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146 points hugohadfield | 1 comments | | HN request time: 0s | source

This little project came about because I kept running into the same problem: cleanly differentiating sensor data before doing analysis. There are a ton of ways to solve this problem, I've always personally been a fan of using kalman filters for the job as its easy to get the double whammy of resampling/upsampling to a fixed consistent rate and also smoothing/outlier rejection. I wrote a little numpy only bayesian filtering/smoothing library recently (https://github.com/hugohadfield/bayesfilter/) so this felt like a fun and very useful first thing to try it out on! If people find kalmangrad useful I would be more than happy to add a few more features etc. and I would be very grateful if people sent in any bugs they spot.. Thanks!
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marmaduke ◴[] No.41866406[source]
This is really nice approach. We are doing some nonlinear system id, and faced with this kinda problem (not irregular spacing but low sample rate and noisy). Definitely will check it out.

What’s your opinion on ensemble KF? We’d like to use that for parameter estimations. I saw unscented in your bayesfilter, but not ensemble, so I’m curious. Thanks!

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hugohadfield ◴[] No.41868319[source]
Sounds like a fun project! I've not spent much time on ensemble KF but my mate Sam (https://github.com/samDuffield/) did a lot of work in his PhD on them for high dimensional datasets. Is your dataset specifically high dimensional and so not something you'd use an unscented filter for?
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1. marmaduke ◴[] No.41888575[source]
Good question, I only looked briefly at unscented, I just thought ensemble was easy to understand.