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
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Correct matrix description in quickstart example #297
Thanks for the project! :raised_hands:
'Measurement noise' was mistakenly labelled 'state uncertainty'