This is a basic Kalman filter implementation in C++ using the Eigen library. It implements the algorithm directly as found in An Introduction to the Kalman Filter.

There is a test program that estimates the motion of a projectile based on noisy observations. To run it, use CMake:

cd kalman-filter
mkdir build
cd build
cmake ..
make
./kalman_example

Note: I wrote this program when I saw a kalman filter implementation here