Create new kalman_combinator component (#2965)

esphome/components/kalman_combinator/kalman_combinator.h

@@ -0,0 +1,46 @@
+#pragma once
+#include "esphome/core/component.h"
+#include "esphome/components/sensor/sensor.h"
+#include <cmath>
+#include <vector>
+
+namespace esphome {
+namespace kalman_combinator {
+
+class KalmanCombinatorComponent : public Component, public sensor::Sensor {
+ public:
+  KalmanCombinatorComponent() = default;
+
+  float get_setup_priority() const override { return esphome::setup_priority::DATA; }
+
+  void dump_config() override;
+  void setup() override;
+
+  void add_source(Sensor *sensor, std::function<float(float)> const &stddev);
+  void add_source(Sensor *sensor, float stddev);
+  void set_process_std_dev(float process_std_dev) {
+    this->update_variance_value_ = process_std_dev * process_std_dev * 0.001f;
+  }
+  void set_std_dev_sensor(Sensor *sensor) { this->std_dev_sensor_ = sensor; }
+
+ private:
+  void update_variance_();
+  void correct_(float value, float stddev);
+
+  // Source sensors and their error functions
+  std::vector<std::pair<Sensor *, std::function<float(float)>>> sensors_;
+
+  // Optional sensor for publishing the current error
+  sensor::Sensor *std_dev_sensor_{nullptr};
+
+  // Tick of the last update
+  uint32_t last_update_{0};
+  // Change of the variance, per ms
+  float update_variance_value_{0.f};
+
+  // Best guess for the state and its variance
+  float state_{NAN};
+  float variance_{INFINITY};
+};
+}  // namespace kalman_combinator
+}  // namespace esphome