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This is an open source Kalman filter C++ library based on Eigen3 library for matrix operations. The library has generic template based classes for most of Kalman filter variants including: (1) Kalman Filter, (2) Extended Kalman Filter, (3) Unscented Kalman Filter, and (4) Square-root UKF..

Parallel Non Linear Gaussian Smoothers ⭐ 13

Companion code in JAX for the paper Parallel Iterated Extended and Sigma-Point Kalman Smoothers.

Contains my assignments and labs for Udacity's Self-Driving Car Engineer nanodegree

Sqrt Parallel Smoothers ⭐ 5

A generic library for linear and non-linear Gaussian smoothing problems. The code leverages JAX and implements several linearization algorithms, both in a sequential and parallel fashion, as well as efficient gradient rules for computing gradients of required quantities (such as the pseudo-loglikelihood of the system).

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