00-Preface.ipynb

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    "[Table of Contents](http://nbviewer.ipython.org/github/rlabbe/Kalman-and-Bayesian-Filters-in-Python/blob/master/table_of_contents.ipynb)"
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    "# Preface"
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   "source": [
    "#format the book\n",
    "import sys\n",
    "sys.path.insert(0,'./code')\n",
    "from book_format import load_style\n",
    "load_style() "
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   "source": [
    "Introductory textbook for Kalman filters and Bayesian filters. All code is written in Python, and the book itself is written in IPython Notebook so that you can run and modify the code in the book in place, seeing the results inside the book. What better way to learn?\n",
    "\n",
    "<img src=\"https://raw.githubusercontent.com/rlabbe/Kalman-and-Bayesian-Filters-in-Python/master/animations/05_dog_track.gif\">\n"
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   "source": [
    "## Kalman and Bayesian Filters\n",
    "\n",
    "Sensors are noisy. The world is full of data and events that we want to measure and track, but we cannot rely on sensors to give us perfect information. I have a mechanical scale at home; if I weigh the same object multiple times I often get slightly different readings. \n",
    "\n",
    "In simple cases the solution is obvious. If my scale gives slightly different readings I can just take a few readings and average them. Or I can replace it with a more accurate scale. But what do we do when the sensor is very noisy, or the environment makes data collection difficult? We may be trying to track the movement of a low flying aircraft. We may want to create an autopilot for a drone, or ensure that our farm tractor seeded the entire field. I do computer vision, and I need to track moving objects in images, and the computer vision algorithms create very noisy and unreliable results. \n",
    "\n",
    "This book teaches you how to solve these sorts of filtering problems. I use many different algorithms, but they are all based on **Bayesian probability**. In simple terms Bayesian probability determines what is likely to be true based on past information. For example, suppose you drive home late and see a masked person breaking the window of your neighbors house. You'd conclude that they are a burglar. But you know what your neighbor looks like, and despite the mask this person looks like him. You connot be sure, but your certainty that this is a crime lessens. Now suppose that you remember that this is October 31 - Halloween in the US, when we dress up in costumes. This provides a reason for the mask, and you form the hypothesis that your neighbor locked himself out. Finally,  your wife interjects \"didn't they sell that house last week? Why is he trying to get inside\". This new piece of information favors the crime hypothesis, and you call the police.\n",
    "\n",
    "There is more to Bayesian probability, but you have the main idea. Knowledge is uncertain, and we alter our beliefs based on the strength of the evidence. How does this apply to filtering? Say we are trying to track an aircraft that up to now has been flying straight and level. A sensor reports that it suddenly changed direction. Did it really turn, or is the data noisy? It depends. If this is a jet fighter we may be very inclined to believe the report of a sudden maneuver. If it is a large, cumbersome passenger jet we might be very skeptical. If the sensor is extremely accurate then we would tend to believe it. Our beliefs depend on the past and on our knowledge of the system we are tracking."
   ]
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   "source": [
    "## Motivation for this Book\n",
    "\n",
    "The Kalman filter was invented by Rudolf Emil Kálmán to solve this sort of problem in a mathematically optimal way. The theory and applications are beautiful, but quite difficult to learn if you are not already well trained in topics such as signal processing, control theory, probability and statistics, and guidance and control theory. Its first use was on the Apollo missions to the moon, and since then it has been used in an enormous variety of domains. There are Kalman filters in aircraft, on submarines, on cruise missiles. Wall street uses them to track the market. They are used in robots, in IoT (Internet of Things) sensors, and in laboratory instruments. Chemical plants use them to control and monitor reactions. They are used in medical equipment to do things like medical imaging or to remove noise from cardiac signals. If it involves a sensor, a Kalman filter or a close relative to the Kalman filter is usually involved.\n",
    "\n",
    "I'm a software engineer that spent almost two decades in aerospace, and so I have always been 'bumping elbows' with the Kalman filter, but never implemented one. They always had a fearsome reputation for difficulty, and I did not have the requisite education. Everyone I met that did implement them had multiple graduate courses on the topic and extensive industrial experience with them. As I moved into solving tracking problems with computer vision the need to implement them myself became urgent. \n",
    "\n",
