Kalman Filter book using Jupyter Notebook. Focuses on building intuition and experience, not formal proofs. Includes Kalman filters,extended Kalman filters, unscented Kalman filters, particle filters, and more. All exercises include solutions.


Kalman and Bayesian Filters in Python

Introductory text for Kalman and Bayesian filters. All code is written in Python, and the book itself is written using Juptyer Notebook so that you can run and modify the code in your browser. What better way to learn?

"Kalman and Bayesian Filters in Python" looks amazing! ... your book is just what I needed - Allen Downey, Professor and O'Reilly author.

Thanks for all your work on publishing your introductory text on Kalman Filtering, as well as the Python Kalman Filtering libraries. We’ve been using it internally to teach some key state estimation concepts to folks and it’s been a huge help. - Sam Rodkey, SpaceX

Start reading online now by clicking the binder or Azure badge below:


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What are Kalman and Bayesian Filters?

Sensors are noisy. The world is full of data and events that we want to measure and track, but we cannot rely on sensors to give us perfect information. The GPS in my car reports altitude. Each time I pass the same point in the road it reports a slightly different altitude. My kitchen scale gives me different readings if I weigh the same object twice.

In simple cases the solution is obvious. If my scale gives slightly different readings I can just take a few readings and average them. Or I can replace it with a more accurate scale. But what do we do when the sensor is very noisy, or the environment makes data collection difficult? We may be trying to track the movement of a low flying aircraft. We may want to create an autopilot for a drone, or ensure that our farm tractor seeded the entire field. I work on computer vision, and I need to track moving objects in images, and the computer vision algorithms create very noisy and unreliable results.

This book teaches you how to solve these sorts of filtering problems. I use many different algorithms, but they are all based on Bayesian probability. In simple terms Bayesian probability determines what is likely to be true based on past information.

If I asked you the heading of my car at this moment you would have no idea. You'd proffer a number between 1° and 360° degrees, and have a 1 in 360 chance of being right. Now suppose I told you that 2 seconds ago its heading was 243°. In 2 seconds my car could not turn very far, so you could make a far more accurate prediction. You are using past information to more accurately infer information about the present or future.

The world is also noisy. That prediction helps you make a better estimate, but it also subject to noise. I may have just braked for a dog or swerved around a pothole. Strong winds and ice on the road are external influences on the path of my car. In control literature we call this noise though you may not think of it that way.

There is more to Bayesian probability, but you have the main idea. Knowledge is uncertain, and we alter our beliefs based on the strength of the evidence. Kalman and Bayesian filters blend our noisy and limited knowledge of how a system behaves with the noisy and limited sensor readings to produce the best possible estimate of the state of the system. Our principle is to never discard information.

Say we are tracking an object and a sensor reports that it suddenly changed direction. Did it really turn, or is the data noisy? It depends. If this is a jet fighter we'd be very inclined to believe the report of a sudden maneuver. If it is a freight train on a straight track we would discount it. We'd further modify our belief depending on how accurate the sensor is. Our beliefs depend on the past and on our knowledge of the system we are tracking and on the characteristics of the sensors.

The Kalman filter was invented by Rudolf Emil Kálmán to solve this sort of problem in a mathematically optimal way. Its first use was on the Apollo missions to the moon, and since then it has been used in an enormous variety of domains. There are Kalman filters in aircraft, on submarines, and on cruise missiles. Wall street uses them to track the market. They are used in robots, in IoT (Internet of Things) sensors, and in laboratory instruments. Chemical plants use them to control and monitor reactions. They are used to perform medical imaging and to remove noise from cardiac signals. If it involves a sensor and/or time-series data, a Kalman filter or a close relative to the Kalman filter is usually involved.


The motivation for this book came out of my desire for a gentle introduction to Kalman filtering. I'm a software engineer that spent almost two decades in the avionics field, and so I have always been 'bumping elbows' with the Kalman filter, but never implemented one myself. As I moved into solving tracking problems with computer vision the need became urgent. There are classic textbooks in the field, such as Grewal and Andrew's excellent Kalman Filtering. But sitting down and trying to read many of these books is a dismal experience if you do not have the required background. Typically the first few chapters fly through several years of undergraduate math, blithely referring you to textbooks on topics such as Itō calculus, and present an entire semester's worth of statistics in a few brief paragraphs. They are good texts for an upper undergraduate course, and an invaluable reference to researchers and professionals, but the going is truly difficult for the more casual reader. Symbology is introduced without explanation, different texts use different terms and variables for the same concept, and the books are almost devoid of examples or worked problems. I often found myself able to parse the words and comprehend the mathematics of a definition, but had no idea as to what real world phenomena they describe. "But what does that mean?" was my repeated thought.

