Kalman Filtering in R

Support in R for state space estimation via Kalman filtering was limited to one package, until fairly recently. In the last five years, the situation has changed with no less than four additional packages offering general implementations of the Kalman filter, including in some cases smoothing, simulation smoothing and other functionality. This paper reviews some of the offerings in R to help the prospective user to make an informed choice.

Model based learning of sigma points in unscented Kalman filtering

The unscented Kalman filter (UKF) is a widely used method in control and time series applications. The UKF suffers from arbitrary parameters necessary for a step known as sigma point placement, causing it to perform poorly in nonlinear problems. We show how to treat sigma point placement in a UKF as a learning problem in a model based view. We demonstrate that learning to place the sigma points correctly from data can make sigma point collapse much less likely. Learning can result in a significant increase in predictive performance over default settings of the parameters in the UKF and other filters designed to avoid the problems of the UKF, such as the GP-ADF. At the same time, we maintain a lower computational complexity than the other methods. We call our method UKF-L. ©2010 IEEE.

Measurement-Integrated simulations and Kalman filter applied to a co-flowing jet

This paper deals with the experimental evaluation of a flow analysis system based on the integration between an under-resolved Navier-Stokes simulation and experimental measurements with the mechanism of feedback (referred to as Measurement-Integrated simulation), applied to the case of a planar turbulent co-flowing jet. The experiments are performed with inner-to-outer-jet velocity ratio around 2 and the Reynolds number based on the inner-jet heights about 10000. The measurement system is a high-speed PIV, which provides time-resolved data of the flow-field, on a field of view which extends to 20 jet heights downstream the jet outlet. The experimental data can thus be used both for providing the feedback data for the simulations and for validation of the MI-simulations over a wide region. The effect of reduced data-rate and spatial extent of the feedback (i.e. measurements are not available at each simulation time-step or discretization point) was investigated. At first simulations were run with full information in order to obtain an upper limit of the MI-simulations performance. The results show the potential of this methodology of reproducing first and second order statistics of the turbulent flow with good accuracy. Then, to deal with the reduced data different feedback strategies were tested. It was found that for small data-rate reduction the results are basically equivalent to the case of full-information feedback but as the feedback data-rate is reduced further the error increases and tend to be localized in regions of high turbulent activity. Moreover, it is found that the spatial distribution of the error looks qualitatively different for different feedback strategies. Feedback gain distributions calculated by optimal control theory are presented and proposed as a mean to make it possible to perform MI-simulations based on localized measurements only. So far, we have not been able to low error between measurements and simulations by using these gain distributions.

Model based learning of sigma points in unscented Kalman filtering

The unscented Kalman filter (UKF) is a widely used method in control and time series applications. The UKF suffers from arbitrary parameters necessary for sigma point placement, potentially causing it to perform poorly in nonlinear problems. We show how to treat sigma point placement in a UKF as a learning problem in a model based view. We demonstrate that learning to place the sigma points correctly from data can make sigma point collapse much less likely. Learning can result in a significant increase in predictive performance over default settings of the parameters in the UKF and other filters designed to avoid the problems of the UKF, such as the GP-ADF. At the same time, we maintain a lower computational complexity than the other methods. We call our method UKF-L. © 2011 Elsevier B.V.

User target intention recognition from cursor position using kalman filter

This paper discusses user target intention recognition algorithms for pointing - clicking tasks to reduce users' pointing time and difficulty. Predicting targets by comparing the bearing angles to targets proposed as one of the first algorithms [1] is compared with a Kalman Filter prediction algorithm. Accuracy and sensitivity of prediction are used as performance criteria. The outcomes of a standard point and click experiment are used for performance comparison, collected from both able-bodied and impaired users. © 2013 Springer-Verlag Berlin Heidelberg.

Adaptive fading Kalman filter with an application

A new adaptive state estimation algorithm, namely adaptive fading Kalman filter (AFKF), is proposed to solve the divergence problem of Kalman filter. A criterion function is constructed to measure the optimality of Kalman filter. The forgetting factor in AFKF is adaptively adjusted by minimizing the defined criterion function using measured outputs. The algorithm remains convergent and tends to be optimal in the presence of model errors. It has been successfully applied to the headbox of a paper-making machine for state estimation.