KalmanFilter

This is a C++ implementation of the famous Kalman Filter.
It use the Eigen Library for matrix manipulation and calculation.

The repo contain:

1. KalmanFilter.h - Kalman class declaration
2. KalmanFilter.cpp - Kalman class implementation
3. main.cpp - Example that use the Kalman class
4. makefile

The example is based on a monodimensional problem explained here (look for: A Simple Example): http://bilgin.esme.org/BitsAndBytes/KalmanFilterforDummies  
It simulate a noisy voltage reading from a constant source.

How to use this code:

1. Download or clone the repo
2. Install Eigen Library (https://eigen.tuxfamily.org/dox/GettingStarted.html)
   On Mac you could simply do: brew install eigen.
   NOTE: Maybe you need to change the include path in the makefile: -I /usr/local/include/eigen3
3. Open Terminal -> cd to this directory -> $ make -> $ ./main
   You should see the voltage filter output values

Class notes:

You have to use the correct dimension for the matrix:

n: State vector dimension
m: Control vector dimension (input)

A: n x n
B: n x m
H: n x n
Q: n x n
R: n x n
I: n x n
X: n x 1
U: m x 1
Z: n x 1
P: n x n
K: n x n

If the problem has not input, use the setFixed() and predict() functions versions that doesn't not need the input control vector (vector U) and the matrix B.