    "There are classic textbooks in the field, such as Grewal and Andrew's *Kalman Filtering*. But sitting down and trying to read many of these books is a dismal and trying experience if you do not have the necessary background. Typically the first few chapters fly through several years of undergraduate math, blithely referring you to textbooks on Itō calculus, and presenting an entire semester's worth of statistics in a few brief paragraphs. These books are good textbooks for an upper undergraduate  or graduate level course, and an invaluable reference to researchers and professionals, but the going is truly difficult for the more casual reader. Notation is introduced without explanation, different texts use different words and variables names for the same concept, and the books are almost devoid of examples or worked problems. I often found myself able to parse the words and comprehend the mathematics of a definition, but had no idea as to what real world phenomena these words and math were attempting to describe. \"But what does that *mean?*\" was my repeated thought. Here are typical examples which once puzzled me:\n",
    "\n",
    "$$\\hat{x}_{k} = \\Phi_{k}\\hat{x}_{k-1} + G_ku_{k-1} + K_k[z_k - H\\Phi_{k}\\hat{x}_{k-1} - HG_ku_{k-1} ] \\\\\n",
    "\\mathbf{P}_{k\\mid k} = (I - \\mathbf{K}_k \\mathbf{H}_{k})\\textrm{cov}(\\mathbf{x}_k - \\hat{\\mathbf{x}}_{k\\mid k-1})(I - \\mathbf{K}_k \\mathbf{H}_{k})^{\\text{T}}  + \\mathbf{K}_k\\textrm{cov}(\\mathbf{v}_k )\\mathbf{K}_k^{\\text{T}}$$\n",
    "\n",
    "However, as I began to finally understand the Kalman filter I realized the underlying concepts are quite straightforward. A few simple probability rules, some intuition about how we integrate disparate knowledge to explain events and the core concepts of the Kalman filter are accessible. Kalman filters have a reputation for difficulty, but shorn of much of the formal terminology the beauty of the subject and of their math became clear to me, and I fell in love with the topic. \n",
    "\n",
    "As I began to understand the math and theory more difficulties appeared. A book or paper will make some statement of fact and presents a graph as proof.  Unfortunately, why the statement is true is not clear to me, and I didn't understand how to create the plot. Or maybe I wonder \"is this true if R=0?\"  Or the author provides pseudocode at such a high level that the implementation is not obvious. Some books offer Matlab code, but I do not have a license to that expensive package. Finally, many books end each chapter with many useful exercises. Exercises which you need to understand if you want to implement Kalman filters for yourself, but exercises with no answers. If you are using the book in a classroom, perhaps this is okay, but it is terrible for the independent reader. I loathe that an author withholds information from me, presumably to avoid 'cheating' by the student in the classroom.\n",
    "\n",
    "All of this impedes learning, from my point of view. Certainly if you are designing a Kalman filter for a aircraft or missile you must thoroughly master of all of the mathematics and topics in a typical Kalman filter textbook. I just want to track an image on a screen, or write some code for my Arduino project. I want to know how the plots in the book are made, and chose different parameters than the author chose. I want to run simulations. I want to inject more noise in the signal and see how a filter performs. There are thousands of opportunities for using Kalman filters in everyday code, and yet this fairly straightforward topic is the provenance of rocket scientists and academics.\n",
    "\n",
    "I wrote this book to address all of those needs. This is not the book for you if you design radars for Raytheon. Go get a Masters or PhD at Georgia Tech, UW, or the like, because you'll need it. This book is for the hobbyist, the curious, and the working engineer that needs to filter or smooth data. \n",
    "\n",
    "This book is interactive. While you can read it online as static content, I urge you to use it as intended. It is written using Jupyter Notebook (formally known as IPython Notebook). This allows me to combine text, math, Python, and Python output in one place. Every plot, every piece of data in this book is generated from Python inside the notebook. Want to double the value of a parameter? Just change the parameter's value, and press CTRL-ENTER. A new plot or printed output will appear. \n",
    "\n",
    "This book has exercises, but it also has the answers. I trust you. If you just need an answer, go ahead and read the answer. If you want to internalize this knowledge, try to implement the exercise before you read the answer. Since the book is interactive, you enter and run your solution inside the book - you don't have to move to a different environment, or deal with importing a bunch of stuff before starting.\n",
    "\n",
    "If you are a hobbiest this book should provide everything you need. If you are serious about Kalman filters you'll need more. My intention is to introduce you to the concepts and mathematics, and to get you to the point where textbooks and papers are approachable.\n",
    "\n",
    "This book is free. I've spent several thousand dollars on Kalman filtering books. I cannot believe they are within the reach of someone in a depressed economy or a financially struggling student. I have gained so much from free software like Python, and free books like those from Allen B. Downey [here](http://www.greenteapress.com/) [1]. It's time to repay that. So, the book is free, it is hosted on free servers at GitHub, and it uses only free and open software such as IPython and MathJax."
