Installation

Installing by using PyPi

Install

git clone https://github.com/intsystems/Kalman-filter-and-his-friends /tmp/Kalman-filter-and-his-friends
python3 -m pip install /tmp/Kalman-filter-and-his-friends/src/

Uninstall

python3 -m pip uninstall kalman

Basic Usage

1. Standard Kalman Filter

from kalman.filters import KalmanFilter

# Define your system matrices
A = ...  # State transition matrix
H = ...  # Observation matrix
Q = ...  # Process noise covariance
R = ...  # Observation noise covariance
x0 = ... # Initial state
P0 = ... # Initial covariance

kf = KalmanFilter(A, H, Q, R, x0, P0)

for z in measurements:
    kf.predict()
    kf.update(z)
    print("Current state estimate:", kf.x)

2. Extended/Unscented/Variational/Deep Kalman Filters

You can use other filters in a similar way:

from kalman.extended import ExtendedKalmanFilter
from kalman.unscented import UnscentedKalmanFilter
from kalman.vkf import VariationalKalmanFilter

# Initialize with your model parameters
ekf = ExtendedKalmanFilter(...)
ukf = UnscentedKalmanFilter(...)
vkf = VariationalKalmanFilter(...)
dkf = DeepKalmanFilter(...)