Least Squares Filters

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Introduction

author's note: This was snipped from the g-h chapter, where it didn't belong. This chapter is not meant to be read yet! I haven't written it yet.

Near the beginning of the chapter I used numpy.polyfit() to fit a straight line to the weight measurements. It fits a n-th degree polynomial to the data using a 'least squared fit'. How does this differ from the g-h filter?

Well, it depends. We will eventually learn that the Kalman filter is optimal from a least squared fit perspective under certain conditions. However, polyfit() fits a polynomial to the data, not an arbitrary curve, by minimizing the value of this formula:

$$E = \sum_{j=0}^k |p(x_j) - y_j|^2$$

I assumed that my weight gain was constant at 1 lb/day, and so when I tried to fit a polynomial of $n=1$, which is a line, the result very closely matched the actual weight gain. But, of course, no one consistently only gains or loses weight. We fluctuate. Using 'polyfit()' for a longer series of data would yield poor results. In contrast, the g-h filter reacts to changes in the rate - the $h$ term controls how quickly the filter reacts to these changes. If we gain weight, hold steady for awhile, then lose weight, the filter will track that change automatically. 'polyfit()' would not be able to do that unless the gain and loss could be well represented by a polynomial.

Another advantage of this form of filter, even if the data fits a n-degree polynomial, is that it is recursive. That is, we can compute the estimate for this time period knowing nothing more than the estimate and rate from the last time period. In contrast, if you dig into the implementation for polyfit() you will see that it needs all of the data before it can produce an answer. Therefore algorithms like polyfit() are not well suited for real-time data filtering. In the 60's when the Kalman filter was developed computers were very slow and had extremely limited memory. They were utterly unable to store, for example, thousands of readings from an aircraft's inertial navigation system, nor could they process all of that data in the short period of time needed to provide accurate and up-to-date navigation information.

Up until the mid 20th century various forms of Least Squares Estimation was used for this type of filtering. For example, for NASA's Apollo program had a ground network for tracking the Command and Service Model (CSM) and the Lunar Module (LM). They took measurements over many minutes, batched the data together, and slowly computed an answer. In 1960 Stanley Schmidt at NASA Ames recognized the utility of Rudolf Kalman's seminal paper and invited him to Ames. Schmidt applied Kalman's work to the on board navigation systems on the CSM and LM, and called it the "Kalman filter".[1] Soon after, the world moved to this faster, recursive filter.

The Kalman filter only needs to store the last estimate and a few related parameters, and requires only a relatively small number of computations to generate the next estimate. Today we have so much memory and processing power that this advantage is somewhat less important, but at the time the Kalman filter was a major breakthrough not just because of the mathematical properties, but because it could (barely) run on the hardware of the day.

This subject is much deeper than this short discussion suggests. We will consider these topics many more times throughout the book.