However, as I began to finally understand the Kalman filter I realized the underlying concepts are quite straightforward. A few simple probability rules, some intuition about how we integrate disparate knowledge to explain events in our everyday life and the core concepts of the Kalman filter are accessible. Kalman filters have a reputation for difficulty, but shorn of much of the formal terminology the beauty of the subject and of their math became clear to me, and I fell in love with the topic.

As I began to understand the math and theory more difficulties present themselves. A book or paper's author makes some statement of fact and presents a graph as proof. Unfortunately, why the statement is true is not clear to me, nor is the method for making that plot obvious. Or maybe I wonder "is this true if R=0?" Or the author provides pseudocode at such a high level that the implementation is not obvious. Some books offer Matlab code, but I do not have a license to that expensive package. Finally, many books end each chapter with many useful exercises. Exercises which you need to understand if you want to implement Kalman filters for yourself, but exercises with no answers. If you are using the book in a classroom, perhaps this is okay, but it is terrible for the independent reader. I loathe that an author withholds information from me, presumably to avoid 'cheating' by the student in the classroom.

From my point of view none of this is necessary. Certainly if you are designing a Kalman filter for an aircraft or missile you must thoroughly master all of the mathematics and topics in a typical Kalman filter textbook. I just want to track an image on a screen, or write some code for an Arduino project. I want to know how the plots in the book are made, and chose different parameters than the author chose. I want to run simulations. I want to inject more noise in the signal and see how a filter performs. There are thousands of opportunities for using Kalman filters in everyday code, and yet this fairly straightforward topic is the provenance of rocket scientists and academics.

I wrote this book to address all of those needs. This is not the book for you if you program navigation computers for Boeing or design radars for Raytheon. Go get an advanced degree at Georgia Tech, UW, or the like, because you'll need it. This book is for the hobbyist, the curious, and the working engineer that needs to filter or smooth data.

This book is interactive. While you can read it online as static content, I urge you to use it as intended. It is written using Jupyter Notebook, which allows me to combine text, math, Python, and Python output in one place. Every plot, every piece of data in this book is generated from Python that is available to you right inside the notebook. Want to double the value of a parameter? Click on the Python cell, change the parameter's value, and click 'Run'. A new plot or printed output will appear in the book.

This book has exercises, but it also has the answers. I trust you. If you just need an answer, go ahead and read the answer. If you want to internalize this knowledge, try to implement the exercise before you read the answer.

This book has supporting libraries for computing statistics, plotting various things related to filters, and for the various filters that we cover. This does require a strong caveat; most of the code is written for didactic purposes. It is rare that I chose the most efficient solution (which often obscures the intent of the code), and in the first parts of the book I did not concern myself with numerical stability. This is important to understand - Kalman filters in aircraft are carefully designed and implemented to be numerically stable; the naive implementation is not stable in many cases. If you are serious about Kalman filters this book will not be the last book you need. My intention is to introduce you to the concepts and mathematics, and to get you to the point where the textbooks are approachable.

Finally, this book is free. The cost for the books required to learn Kalman filtering is somewhat prohibitive even for a Silicon Valley engineer like myself; I cannot believe they are within the reach of someone in a depressed economy, or a financially struggling student. I have gained so much from free software like Python, and free books like those from Allen B. Downey here. It's time to repay that. So, the book is free, it is hosted on free servers, and it uses only free and open software such as IPython and MathJax to create the book.

Reading Online

The book is written as a collection of Jupyter Notebooks, an interactive, browser based system that allows you to combine text, Python, and math into your browser. There are multiple ways to read these online, listed below.


binder serves interactive notebooks online, so you can run the code and change the code within your browser without downloading the book or installing Jupyter.



The website http://nbviewer.org provides a Jupyter Notebook server that renders notebooks stored at github (or elsewhere). The rendering is done in real time when you load the book. You may use this nbviewer link to access my book via nbviewer. If you read my book today, and then I make a change tomorrow, when you go back tomorrow you will see that change. Notebooks are rendered statically - you can read them, but not modify or run the code.

nbviewer seems to lag the checked in version by a few days, so you might not be reading the most recent content.


GitHub is able to render the notebooks directly. The quickest way to view a notebook is to just click on them above. However, it renders the math incorrectly, and I cannot recommend using it if you are doing more than just dipping into the book.

