https://github.com/rpavlik/eigen-kalman

Classes to implement flexible Kalman-type filters using the great Eigen matrix math template library. Inspired by the design of the Kalman filters in the TOON AlGorithms (TAG) library built on the Tom's Object Oriented Numerics (TOON) matrix math library.

This is a single header, and only requires the availability of a 2.x (ancient by this writing!) or newer version of Eigen. Old snapshots are bundled with this repo for testing purposes, but use of newer versions is encouraged.

Between the documentation in the header, and the sample programs in the main directory, you should hopefully be able to get the idea of how to use it. You might also see glove-tools for a sample "production" usage of this library.

If you find this useful, we would appreciate hearing from you. You may contact the main developer, Ryan Pavlik, by email at ryan.pavlik@gmail.com or abiryan@ryand.net.

This was originally developed during graduate studies under Dr. Judy M. Vance, Iowa State University Virtual Reality Applications Center.