Kalman filtering framework

Object framework for filtering using Kalman filter, EKF, or UKF.

Object-based framework for performing Kalman filtering for discrete time systems or continuous-discrete hybrid systems. Includes code for the classical Kalman filter for linear systems, the extended Kalman filter (EKF), and the more recent unscented Kalman filter (UKF). Both linear and non-linear noise in the system and observation are permitted.

Three examples are included in the demos folder.