   ]
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   "source": [
    "## Reading Online"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "The book is hosted on GitHub, and you can read any chapter by clicking on its name. GitHub statically renders Jupyter Notebooks. You will not be able to run or alter the code, but you can read all of the content.\n",
    "\n",
    "The GitHub pages for this project are at\n",
    "\n",
    "    https://github.com/rlabbe/Kalman-and-Bayesian-Filters-in-Python \n",
    "\n",
    "The nbviewer website will render any Notebook in a static format. I find it does a slightly better job than the GitHub renderer, but it is slighty harder to use. It accesses GitHub directly; whatever I have checked into GitHub will be rendered by nbviewer.\n",
    "\n",
    "You may access this book via nbviewer here:\n",
    "\n",
    "http://nbviewer.ipython.org/github/rlabbe/Kalman-and-Bayesian-Filters-in-Python/blob/master/table_of_contents.ipynb"
   ]
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   "source": [
    "## Host  the Book Online for Free at SageMath\n",
    "\n",
    "Maybe you don't want to, or can't install IPython and associated libraries on your device, or maybe you move from device to device a lot and don't want to distribute the work you are doing in the book in multiple places. Maybe you have high school students with Chromebooks, and you want them to be able to run the code, and write new code for exercises you devise. Wouldn't it be nice if the book was in the cloud?\n",
    "\n",
    "The site https://cloud.sagemath.com will host as many Jupyter Notebooks as you want. There are limits on memory and CPU, but what they offer is more than sufficient for this book. All that is required is creating a free account. There's even support for teachers - including student accounts and grading capabilities. \n",
    "\n",
    "### Installation Instructions\n",
    "\n",
    "1. Go to the site and make an account. You can create one manually, or sign in with Google, Facebook, Github, or Twitter.\n",
    "\n",
    "2. Once you are signed in it will take you to the Projects page. Click the button labelled \"Create New Project..\". Give your project any title you want, such as \"Kalman Filter Book\" and press the \"Create Project\" button.\n",
    "\n",
    "3. That project should be listed as your only project on the Projects page. Click on it to open it.\n",
    "\n",
    "4. You should be on a page with text stating \"Create or upload files or directories...\". Don't do that! We are going to pull the data directly from GitHub, which is much easier. Click the \"New...\" dropdown and select \"terminal\".\n",
    "\n",
    "5. This opens a linux terminal inside your browser. Every project you make creates a linux container that runs in the cloud. You can put any file here that you want, up to the disk quota. We will use `wget` to download a bash script which will install the book and its dependencies. type this at the terminal prompt (copy and paste is easier):\n",
    "\n",
    "    wget https://raw.githubusercontent.com/rlabbe/kalman-book-sagemath-install/master/install.sh\n",
    "    bash install sh\n",
    "\n",
    "You should see messages flash by as it downloads the book and FilterPy.\n",
    "\n",
    "The book is now installed.\n",
    "\n",
    "\n",
    "### Reading/Using Instructions\n",
    "\n",
    "1. At the top left of the session should be a \"Files\" button. Click it if is not already highlighted. You should see a folder named `Kalman-and-Bayesian-Filters-in-Python`. Click it to go into that directory.\n",
    "\n",
    "2. All of the notebooks in the book are listed, but in order of time, not name. At the upper right is an down arrow button with 1..9 beside it. This will resort by name. Click it.\n",
    "\n",
    "   \n",
    "Now all of the Notebooks are listed in order. To run a notebook, just click on it's name. You'll be in a fully functional Notebook, hosted on the sagemath servers. You can run code, play with the animations, change code, heck, change the text. Do whatever you want. It's yours, free. Make a change and push it back to my repo. "
   ]
  },
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   "metadata": {},
   "source": [
    "## PDF Version"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "I periodically generate a PDF of the book from the Notebooks. I usually update after any substantive change, but it may lag the GitHub repo a small amount. Of course, you will not be able to run and modify the code in the notebooks, nor will you be able to see the animations. If you are offline, and  either cannot or don't want to install IPython this is an excellent choice.\n",
    "\n",
