commons-dev mailing list archives

Site index · List index
Message view « Date » · « Thread »
Top « Date » · « Thread »
From Gilles <gil...@harfang.homelinux.org>
Subject Re: [Math] Proposal: Add smoothing and fitting to the Kalman Filter
Date Mon, 16 May 2016 16:48:34 GMT
Hi.

On Mon, 16 May 2016 14:40:06 +0100, Daniel Winterstein wrote:
> Hello,
>
> I was doing some work with Kalman Filters recently, and I noticed the
> implementation in commons.math is missing a couple of features, 
> namely
> smoothing and model-fitting.
>
> Would it be good to add these?

Sure.

> A little bit more on the model and the proposed features:
> The Kalman Filter is a model for time-series data.
> The version in commons.maths can do prediction (i.e. given the state
> now, predict the next state).
> The algorithm can also do smoothing (given a sequence of data, 
> perhaps
> with gaps, estimate the most likely state at each step) -- but this
> version doesn't have an implementation.
> Also, given a time-series dataset, you can fit a Kalman Filter. There
> isn't a precise solution, but using expectation maximisation works
> well.
>
> I am new to the Apache Commons mailing list -- please forgive me if
> this is the wrong way to go about things.

This is the right way.
All significant changes/additions to the code must be decided on here.

Then the implementation details can be discussed within a dedicated 
issue
on the bug-tracking system:
   https://issues.apache.org/jira/browse/MATH


Thanks in advance for your contributions,
Gilles


>
> Kind regards,
>  - Daniel


---------------------------------------------------------------------
To unsubscribe, e-mail: dev-unsubscribe@commons.apache.org
For additional commands, e-mail: dev-help@commons.apache.org


Mime
View raw message