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StateSpace.jl

A Julia package for state space modeling

NOTE: This package is still very much under development and is not fully tested. Don't use it for anything important yet!

State space models are a very general type of dynamic statistical model, and have been used to estimate everything from biological populations to the position of Apollo 11 to the weather this weekend. In a nutshell, they are useful when we want to know the state of some process, but we can't observe it directly. They have two main pieces. First is the process model, which describes probabilistically how the hidden state evolves from one time step to the next. Second is the observation model, which describes, again probabilistically, how the state is translated into the quantities we observe.

These process and observation functions can be linear or nonlinear, and the process noise and observation errors may be Gaussian, or from some other probability distribution. This package aims to provide methods to perform the common prediction, filtering, and smoothing tasks for each type of model.

State estimates and predictions as probability distributions

Julia's type system facilitates an unconventional approach to representing the state estimates. In most implementations of the Kalman and related filters, the state is tracked as a mean vector, with the covariance served "on the side." This package, on the other hand, tracks the state as a distribution, using the excellent Distributions package.

There are several advantages to this approach. The code is made shorter and clearer. Expected values and confidence intervals can be calculated easily using the methods defined for distributions. It is easy to generate random draws from state estimates, for instance if you wanted to bootstrap some quantity derived from the state. Finally, it is just more elegant, and closer to the true meaning of the statistical model.

Usage

There are several examples to see how the StateSpace.jl package can be used. Each example has a commented script and an IJulia notebook document to describe the model and also how to set up and solve the problem. An overview of all examples can be found in the examples README.

using StateSpace
using Distributions

#Generate noisy observations
trueVal = 1.25
noObs = 60
obs = trueVal + randn(noObs) * sqrt(0.1)

#Define process and observation model
pm = 1.0     # process model parameter
pc = 0.00001 # process variance
om = 1.0     # observation model parameter
oc = 0.1     # observation variance
linSSM = LinearGaussianSSM(pm, pc, om, oc) #create linear State space model object

init_guess = MvNormal([3.0], [1.0]) #initial guess of the state mean and variance.

filtered_state = filter(linSSM, obs', init_guess) #perform Kalman Filter algorithm

The above script produces results that can be visualized with any plotting package. Here we've used Gadfly:

Modeling interface

There are three basic tasks in state space modeling. All types of models define the same methods to do them.

Prediction

Given a current estimate of the state, where do we expect it to be at the next time step, and how certain are we?

• predict(model, state)

Updating/filtering

Given a predicted state and a new observation, how do we combine the prediction with the new data to get a better (or optimal) estimate of the state? This can be done either "on line," i.e. one step at a time as each new measurement arrives, or all at once after all the data have been collected. Different filter types are available to apply different algorithms (Kalman, extended Kalman, etc.).

• update(model, predicted_state, data, filter)

• update!(model, filtered_states, data, filter)

• filter(model, data, state0, filter)

Smoothing

Given a full set of filtered state estimates and a full data set, go back and revise all the estimates to their optimum value, given all the information. Hindsight is 20/20!

• smooth(filtered_state)

Algorithms already implemented:

• The Kalman[1] filter (KF). This is a fast and optimal technique for linear systems with Gaussian process noise and observational error.

• The extended Kalman filter (EKF). This method can be applied to nonlinear problems with Gaussian noise and error. It works by linearizing the equations around the current state estimate, calculating the required Jacobians automagically using ForwardDiff.jl.

• The unscented Kalman filter for additive noise. This method can be applied to nonlinear problems with additive noise and error. This method works by transforming a set of specially placed points (known as sigma points) to describe the statistics of a transformed distribution.

• The ensemble Kalman filter (EnKF). An ensemble of replicate states are modeled simultaneously, with each being propagated indepentently of the others. The errors are estimated from the covariance of the multiple state estimates from the ensemble.

Algorithms on the way:

• The augmented unscented[2] Kalman filter. Applicable to nonlinear and non-Gaussian problems.
• The particle filter. Applicable to nonlinear and non-gaussian problems.

Model fitting

Currently not implemented in this package, though it may be in the future. FilteredState objects contain the model's log-likelihood, which can be used to optimize parameter values.

[1] Named for Rudolph E. Kalman.

[2] Named for a stick of unscented deodorant. No, really.