Fixed lag linear kalman smoother using Rauch-Tung-Striebel method.
Fixed lag linear kalman smoother using Rauch-Tung-Striebel method. The smoother is implemented with a stateful
spark transformer for running parallel smoothers /w spark dataframes.
Transforms an input dataframe of noisy measurements to dataframe of state estimates using
stateful spark transformations, which can be used in both streaming and batch applications.
At a time step k and a fixed lag N, the fixed lag linear kalman smoother computes the state estimates of a linear
kalman filter based on all measurements made between step k and step k-t. For each time step k >= N, the smoother
outputs an estimate for all the time steps between k and k-N. When k < N, the smoother doesn't output any estimates.
As a result, the memory requirements of this filter is N times of a linear kalman filter. Since the smoother
outputs multiple estimates for a single measurement, it is advised to set event time column
of the measurements with setEventTimeCol.
Except fixedLag parameter, LinearKalmanSmoother has the same parameters with LinearKalmanFilter
Fixed lag linear kalman smoother using Rauch-Tung-Striebel method. The smoother is implemented with a stateful spark transformer for running parallel smoothers /w spark dataframes. Transforms an input dataframe of noisy measurements to dataframe of state estimates using stateful spark transformations, which can be used in both streaming and batch applications.
At a time step k and a fixed lag N, the fixed lag linear kalman smoother computes the state estimates of a linear kalman filter based on all measurements made between step k and step k-t. For each time step k >= N, the smoother outputs an estimate for all the time steps between k and k-N. When k < N, the smoother doesn't output any estimates. As a result, the memory requirements of this filter is N times of a linear kalman filter. Since the smoother outputs multiple estimates for a single measurement, it is advised to set event time column of the measurements with setEventTimeCol.
Except fixedLag parameter, LinearKalmanSmoother has the same parameters with LinearKalmanFilter