Python Kalman filtering and optimal estimation library. Implements Kalman filter, particle filter, Extended Kalman filter, Unscented Kalman filter, g-h (alpha-beta), least squares, H Infinity, smoothers, and more. Has companion book 'Kalman and Bayesian Filters in Python'.
MIT License
3.23k
stars
614
forks
source link
ensure rts_smooter covariance is positive semidefinite #230
Rounding errors can cause small negative values for the covariance. Ensure these are removed with the 0.5*(P + P.T) trick.