pykalman 0.9.1

pykalman is a the dead-simple Kalman Filter, Kalman Smoother, and EM library for Python:

>>> from pykalman import KalmanFilter
>>> import numpy as np
>>> kf = KalmanFilter(transition_matrices = [[1, 1], [0, 1]], observation_matrices = [[0.1, 0.5], [-0.3, 0.0]])
>>> measurements = np.asarray([[1,0], [0,0], [0,1]]) # 3 observations
>>> kf = kf.em(measurements, n_iter=5)
>>> (filtered_state_means, filtered_state_covariances) = kf.filter(measurements)
>>> (smoothed_state_means, smoothed_state_covariances) = kf.smooth(measurements)

Also included is support for missing measurements:

>>> from numpy import ma
>>> measurements = ma.asarray(measurements)
>>> measurements[1] = ma.masked # measurement at timestep 1 is unobserved
>>> kf = kf.em(measurements, n_iter=5)
>>> (filtered_state_means, filtered_state_covariances) = kf.filter(measurements)
>>> (smoothed_state_means, smoothed_state_covariances) = kf.smooth(measurements)

And for the non-linear dynamics via the UnscentedKalmanFilter:

>>> I'll fill this in someday...

Installation

For a quick installation:

 easy_install pykalman

All of these and pykalman can be installed using easy_install:

easy_install numpy scipy Sphinx numpydoc nose pykalman

Alternatively, you can get the latest and greatest from github:

 git clone git@github.com:pykalman/pykalman.git pykalman
 cd pykalman
 sudo python setup.py install


Product's homepage

Requirements:

· Python
· NumPy
· SciPy
· Sphinx
· numpydoc
· nose