Repository

rlabbe/Kalman-and-Bayesian-Filters-in-Python

Kalman Filter book using Jupyter Notebook. Focuses on building intuition and experience, not formal proofs. Includes Kalman filters,extended Kalman filters, unscented Kalman filters, particle filters, and more. All exercises include solutions.
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Issue

The product of Gaussians is not explained clearly in Chapter 3

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In Chapter 3, you state multiple times that a product of two normally distributed random variables is normally distributed after normalization. This is confusing. A product of two PDFs of two normal distributions is a PDF of a normal distribution after normalization. The product of two normally dist...
Issue

Question about probability distribution in Chapter2.3

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Say we get a reading of door, and suppose that testing shows that the sensor is 3 times more likely to be right than wrong. We should scale the probability distribution by 3 where there is a door. If the reading is door and the sensor is 3 times more likely to be right than wrong, then P(door) shoul...
Issue

Comment in documentation is out of date

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The following comment on the homepage of the documentation is out of date: It’s already a bit hard to read because of the dot function calls (required because Python does not yet support an operator for matrix multiplication). This relates to: K = dot(P, H.T).dot(inv(dot(H, P).dot(H.T) + R)) Sinc...
Issue

Distribution_of_the_product_of_two_random_variables

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Hello Dear Roger, I am studding your wonderful book on KF and thank you from all my heart. In the third chapter you have an error in the formula of a product of random variables, see the correct one on Wiki page: https://en.wikipedia.org/wiki/Distribution_of_the_product_of_two_random_variables Good...
Issue

TypeError during kalman_filter.update with Numpy 1.25.*

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I get an error during kalman_filter.update call with numpy 1.25., but if I roll back to numpy 1.24., this error does not occur. Thank you **_Python 3.11 Numpy: 1.25 Filterpy: 1.4.5 Traceback (most recent call last): File "/builds/model/kalman_filter_model.py", line 297, in update self.kalman_filter....
Issue

Thanks

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Thank you, sir, I am currently learning Kalman filtering, there are many formulas that I cannot understand, hope to have some examples to help me, just happened to see your work. I am very touched by your contribution to knowledge, haha, I also have no money to buy MATLAB, and finally, I wish you ca...
Issue

Can't import book_format in 01-g-h-filter.ipynb

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I have downloaded the whole repo, unzipped and uploaded it to my google drive from where I am opening the jupyter notebooks. In this chapter, import book_format runs into an error. I have installed filterpy in a previous cell by the way. On the other hand, when I open the repo in binder I get no s...
Issue

10.11.4 Update Step

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"The cross variance is computed as:..." Is the word "variance" intended here or the "covariance" word should be used, like in the "10.5.2 Update Step" when the covariance is computed between the state and the measurements: "To compute the Kalman gain we first compute the cross covariance of the stat...