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Basic Kalman filter implementation in C++ using Eigen

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Kalman Filter

This is a basic Kalman filter implementation in C++ using the Eigen library. It implements the algorithm directly as found in An Introduction to the Kalman Filter.

This filter has been successfully used for the Iron Dome, a robotic system which detects and intercepts dynamically thrown projectiles in fractions of a second.

There is a test program that estimates the motion of a projectile based on noisy observations. To run it, use CMake:

cd kalman-cpp
mkdir build
cd build
cmake ..

Note: You may have to specify the path to your Eigen library in


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