Adaptive Kalman filter

The code in this repository implements an adaptive Kalman filter for linear systems with unknown process and measurement noise covariance.

The filter is based on the work "Adaptive Kalman Filter for Detectable Linear Time-Invariant Systems" by Moghe, Zanetti and Akella at https://arc.aiaa.org/doi/full/10.2514/1.G004359.

Package dependencies

Name		Name	Last commit message	Last commit date
Latest commit History 53 Commits
.ipynb_checkpoints		.ipynb_checkpoints
__pycache__		__pycache__
LICENSE		LICENSE
README.md		README.md
adaptive_kalman_filter.py		adaptive_kalman_filter.py
adaptive_kalman_filter_scalar_tiny.py		adaptive_kalman_filter_scalar_tiny.py
adaptive_kalman_filter_scalar_tiny_plot.css		adaptive_kalman_filter_scalar_tiny_plot.css
adaptive_kalman_filter_scalar_tiny_plot.ipynb		adaptive_kalman_filter_scalar_tiny_plot.ipynb
adaptive_kalman_filter_scalar_tiny_plot.py		adaptive_kalman_filter_scalar_tiny_plot.py
adaptive_kalman_filter_scalar_tiny_plot2.css		adaptive_kalman_filter_scalar_tiny_plot2.css
adaptive_kalman_filter_scalar_tiny_plot2.ipynb		adaptive_kalman_filter_scalar_tiny_plot2.ipynb
adaptive_kalman_filter_scalar_tiny_plot2_precomp.ipynb		adaptive_kalman_filter_scalar_tiny_plot2_precomp.ipynb
adaptive_kalman_filter_scalar_tiny_plot2_rise.ipynb		adaptive_kalman_filter_scalar_tiny_plot2_rise.ipynb
environment.yml		environment.yml
matrixmath.py		matrixmath.py
multivariate_t_distribution.py		multivariate_t_distribution.py
postBuild		postBuild
rise.css		rise.css