What have been implemeted:

• Kalman filter
• Extended Kalman filter
• Second order extended Kalman filter

Please use cmake to build all the codes.

The steps to compile are:

mkdir build
cd build
cmake ..
make

In a Windows system, a Visual Studio solution file (VS 2008) is provided.

This library utilizes Armadillo. In linux system, you can get it from your distribution repository. In Windows system, all necessary precompiled libraries are provided in "windows-libs" folder. The contents of windows-libs.zip need to be first extracted. In "bin" folder there are necessary DLLs (blas and lapack) to run your programs. Armadillo itself is very easy to use. More information on the Armadillo can be found here.

MATLAB m-files for each example are provided in 'm-files' folder. Octave can also be used instead of MATLAB.

See documentation here.