PDF Version

A PDF version of the book is available [here]https://drive.google.com/file/d/0By_SW19c1BfhSVFzNHc0SjduNzg/view?usp=sharing&resourcekey=0-41olC9ht9xE3wQe2zHZ45A)

The PDF will usually lag behind what is in github as I don't update it for every minor check in.

Downloading and Running the Book

However, this book is intended to be interactive and I recommend using it in that form. It's a little more effort to set up, but worth it. If you install IPython and some supporting libraries on your computer and then clone this book you will be able to run all of the code in the book yourself. You can perform experiments, see how filters react to different data, see how different filters react to the same data, and so on. I find this sort of immediate feedback both vital and invigorating. You do not have to wonder "what happens if". Try it and see!

The book and supporting software can be downloaded from GitHub by running this command on the command line:

git clone --depth=1 https://github.com/rlabbe/Kalman-and-Bayesian-Filters-in-Python.git
pip install filterpy

Instructions for installation of the IPython ecosystem can be found in the Installation appendix, found here.

Once the software is installed you can navigate to the installation directory and run Juptyer notebook with the command line instruction

jupyter notebook

This will open a browser window showing the contents of the base directory. The book is organized into chapters, each contained within one IPython Notebook (these notebook files have a .ipynb file extension). For example, to read Chapter 2, click on the file 02-Discrete-Bayes.ipynb. Sometimes there are supporting notebooks for doing things like generating animations that are displayed in the chapter. These are not intended to be read by the end user, but of course if you are curious as to how an animation is made go ahead and take a look. You can find these notebooks in the folder named Supporting_Notebooks.

This is admittedly a somewhat cumbersome interface to a book; I am following in the footsteps of several other projects that are somewhat repurposing Jupyter Notebook to generate entire books. I feel the slight annoyances have a huge payoff - instead of having to download a separate code base and run it in an IDE while you try to read a book, all of the code and text is in one place. If you want to alter the code, you may do so and immediately see the effects of your change. If you find a bug, you can make a fix, and push it back to my repository so that everyone in the world benefits. And, of course, you will never encounter a problem I face all the time with traditional books - the book and the code are out of sync with each other, and you are left scratching your head as to which source to trust.

Companion Software

Latest Version

I wrote an open source Bayesian filtering Python library called FilterPy. I have made the project available on PyPi, the Python Package Index. To install from PyPi, at the command line issue the command

pip install filterpy

If you do not have pip, you may follow the instructions here: https://pip.pypa.io/en/latest/installing.html.

All of the filters used in this book as well as others not in this book are implemented in my Python library FilterPy, available here. You do not need to download or install this to read the book, but you will likely want to use this library to write your own filters. It includes Kalman filters, Fading Memory filters, H infinity filters, Extended and Unscented filters, least square filters, and many more. It also includes helper routines that simplify the designing the matrices used by some of the filters, and other code such as Kalman based smoothers.

FilterPy is hosted on github at (https://github.com/rlabbe/filterpy). If you want the bleeding edge release you will want to grab a copy from github, and follow your Python installation's instructions for adding it to the Python search path. This might expose you to some instability since you might not get a tested release, but as a benefit you will also get all of the test scripts used to test the library. You can examine these scripts to see many examples of writing and running filters while not in the Jupyter Notebook environment.

Alternative Way of Running the Book in Conda environment

If you have conda or miniconda installed, you can create an environment by

conda env update -f environment.yml

and use

conda activate kf_bf


conda deactivate kf_bf

to activate and deactivate the environment.

Issues or Questions

If you have comments, you can write an issue at GitHub so that everyone can read it along with my response. Please don't view it as a way to report bugs only. Alternatively I've created a gitter room for more informal discussion. Join the chat at https://gitter.im/rlabbe/Kalman-and-Bayesian-Filters-in-Python


Creative Commons License
Kalman and Bayesian Filters in Python by Roger R. Labbe is licensed under a Creative Commons Attribution 4.0 International License.

All software in this book, software that supports this book (such as in the the code directory) or used in the generation of the book (in the pdf directory) that is contained in this repository is licensed under the following MIT license:

The MIT License (MIT)

Copyright (c) 2015 Roger R. Labbe Jr

Permission is hereby granted, free of charge, to any person obtaining a copy of this software and associated documentation files (the "Software"), to deal in the Software without restriction, including without limitation the rights to use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of the Software, and to permit persons to whom the Software is furnished to do so, subject to the following conditions:

The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software.



rlabbejr at gmail.com

  • Error in g-h chapter

    Error in g-h chapter

    Hi rlabbe, I am trying to read the book along with python code executions. I am using jupyter notebook of python version 3.0. I am getting following errors.

