Friday 29 December 2023

SigLib Now Includes Kalman Filtering Functions

Over the holiday period I decided to refresh my knowledge of Kalman filters by watching the excellent video series here: Kalman Filter YouTube Lessons.

Here is a diagram to show the architecture of the Kalman Filter:

As a result, I have now added 1D and 2D Kalman filters to the SigLib DSP Library, which can be found here:

In the comments here, Gergely Tak√°cs mentioned his excellent Matlab and Python examples that can be found here: Inspired by Gergely I have added the same example to the SigLib DSP Library examples.