman filter implementation in C++ using the Eigen library.

Use this as a library

Just use kalman.cpp and kalman.hpp as self-contained library. Eigen is the only dependency.

Example program

Source file example.cpp contains a simple example of an estimation of uniformly accelerated motion, where position is the only measure (affected by Gaussian noise).

Test it with:

mkdir build && cd build
cmake ..
make
./example

The output log file can be processed with plot_log.py.