    ModuleNotFoundError Traceback (most recent call last) in () 2 get_ipython().magic('matplotlib inline') 3 from future import division, print_function ----> 4 from book_format import load_style 5 load_style()

    C:\Users\admin\Kalman-and-Bayesian-Filters-in-Python\book_format.py in () 54 # called when this module is imported at the top of each book 55 # chapter so the reader can see that they need to update FilterPy. ---> 56 test_filterpy_version() 57 58 pylab.rcParams['figure.max_open_warning'] = 50

    C:\Users\admin\Kalman-and-Bayesian-Filters-in-Python\book_format.py in test_filterpy_version() 39 def test_filterpy_version(): 40 ---> 41 import filterpy 42 from distutils.version import LooseVersion 43

    ModuleNotFoundError: No module named 'filterpy'

    opened by vinaybk 8
  • ValueError: could not broadcast input array from shape (2,1) into shape (2) in UKF

    ValueError: could not broadcast input array from shape (2,1) into shape (2) in UKF

    Hello Roger,

    First of all congrats for this great book! It would have taken me ages to build something even that simple as what you will see later without your help.

    I am building my dissertation on estimating ship's speed through water using Doppler velocity measurement and some manually calculated velocities. So non-linear sensor fusion approach is what I am looking for.

    I used the 2D sensor fusion linear approach from the train example on chapter 8 and it worked fine. I replaced 2D position from the example with 2 different velocities and I added acceleration as an unknown factor. I am not sure if the approach is the right one but the resulting velocity is quite good with some tuning.

    Now I am trying to replicate the same problem, using UKF and I get this

    ValueError: could not broadcast input array from shape (2,1) into shape (2) in UKF

    My code is the following:

    Step 1: Implement f and h functions

    def f_(x, dt):
        """ state transition function"""
        F = np.array([[1, dt],
                      [0,  1]])
        return np.dot(F, x)
    def h_(x):
        """ measurement function"""
        H = np.array([[1,0],
        return np.dot(H, x) 

    Step 2: Design the filter

    from filterpy.kalman import MerweScaledSigmaPoints
    from filterpy.kalman import UnscentedKalmanFilter as UKF
    from filterpy.common import Q_discrete_white_noise
    dt = 1. # time step 1 second
    # Define sigmas and initialize UKF
    sigmas = MerweScaledSigmaPoints(2, alpha=.1, beta=2., kappa=1.)
    ukf = UKF(dim_x=2, dim_z=2, fx=f_, hx=h_, dt=dt, points=sigmas)
    # Define measurement noise matrix
    ukf.R = np.diag([9, 9]) # 3 knots
    # Define the process noise matrix
    ukf.Q = Q_discrete_white_noise(dim=2, dt=dt, var=0.01)
    # Define state variable and the covariance matrix
    ukf.x = np.array([[0, 0]]).T
    ukf.P = np.eye(2) * 500.

    Step 3: Collect the measurements from dataframe

    ## Transpose because the input is a 2D vector
    zs = np.array([np.array([[Kalman_df['STW_log'][i],Kalman_df['STW_calc'][i]]]).T for i in range(len(Kalman_df))])

    Step 4: Run the UKF

    xs, covs = ukf.batch_filter(zs)

    After I run the last step I get the value error indicating the sigma points

    /usr/local/lib/python2.7/site-packages/filterpy/kalman/sigma_points.pyc in sigma_points(self, x, P)
        143         sigmas = np.zeros((2*n+1, n))
    --> 144         sigmas[0] = x
        145         for k in range(n):
        146             sigmas[k+1]   = self.subtract(x, -U[k])

    Any help would be appreciated.

    Thank you!

    opened by oikonang 7
  • ImportError: No module named 'code.mkf_internal'; 'code' is not a package when I try to make a simple test code

    ImportError: No module named 'code.mkf_internal'; 'code' is not a package when I try to make a simple test code

    Under Windows7 64bit, when I download the git master zip, and create a simple python test code(say, I have a.py file) from code.mkf_internal import plot_track

    in spyder, I get such error message: ImportError: No module named 'code.mkf_internal'; 'code' is not a package

    But I have create the a.py file exactly in the root folder of the unzip file, which means there is a folder named "code".

