ckbs-0.20130204.0: Constrained/Robust Kalman-Bucy Smoothers


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ckbs-0.20130204.0: Constrained/Robust Kalman-Bucy Smoothers

	One web page per Section	All as one web page
Math in Latex	ckbs.htm	_printable.htm
Math in MathML	ckbs.xml	_priintable.xml

Purpose
The programs in this package compute a smoothed estimate of a time series given process models for the state evolution, measurement models for the observations, variance estimates, and the sequence of observations.

Affine Constrained Smoother
The program constrained_affine performs Kalman smoothing when the process and measurement models are affine. Affine inequality constraints may also be imposed on the state.

Nonlinear Constrained Smoother
The program constrained_nonlinear performs Kalman smoothing for general nonlinear process measurement. Nonlinear inequality constraints may also be imposed on the state.

Affine L1 Robust Smoother
The program robust_affine performs robust Kalman smoothing when the process and measurement models are affine and the measurement sequence may contain outliers.

Nonlinear L1 Robust Smoother
The program robust_nonlinear performs robust Kalman smoothing for general nonlinear process and measurement models when the measurement sequence may contain outliers.

General Student's T smoother
The program t_general performs robust Student's t Kalman smoothing for general nonlinear process and measurement models. The measurements may contain very large outliers. Also, there may be sudden changes in trend data. The user can specify which components of process and measurement residuals to model using Student's t.

MathML
This documentation is in XHTML + MathML. If you have trouble viewing it in your browser see Viewing MathML on the web page

http://www.seanet.com/~bradbell/packages.htm

System Requirements
This constrained Kalman-Bucy smoother runs under both the Matlab® and Octave While it will work under MS windows, these download instructions are for the Unix operating system.

Download

Release Tarballs
You can download a tarball release of ckbs from the directory

http://www.coin-or.org/download/source/CoinBazaar

Theses releases are named



     ckbs-0.yyyymmdd.r.ext

where yyyy is the year, mm is the month, dd is the day, r is the release number, and ext is tgz or zip.

If ext is tgz the command



     tar -xvzf ckbs-0.yyyymmdd.r.tgz

will create the ckbs-0.yyyymmdd.r directory.

If ext is zip the command



     unzip ckbs-0.yyyymmdd.r.zip

will create the ckbs-0.yyyymmdd.r directory.

Using Subversion
If you are going to use subversion to download a version of ckbs, start with the following commands:



     mkdir ckbs

     cd ckbs

     web="https://projects.coin-or.org/svn/CoinBazaar/projects/ckbs"

For each release listed in the download directory you can use subversion to download the release with the commands



     svn checkout $web/releases/0.yyyymmdd.r

This will create the ckbs/0.yyyymmdd.r directory. You can also download the most recent version of ckbs (called the trunk) using the commands



     svn checkout $web/trunk

This will create the ckbs/trunk directory.

Test Install
Change into the directory ckbs/0.yyyymmdd.r/example or ckbs/trunk/example and use Matlab® or Octave to run the program all_ok.m. It will print the test results for all the components of ckbs. You can run some more tests by changing into the directory ckbs/0.yyyymmdd.r/test or ckbs/trunk/test and running the program all_ok.m which will have a similar output.

Documentation
If you download a release, a copy of the documentation for the release can be found be viewed in your browser by opening the file



     ckbs/0.yyyymmdd.r/doc/ckbs.xml

If you download the latest version (the trunk), a copy of the documentation for this version can be built by executing the commands

 
	./build_doc.sh

in the ckbs/trunk directory. You can then view the documentation in your browser by opening the file



     ckbs/trunk/doc/ckbs.xml

Contents

_contents	Table of Contents
license	Your License to use the ckbs Software
ckbs_t_general	The General Student's t Smoother
ckbs_nonlinear	The Nonlinear Constrained Kalman-Bucy Smoother
ckbs_L1_nonlinear	The Nonlinear Constrained Kalman-Bucy Smoother
ckbs_affine	Constrained Affine Kalman Bucy Smoother
ckbs_affine_singular	Singular Affine Kalman Bucy Smoother
ckbs_L1_affine	Robust L1 Affine Kalman Bucy Smoother
utility	ckbs Utility Functions
all_ok.m	Run All Correctness Tests
whatsnew	Changes and Additions to ckbs
wishlist	List of Future Improvements to ckbs
bib	Bibliography
_reference	Alphabetic Listing of Cross Reference Tags
_index	Keyword Index
_search	Search This Web Site
_external	External Internet References

Input File: ckbs.omh