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'.
The following comment on the homepage of the documentation is out of date:
It’s already a bit hard to read because of the dot function calls (required because Python does not yet support an operator for matrix multiplication).
This relates to:
K = dot(P, H.T).dot(inv(dot(H, P).dot(H.T) + R))
Since Python 3.5 and NumPy 1.10.0, you can now use the @ operator.
The following comment on the homepage of the documentation is out of date:
This relates to:
Since Python 3.5 and NumPy 1.10.0, you can now use the @ operator.