    So, I guess there are some modules named "code", I just looked at my python installation. (In-fact, I'm now using WinPython with python 3.4, but this issue also happens in Anaconda python 3.5). There are a file named "code.py" in the standard installed python. E:\download\sci\WinPython-64bit-\python-3.4.4.amd64\Lib\code.py Does this caused by this file? But it looks like Python 2.7 also have this exact code.py file under the Lib folder.

    So, do I need to add the currently folder to the top of the PYTHONPATH? or sys.pah?

    BTW: this issue does not happens in the Anaconda python 2.7.

    opened by asmwarrior 7
  • Suggestion for Readability: Use namedtuple

    Suggestion for Readability: Use namedtuple

    I am re-learning Kalman filters using my Masters thesis from 2004 and your book. I am currently reading the 1D Kalman filter chapter (04). I have come to the portion:

    def predict(pos, movement):
        return (pos[0] + movement[0], pos[1] + movement[1])

    It didn't take but a second to figure this out but it would be much more explicit had the pos and movement tuples been namedtuples. Like this:

    from collections import namedtuple
    gaussian = namedtuple(
    pos = gaussian(mean=10, variance=0.2**2)

    The variable pos is now (mostly) immutable. You could also use SimpleNamespace or recordtype if you wanted something mutable. I'm just now discovering SimpleNameSpace but coming from a MATLAB background I like it as a potential replacement for the struct variable type I used to use all the time in MATLAB.

    Define movement the same way as pos.. Then:

    movement = gaussian(mean=15, variance=0.7**2)
    def predict(pos, movement):
        return gaussian(
            mean=pos.mean + movement.mean, 
            variance=pos.variance + movement.variance

    No, it isn't that hard to figure out. Yes, your version is significantly fewer lines of code. But clearly what this version of the code is doing is much more obvious.

    opened by spradlig 6
  • Wrong notaion for non-linear process and measurement model in EKF Notebook

    Wrong notaion for non-linear process and measurement model in EKF Notebook

    The 'Linearizing the Kalman Filter" section begins by stating the process and measurement models for both linear and non-linear case. The process model equations use x_bar on the LHS. If my understanding is correct, it should be x_dot for both linear and non-linear cases?

    opened by sauravrt 5
  • color_cycle warning with matplotlib 1.5

    color_cycle warning with matplotlib 1.5

    When executing

    #format the book
    %matplotlib inline
    %load_ext autoreload
    %autoreload 2  
    from __future__ import division, print_function
    import sys
    from book_format import load_style

    from any page, I get the following warning:

    D:\Chad\Documents\WinPython-64bit-\python-3.4.3.amd64\lib\site-packages\matplotlib\__init__.py:876: UserWarning: axes.color_cycle is deprecated and replaced with axes.prop_cycle; please use the latter.
      warnings.warn(self.msg_depr % (key, alt_key))

    This Python distro is using Matplotlib 1.5.0rc3. I have confirmed that changing the axes.color_cycle line in 538.json to

      "axes.prop_cycle": "cycler('color', ['#6d904f','#013afe', '#202020','#fc4f30','#e5ae38','#A60628','#30a2da','#008080','#7A68A6','#CF4457','#188487','#E24A33'])",

    fixes the warning. But I am unsure how to make the json file conditional based on Matplotlib version, so as to be backwards compatible with older distributions.

    opened by chadkennedyonline 5
  • dot


    In Kalman_filter.update(), dot(PHT,self.SI) does not work because PHT is 21 whilst self.SI is 11. so dot can not compute these two matrixs with different dimensions. Therefore, we should change it to PHT*self.SI. This is also true of other functions such as dot(self.K,self.y)

    opened by wangchunlin 4
  • Sensor as Measurement or Control Input

    Sensor as Measurement or Control Input

    When I have two sensors, let's say a position and a velocity sensor. How do I decide if I put both sensors as measurements into the Kalman Filter or if I put the position sensor as measurement and the velocity sensor as control input?

