A small linear Kalman filter for JavaScript.

This project is being modernized. The 0.1.x line keeps the original Sylvester-compatible API while adding package metadata, CommonJS and ESM entry points, TypeScript declarations, deterministic tests, and CI.

npm install @itamarwe/kalman

The compatibility API still expects a Sylvester-compatible matrix and vector implementation. The objects passed to the filter must support the methods used by Sylvester, including x, add, subtract, transpose, inverse, rows, and vector/matrix element accessors.

const { KalmanModel, KalmanObservation } = require('@itamarwe/kalman');

import { KalmanModel, KalmanObservation } from '@itamarwe/kalman';

<script src="sylvester.src.js"></script>
<script src="kalman.js"></script>

<script>
var x_0 = $V([-10]);
var P_0 = $M([[1]]);
var F_k = $M([[1]]);
var Q_k = $M([[0]]);
var model = new KalmanModel(x_0, P_0, F_k, Q_k);

var z_k = $V([1]);
var H_k = $M([[1]]);
var R_k = $M([[4]]);
var observation = new KalmanObservation(z_k, H_k, R_k);

model.update(observation);

console.log(model.x_k.elements);
</script>

Creates a filter model with initial state x_0, initial covariance P_0, state transition model F_k, and process noise covariance Q_k.

Creates an observation with measurement z_k, observation model H_k, and observation noise covariance R_k.

Runs the prediction step and stores the predicted state in model.x_k_k_ and predicted covariance in model.P_k_k_.

Runs the correction step against the most recent prediction and updates model.x_k and model.P_k.

Runs the current predict-and-correct step and updates model.x_k and model.P_k. This is equivalent to calling model.predict() followed by model.correct(observation).

npm test

The test suite loads the vendored Sylvester build the same way the original browser test did, then verifies deterministic scalar filter behavior and module exports.

• Add a modern dependency-light matrix layer or adapter API.
• Improve numerical stability by avoiding direct inverses where possible.
• Publish a migration guide from the compatibility API to the modern API.

MIT. See LICENSE.

The vendored test/sylvester.src.js file is MIT licensed by James Coglan and is used only for compatibility tests.