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-cpp
mkdir build
cd build
cmake ..
make
./kalman-test
Note: You may have to specify the path to your Eigen library in
CMakeLists.txt.