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ckbs-0.20130204.0: Constrained/Robust Kalman-Bucy Smoothers
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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.

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

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