EKF/UKF Toolbox

EKF/UKF Toolbox for Matlab. EKF/UKF is an optimal filtering toolbox for Matlab. Optimal filtering is a frequently used term for a process, in which the state of a dynamic system is estimated through noisy and indirect measurements. This toolbox mainly consists of Kalman filters and smoothers, which are the most common methods used in stochastic state-space estimation. The purpose of the toolbox is not to provide highly optimized software package, but instead to provide a simple framework for building proof-of-concept implementations of optimal filters and smoothers to be used in practical applications. Most of the code has been written by Simo Särkkä in the Laboratory of Computational Engineering. Later Jouni Hartikainen and Arno Solin documented and extended it with new filters and smoothers as well as simulated examples.