Dan Simon, “Kalman filtering” (Embedded Systems Programming magazine, June 2001).

This code accompanies Dan Simon's article on Kalman filters. Here's what the article says about this code:

Kalman filtering
Originally developed for use in spacecraft navigation, the Kalman filter turns out to be useful for many applications. It is mainly used to estimate system states that can only be observed indirectly or inaccurately by the system itself.

….The basic ideas of Kalman filtering are straightforward, but the filter equations rely heavily on matrix algebra. Listing 2 shows the Kalman filter update equations in C. The matrix algebra listings referenced in Listing 2 can be …” downloaded above.