filterpy
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rlabbe
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, smoothe...
I initialize z to [[None], [None], [None]] in several places. It should never be 2 dimensional by default. Use z_reshape anywhere this is done to ensure it is the right...
I came across this function while reading https://github.com/rlabbe/Kalman-and-Bayesian-Filters-in-Python/blob/master/03-Gaussians.ipynb. It is copy pasted into the book: ```python def rand_student_t(df, mu=0, std=1): """return random number distributed by Student's t distribution with `df`...
Missing Section on "Analytic Evaluation of Filter Performance", can you recommend other resources?
Hello, I'm greatly enjoying and benefiting from your book. I noticed the section on "Analytic Evaluation of Filter Performance" is missing content. **Could someone recommend some resources for learning about...
Right now the IMM hard codes in the predict step, which makes it suitable only for linear process models. At the minimum, make a predict() function that can be overloaded....
I was using `KalmanFilter` for something fairly simple, and had an issue where I was assigning the `Q` attribute a matrix with the incorrect shape (I believe I supplied a...
It seems like that when running rts_smoother, it can also calculate $Cov(\theta_t, \theta_{t-1})$, when $theta_t, \theta_{t-1}$ are all multidimensional yet same dimensional. However, rts_smoother only return the $Cov(\theta_t)$, which is...
I notice that there aren't entries for control input vector **u** and control transition matrix **B** in the rts_smoother implementation, unlike the KalmanFilter.predict.
I was lucky enough to assist to a seminary by Pr. H.R. Kunsch (ETH Zurich) recently, and he talked about the Ensemble Kalman Particle Filter. The idea if I get...
You should factorize “the estimated predicted error covariance” on formula (43) , before "3)Evaluate the propagated cubature points" in the Measurement Update section.
I mostly use graphs to 'eyeball' how things are working. Tthere are well known performance bounds, such as Cramer-Rao, for these filters. I need to think through what I want...