ukflib

An Unscented Kalman Filter library for Python, created as a course project for ECE 722 (Kalman Filtering) at GMU.

There are a few UKF libraries available for Python, but this one is unique because it adds support for non-additive process noise and measurement noise.

All of the equations used are based on Rudolph Van der Merwe's PhD thesis:

Van Der Merwe, Rudolph. "Sigma-point Kalman filters for 
probabilistic inference in dynamic state-space models." (2004).