Unscented Kalman Filter (October 2011)
Port of UKF matlab code by Prof. Yi Cao in to C++ class library (http://www.mathworks.com/matlabcentral/fileexchange/18217-learning-the-unscented-kalman-filter) Tracks and smoothes the output by making predictions from the history of outputs on runtime. The tracking performance gets better if the range of noise is projected.