This is a basic Kalman filter implementation in C++ using the Eigen library. It implements the algorithm directly as found in [An Introduction to the Kalman Filter] (http://www.cs.unc.edu/~welch/media/pdf/kalman_intro.pdf).
This filter has been successfully used for the Iron Dome, a robotic system which detects and intercepts dynamically thrown projectiles in fractions of a second.
There is a test program that estimates the motion of a projectile based on noisy observations. To run it, use CMake:
cd kalman-cpp
mkdir build
cd build
cmake ..
make
./kalman-test
Note: You may have to specify the path to your Eigen library in
CMakeLists.txt.