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examples/case_studies/ssm_hurricane_tracking.ipynb

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@@ -22,13 +22,14 @@
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"In this case study we are going to forecast the paths of hurricanes by applying several State Space Models (SSM). We will begin with a simple two-dimensional constant acceleration tracking model, where we only have one parameter to estimate. Subsequently, we will progressively add complexity and parameters as we develop up our model. \n",
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"\n",
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"As a brief introduction to SSMs, the general idea is that we define our system using two equations.<br> \n",
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"The state equation [1] and the observation equation [2]. \n",
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"The state equation and the observation equation. \n",
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"\n",
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"$$\n",
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"x_{t+1} = A_{t}x_{t} + c_{t} + R_{t}\\epsilon_{t} \\quad (1)\n",
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"x_{t+1} = A_{t}x_{t} + c_{t} + R_{t}\\epsilon_{t}\n",
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"$$ \n",
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"\n",
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"$$\n",
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"y_{t} = Z_{t}x_{t} + d_{t} + \\eta_{t} \\quad (2)\n",
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"y_{t} = Z_{t}x_{t} + d_{t} + \\eta_{t}\n",
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"$$\n",
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"\n",
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"The process/state covariance is given by $\\epsilon_{t} \\sim N(0, Q_{t})$ where $Q_{t}$ is the process/state innovations and the observation/measurement covariance is given by $\\eta_{t} \\sim N(0, H_{t})$ where $H_{t}$ describes the uncertainty in the measurement device or measurement procedure. \n",
@@ -63,11 +64,11 @@
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"The following equations define the process:\n",
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"|Description|Equation|\n",
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"| --- | --- |\n",
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"|Predict the next state vector| $\\hat{x}_{t+1\\|t} = A_{t}\\hat{x}_{t\\|t} \\quad (3)$ |\n",
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"|Predict the next state/process covariance| $P_{t+1\\|t} = A_{t}P_{t+1\\|t}A_{t}^{T} + Q \\quad (4)$ |\n",
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"|Compute Kalman Gain | $K_{t} = P_{t\\|t-1}Z^{T}(ZP_{t\\|t-1}Z^{T} + H_{t})^{-1} \\quad (5)$ |\n",
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"|Estimate current state vector| $\\hat{x}_{t\\|t} = \\hat{x}_{t\\|t-1} + K_{t}(y_{t} - Z\\hat{x}_{t\\|t-1}) \\quad (6)$ |\n",
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"|Estimate current state/process covariance| $P_{t\\|t} = (I - K_{t}Z_{t})P_{t\\|t-1}(I - K_{t}Z_{t})^{T} + K_{t}H_{t}K_{t}^{T} \\quad (7)$ |\n",
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"|Predict the next state vector| $\\hat{x}_{t+1\\|t} = A_{t}\\hat{x}_{t\\|t}$ |\n",
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"|Predict the next state/process covariance| $P_{t+1\\|t} = A_{t}P_{t+1\\|t}A_{t}^{T} + Q$ |\n",
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"|Compute Kalman Gain | $K_{t} = P_{t\\|t-1}Z^{T}(ZP_{t\\|t-1}Z^{T} + H_{t})^{-1}$ |\n",
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"|Estimate current state vector| $\\hat{x}_{t\\|t} = \\hat{x}_{t\\|t-1} + K_{t}(y_{t} - Z\\hat{x}_{t\\|t-1})$ |\n",
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"|Estimate current state/process covariance| $P_{t\\|t} = (I - K_{t}Z_{t})P_{t\\|t-1}(I - K_{t}Z_{t})^{T} + K_{t}H_{t}K_{t}^{T}$ |\n",
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"\n",
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":::{note}\n",
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"We wrote the equation for $P_{t\\|t}$ above using Joseph form, which is more numerically stable but also wordier. In different texts you may encounter this equation written in \"standard\" form.\n",

examples/case_studies/ssm_hurricane_tracking.myst.md

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@@ -28,13 +28,14 @@ myst:
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In this case study we are going to forecast the paths of hurricanes by applying several State Space Models (SSM). We will begin with a simple two-dimensional constant acceleration tracking model, where we only have one parameter to estimate. Subsequently, we will progressively add complexity and parameters as we develop up our model.
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As a brief introduction to SSMs, the general idea is that we define our system using two equations.<br>
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The state equation [1] and the observation equation [2].
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The state equation and the observation equation.
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$$
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x_{t+1} = A_{t}x_{t} + c_{t} + R_{t}\epsilon_{t} \quad (1)
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x_{t+1} = A_{t}x_{t} + c_{t} + R_{t}\epsilon_{t}
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$$
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$$
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y_{t} = Z_{t}x_{t} + d_{t} + \eta_{t} \quad (2)
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y_{t} = Z_{t}x_{t} + d_{t} + \eta_{t}
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$$
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The process/state covariance is given by $\epsilon_{t} \sim N(0, Q_{t})$ where $Q_{t}$ is the process/state innovations and the observation/measurement covariance is given by $\eta_{t} \sim N(0, H_{t})$ where $H_{t}$ describes the uncertainty in the measurement device or measurement procedure.
@@ -69,11 +70,11 @@ The general idea is that we make predictions based on our current state vector a
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The following equations define the process:
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|Description|Equation|
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| --- | --- |
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|Predict the next state vector| $\hat{x}_{t+1\|t} = A_{t}\hat{x}_{t\|t} \quad (3)$ |
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|Predict the next state/process covariance| $P_{t+1\|t} = A_{t}P_{t+1\|t}A_{t}^{T} + Q \quad (4)$ |
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|Compute Kalman Gain | $K_{t} = P_{t\|t-1}Z^{T}(ZP_{t\|t-1}Z^{T} + H_{t})^{-1} \quad (5)$ |
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|Estimate current state vector| $\hat{x}_{t\|t} = \hat{x}_{t\|t-1} + K_{t}(y_{t} - Z\hat{x}_{t\|t-1}) \quad (6)$ |
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|Estimate current state/process covariance| $P_{t\|t} = (I - K_{t}Z_{t})P_{t\|t-1}(I - K_{t}Z_{t})^{T} + K_{t}H_{t}K_{t}^{T} \quad (7)$ |
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|Predict the next state vector| $\hat{x}_{t+1\|t} = A_{t}\hat{x}_{t\|t}$ |
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|Predict the next state/process covariance| $P_{t+1\|t} = A_{t}P_{t+1\|t}A_{t}^{T} + Q$ |
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|Compute Kalman Gain | $K_{t} = P_{t\|t-1}Z^{T}(ZP_{t\|t-1}Z^{T} + H_{t})^{-1}$ |
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|Estimate current state vector| $\hat{x}_{t\|t} = \hat{x}_{t\|t-1} + K_{t}(y_{t} - Z\hat{x}_{t\|t-1})$ |
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|Estimate current state/process covariance| $P_{t\|t} = (I - K_{t}Z_{t})P_{t\|t-1}(I - K_{t}Z_{t})^{T} + K_{t}H_{t}K_{t}^{T}$ |
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:::{note}
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We wrote the equation for $P_{t\|t}$ above using Joseph form, which is more numerically stable but also wordier. In different texts you may encounter this equation written in "standard" form.

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