ckbs-0.20110802.0: Constrained/Robust Kalman-Bucy Smoothers

ckbs-0.20110802.0: 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 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 Robust Smoother
The program robust_nonlinear performs robust Kalman smoothing for general nonlinear process and measurement models when the measurement sequence may contain outliers.

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_nonlinear	The Nonlinear Constrained Kalman-Bucy Smoother
ckbs_L1_nonlinear	The Nonlinear Constrained Kalman-Bucy Smoother
ckbs_affine	Constrained 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