This submission contains four general-use filters for state estimation, including:
* a particle filter (bootstrap filter),
* a sigma-point (unscented) filter,
* an extended Kalman filter,
* and a linear Kalman filter.
It also includes demonstration files for each, with many plots, animations, and code comments.
Several small utilities related to state estimation are included as well.
These files correspond to the "How Kalman Filters Work" article available here:
Create scripts with code, output, and formatted text in a single executable document.