Bayes++ is a library of C++ classes that implement numerical algorithms for Bayesian Filtering. They provide tested and consistent numerical methods and the class hierarchy represents the wide variety of Bayesien filtering algorithms and system models.
I used this library for my master thesis project, already a few years ago. It did not only teach me a lot about Bayesian filtering, but also about c++ programming. The amount of abstraction and genericity that the library provides through clever inheritance and templating is remarkable!
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