KalmanFilterEngine.jl

This package provides a set of Kalman filters that can estimate the state of a continuous-time dynamical system given as imput a sequence of discrete-time measurements

$$\begin{array}{c} \dot x = f(t,x) + w\\\ y_k = h(t_k,x_k) + r_k \end{array}$$

where w is a zero-mean continuous time white process noise with two-sided power spectral density equal to W, and r_k is a zero-mean discrete time white measurement noise with covariance equal to R_k.

Installation

Just type:

using Pkg
Pkg.add(url="https://github.com/FraCpl/KalmanFilterEngine.jl")

Documentation

The full documentation is available here.