Ensemble Filter Example

The Ensemble Kalman Filter (EnKF) is a hybrid of the Kalman updating scheme and the Monte Carlo approach of the particle filter. The EnKF provides an alternative to the Kalman Filter (and extensions of) which is specifically designed for high-dimensional states.

EnKF can be applied to both non-linear and non-Gaussian state-spaces due to being completely based on sampling.

Multiple versions of EnKF are implemented in Stone Soup - all make use of the same prediction step, but implement different versions of the update step. Namely, the updaters are:

• EnsembleUpdater

• LinearisedEnsembleUpdater

• RecursiveLinearisedEnsembleUpdater

• RecursiveUpdater

The EnsembleUpdater is deliberately structured to resemble the Vanilla Kalman Filter, update() first calls predict_measurement() function which proceeds by calculating the predicted measurement, innovation covariance and measurement cross-covariance. Note however, these are not propagated explicitly, they are derived from the sample covariance of the ensemble itself.

The LinearisedEnsembleUpdater is an implementation of ‘The Linearized EnKF Update’ algorithm from “Ensemble Kalman Filter with Bayesian Recursive Update” by Kristen Michaelson, Andrey A. Popov and Renato Zanetti. Similar to the EnsembleUpdater, but uses a different form of Kalman gain. This alternative form of the EnKF calculates a separate kalman gain for each ensemble member. This alternative Kalman gain calculation involves linearization of the measurement. An additional step is introduced to perform inflation.

The RecursiveLinearisedEnsembleUpdater is an implementation of ‘The Bayesian Recursive Update Linearized EnKF’ algorithm from “Ensemble Kalman Filter with Bayesian Recursive Update” by Kristen Michaelson, Andrey A. Popov and Renato Zanetti. It is an extended version of the LinearisedEnsembleUpdater that recursively iterates over the update step for a given number of iterations. This recursive version is designed to minimise the error caused by linearisation.

The RecursiveEnsembleUpdater is an extended version of the EnsembleUpdater which recursively iterates over the update step.

Example using stonesoup

Package imports

import numpy as np
from datetime import datetime, timedelta

Start time of simulation

start_time = datetime.now()
np.random.seed(1991)

Generate and plot ground truth

from stonesoup.models.transition.linear import CombinedLinearGaussianTransitionModel, \
    ConstantVelocity
from stonesoup.types.groundtruth import GroundTruthPath, GroundTruthState
from stonesoup.plotter import Plotterly

transition_model = CombinedLinearGaussianTransitionModel([ConstantVelocity(0.05),
                                                          ConstantVelocity(0.05)])
truth = GroundTruthPath([GroundTruthState([0, 1, 0, 1], timestamp=start_time)])

for k in range(1, 21):
    truth.append(GroundTruthState(
        transition_model.function(truth[k - 1], noise=True, time_interval=timedelta(seconds=1)),
        timestamp=start_time + timedelta(seconds=k)))

plotter = Plotterly()
plotter.plot_ground_truths(truth, [0, 2])
plotter.fig

Generate and plot detections

from stonesoup.models.measurement.nonlinear import CartesianToBearingRange

sensor_x = 50  # Placing the sensor off-centre
sensor_y = 0

measurement_model = CartesianToBearingRange(
    ndim_state=4,
    mapping=(0, 2),
    noise_covar=np.diag([np.radians(0.2), 1]),  # Covariance matrix. 0.2 degree variance in
    # bearing and 1 metre in range
    translation_offset=np.array([[sensor_x], [sensor_y]])  # Offset measurements to location of
    # sensor in cartesian.
)

from stonesoup.types.detection import Detection

measurements = []
for state in truth:
    measurement = measurement_model.function(state, noise=True)
    measurements.append(Detection(measurement, timestamp=state.timestamp,
                                  measurement_model=measurement_model))

plotter.plot_measurements(measurements, [0, 2])
plotter.fig

Set up predictor and updater

In this EnKF example we must use the EnsemblePredictor, and choose to use the standard EnsembleUpdater. Note that we could instanciate any of the other (ensemble) updaters mentioned in this example, in place of the EnsembleUpdater.

from stonesoup.predictor.ensemble import EnsemblePredictor
from stonesoup.updater.ensemble import EnsembleUpdater

predictor = EnsemblePredictor(transition_model)
updater = EnsembleUpdater(measurement_model)

Prior state

For the simulation we must provide a prior state. The Ensemble Filter in stonesoup requires this to be an EnsembleState. We generate an EnsembleState by calling generate_ensemble(). The prior state stores the prior state vector - see below that for the EnsembleState, the state_vector must be a StateVectors object.

from stonesoup.types.state import EnsembleState

ensemble = EnsembleState.generate_ensemble(
    mean=np.array([[0], [1], [0], [1]]),
    covar=np.diag([1.5, 0.5, 1.5, 0.5]), num_vectors=100)
prior = EnsembleState(state_vector=ensemble, timestamp=start_time)

type(prior.state_vector)

Run the EnKF

Here we run the Ensemble Kalman Filter and plot the results. By marking flag particle=True, we plot each member of the ensembles. As usual, the ellipses represent the uncertainty in the tracks.

from stonesoup.types.hypothesis import SingleHypothesis
from stonesoup.types.track import Track

track = Track()
for measurement in measurements:
    prediction = predictor.predict(prior, timestamp=measurement.timestamp)
    hypothesis = SingleHypothesis(prediction, measurement)  # Group a prediction and measurement
    post = updater.update(hypothesis)
    track.append(post)
    prior = track[-1]

plotter.plot_tracks(track, [0, 2], uncertainty=True, particle=True)
plotter.fig