# work/git/mixpp/bdm/estim/libKF.h File Reference

Bayesian Filtering for linear Gaussian models (Kalman Filter) and extensions. More...

`#include <itpp/itbase.h>`
`#include "../stat/libFN.h"`
`#include "../stat/libEF.h"`
`#include "../math/chmat.h"`

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## Classes
class | KalmanFull
| Basic Kalman filter with full matrices (education purpose only)! Will be deleted soon! More...
class | Kalman< sq_T >
| Kalman filter with covariance matrices in square root form. More...
class | KalmanCh
| Kalman filter in square root form. More...
class | EKFfull
| Extended Kalman Filter in full matrices. More...
class | EKF< sq_T >
| Extended Kalman Filter. More...
class | EKFCh
| Extended Kalman Filter in Square root. More...
class | KFcondQR
| Kalman Filter with conditional diagonal matrices R and Q. More...
class | KFcondR
| Kalman Filter with conditional diagonal matrices R and Q. More...

## Detailed Description

Bayesian Filtering for linear Gaussian models (Kalman Filter) and extensions.

Author:
  Vaclav Smidl.

----------------------------------- BDM++ - C++ library for Bayesian Decision Making under Uncertainty

Using IT++ for numerical operations -----------------------------------