Kalman filtering via RcppArmadillo
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README.md

rcppkalman

Kalman filtering via RcppArmadillo -- based on a R and C++ port of the EKF/UKF toolbox for Matlab

Demos

Static Sine Signal And Noisy Measurement

This example is not described in the pdf manual, but included as demo kf_sine_demo.m within the EKF/UKF sources. A signal is provided via a sine wave plus random noise, and a linear Kalman Filter is used to smooth and filter the series. Our variant demo/kf_sine_demo.R reproduces the demo via the following chart

Sine Signal

Continuous Wiener-Process Acceleration

This demo is described in detail in Section 2.2.4 on pages 11 to 15 of the EKF/UKF Documentation; the animation is part of the corresponding Matlab code in kf_cwpa_demo.m. We show the two final charts which provide animations of the smoothing and filtering in our version demo/kf_cwpa_demo.R:

Smoothing Filtering

Status

Working, but still far from complete. We currently support two demo scripts based on linear smoothers and filters. Additional functions should get added over time.

Author

The EKF/UKF Toolbox for Matlab was written by Simo Särkkä, Jouni Hartikainen, and Arno Solin.

Dirk Eddelbuettel is writing and maintaing this package by porting it to R and C++ via Rcpp and particularly RcppArmadillo.

License

This package is released under GNU General Public License, Version 2 or later. EKF/UKF itself (which is included) is released under the GNU General Public License, Versions 2 and 3.