    Thank you

    opened by munich-dev 4
  • chapter 01-g-h-filter.ipynb - wrong results demonstration for filters with the same data

    chapter 01-g-h-filter.ipynb - wrong results demonstration for filters with the same data

    Hi! Compare the plots in the fields: in [17] (Building a filter) and in [22] ("Solution and Discussion" for g-h filter). They use the same dataset. But if in the previous plot the measurements start at day 1 and "Filter" value goes from 160 (day 0), the latter plot shows "actual weight", "filter" and "measurements" at the step 0. It is better to shift the "filter" and "measurements" values to the Step 1 on the plot, or at least change the "actual weight" value from 160 to 161 at the step 0. image

    opened by afanasyspb 4
  • Include Delayed Measurement Example

    Include Delayed Measurement Example

    Hi Roger,

    I really like your book. It helped me a lot understanding and designing Kalman Filters. One thing I'm missing: How to handle Delayed Measurments? Assume you have to sensors. Sensor A and Sensor B. Sensor A has a update rate of 10 Hz. Sensor B has a Update rate of 4 Hz. But Sensor B has a latency of 150 ms, meaning that when Sensor Value B arrives for State_t there is a Sensor Value of A for State_(t+1) already available. To express the problem as a real-world problem one could use a Image Recognition System (high latency) and and a infrared sensor (low latency, high sampling rate).

    Thank you, Manfred

    opened by Soccertrash 4
  • pip install filterpy at command line does not install for book

    pip install filterpy at command line does not install for book

    I tried installing filterpy for both python2 and python3 at the command line in OSX, but the first cell in the preface (http://localhost:8889/notebooks/00-Preface.ipynb) always failed with an error when trying to run it. I found the following was needed:

    #format the book
    !pip install msgpack
    !pip install filterpy
    from book_format import load_style

    and this worked just fine.

    opened by gwshaw 4
  • Chapter 3: Variance of a Random Variable

    Chapter 3: Variance of a Random Variable

    The derivation of variance of a random variable in chapter 3 could be clarified. At the moment, it is stated that the equation for computing variance is:

    $$\mathit{VAR}(X) = \mathbb E[(X - \mu)^2]$$

    And that the formula for expected value is $\mathbb E[X] = \sum\limits_{i=1}^n p_ix_i$, which can be substituted into the equation above to get:

    $$\mathit{VAR}(X) = \frac{1}{n}\sum_{i=1}^n (x_i - \mu)^2$$

    There is no explanation where the $\frac{1}{n}$ comes from. Earlier, it is stated that $$\mathbb E[X] = \sum_{i=1}^n p_ix_i = \frac{1}{n}\sum_{i=1}^n x_i = \mu_x$$

    applies when the probabilities is all equal. However, whether that applies for the derivation is not clear.

    opened by hugolundin 0
  • Chapter 3: It should say posterior not prios

    Chapter 3: It should say posterior not prios

    In Chapter 3 in the last sentence of the first paragraph of the section Total Probability Theorem i think it should say posterior instead of prior.

    The probability of being at any position 𝑖 at time 𝑡 can be written as 𝑃(𝑋𝑡𝑖) . We computed that as the sum of the prior at time 𝑡−1 𝑃(𝑋𝑡−1𝑗) multiplied by the probability of moving from cell 𝑥𝑗 to 𝑥𝑖 .

    opened by niglz 0
  • Incorrect convolution math formula in chapter on Discrete Bayes

    Incorrect convolution math formula in chapter on Discrete Bayes


    In the Discrete Bayes chapter, we have the formula for the discrete convolution:


    For t=0 this always yields just one value that is being added. This seems incorrect to me.

    Shouldn't the correct formula be


    ? This also takes into accout the finite length of the kernel.

    opened by thomasfermi 0
  • Question: what is the recommended way to introduce seasonality to Kalman filter?

    Question: what is the recommended way to introduce seasonality to Kalman filter?

    Can an Unscented Kalman Filter encode seasonality in the data? If so, what is the recommended way of doing it? Are there any references out there for introducing seasonality on Kalman Filter?

    opened by aprimadi 0
  • discrete_bayes_sim has unused paramenter prior

    discrete_bayes_sim has unused paramenter prior

    In 02-Discrete-Bayes.ipynb in the chapter The Discrete Bayes Algorithm you define the following function with the signature discrete_bayes_sim(prior, kernel, measurements, z_prob, hallway).

    The parameter prior is unused.

    opened by niglz 0
  • v2.0(Oct 13, 2020)

    Support for Python 3.6+. The main changes are removal of import from future, replacing np.dot with matrix multiply operator, and using f-strings for string formatting.

    Source code(tar.gz)
    Source code(zip)
  • v1.1(Oct 13, 2020)

Roger Labbe
Roger Labbe
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PoseRBPF: A Rao-Blackwellized Particle Filter for 6D Object Pose Tracking PoseRBPF Paper Self-supervision Paper Pose Estimation Video Robot Manipulati

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Deep learning based state estimation: incorporating Transformer and LSTM to Kalman Filter with EM algorithm Overview Kalman Filter requires the true p

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Implementation of Kalman Filter in Python

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