A C++ port using RcppArmadillo of the EKF/UKF toolbox for Matlab


R has a number of existing Kalman filter packages which are all very noteworthy in their own right. A comparison was provided by this JSS paper from 2011.

Yet I had a need for something both simple and fast at the C++ level.

The EKF/UKF toolbox for Matlab proved to be a wonderful source of excellent code that was well documented (see [this 130 page pdf manual]http://becs.aalto.fi/en/research/bayes/ekfukf/documentation.pdf()), under a suitable license and covering both simple examples as well as promising extensions.


The code


produces this chart

RcppKalman demo chart
which reproduces Figures 3.1 and 3.2 from the third chapter (on nonlinear state-space estimation) of the UKF/EKF manual.


The package is hosted in this GitHub repository and as of this writing not yet on CRAN.


GPL (>= 2) just like R, Rcpp, RcppArmadillo and EKF/UKF.


The package is still pretty young and incomplete.


Dirk Eddelbuettel for this package.
Simo Särkkä, Jouni Hartikainen, and Arno Solin for EKF/UKF.

Initially created: Sun Apr 27 07:34:20 CDT 2014
Last modified: Tue Jan 06 21:35:35 CST 2015