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 or demonstrated in this YouTube video.
The overall structure of the code has been borrowed from hmartiro's implementation, extending it to allow input control.
There is a test program that estimates the motion of a projectile based on noisy observations. To run it, use CMake:
cd kalmanfilter-cpp
mkdir build
cd build
cmake ..
make -j4
./kalman-test
Note: You may have to specify the path to your Eigen library in CMakeLists.txt.