    "https://drive.google.com/file/d/0By_SW19c1BfhSVFzNHc0SjduNzg/view?usp=sharing"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "##Downloading the book"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "This book is interactive and I recommend using it in that form. If you install IPython on your computer and then clone this book you will be able to run all of the code in the book inside your browser. You can perform experiments, see how filters react to different data, see how different filters react to the same data, and so on. I find this sort of immediate feedback vital. You do not have to wonder \"what happens if\". Try it and see!\n",
    "\n",
    "The GitHub pages for this project are at\n",
    "\n",
    "    https://github.com/rlabbe/Kalman-and-Bayesian-Filters-in-Python \n",
    "\n",
    "You can clone it to your hard drive with the command \n",
    "\n",
    "`git clone --depth=1 https://github.com/rlabbe/Kalman-and-Bayesian-Filters-in-Python.git`\n",
    "    \n",
    "This will create a directory named `Kalman-and-Bayesian-Filters-in-Python`. The `depth` parameter just gets you the latest version. Unless you need to see my entire commit history this is a lot faster and saves space. Navigate to the directory, and run IPython notebook with the command\n",
    "\n",
    "    ipython notebook\n",
    "\n",
    "This will open a browser window showing the contents of the base directory. The book is organized into chapters. Each chapter is named *xx*-*name*.ipynb, where *xx* is the chapter number. .ipynb is the Notebook file extension.\n",
    "\n",
    "This is admittedly a somewhat cumbersome interface to a book; I am following in the footsteps of several other projects that are somewhat re-purposing IPython Notebook to generate entire books. I feel the slight annoyances have a huge payoff - instead of having to download a separate code base and run it in an IDE while you try to read a book, all of the code and text is in one place. If you want to alter the code, you may do so and immediately see the effects of your change. If you find a bug, you can make a fix, and push it back to my repository so that everyone in the world benefits. And, of course, you will never encounter a problem I face all the time with traditional books - the book and the code are out of sync with each other, and you are left scratching your head as to which source to trust."
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   "metadata": {},
   "source": [
    "##Installation and Software Requirements"
   ]
  },
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   "source": [
    "Installation of the required software is described in detail in the Installation appendix, which you can read online here:\n",
    "\n",
    "http://nbviewer.ipython.org/github/rlabbe/Kalman-and-Bayesian-Filters-in-Python/blob/master/Appendix_A_Installation.ipynb\n",
    "\n",
    "You will need IPython 3.0 or greater, Python 2.7+ or Python 3.4+, NumPy, SciPy, SymPy, and Matplotlib. You will also need my open source library FilterPy.\n",
    "\n",
    "The easiest way to get all of those except for FilterPy is by installing a free Scientific Python distribution, such as the Anaconda distribution https://store.continuum.io/cshop/anaconda/ (the link says \"shop\", but it is free). I am not naming them out of favoritism, I am merely documenting my environment. Should you have trouble running any of the code, perhaps knowing this will help you.\n",
    "\n",
    "Once you have Python installed install FilterPy by typing\n",
    "\n",
    "    pip install filterpy\n",
    "\n",
    "at the command line."
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "##My Libraries and Modules"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "I am writing an open source Bayesian filtering Python library called FilterPy. Installation instructions are given above.\n",
    "\n",
    "FilterPy is hosted GitHub at (https://github.com/rlabbe/filterpy) but the `pip` installed version should serve your needs.\n",
    "\n",
    "Code that is specific to the book is stored with the book in the subdirectory **/code**. It contains code for formatting the book. It also contains python files with names like *xxx*_internal.py. I use these to store functions that are useful for a specific chapter. This allows me to hide Python code that is not particularly interesting to read - I may be generating a plot or chart, and I want you to focus on the contents of the chart, not the mechanics of how I generate that chart with Python. If you are curious as to the mechanics of that, just go and browse the source.\n",
    "\n",
    "Some chapters introduce functions that are useful for the rest of the book. Those functions are initially defined within the Notebook itself, but the code is also stored in a Python file in **/code** that is imported if needed in later chapters. I do document when I do this where the function is first defined, but this is still a work in progress. I try to avoid this because then I always face the issue of code in the directory becoming out of sync with the code in the book. However, IPython Notebook does not give us a way to refer to code cells in other notebooks, so this is the only mechanism I know of to share functionality across notebooks.\n",
    "\n",
    "There is an undocumented directory called **/experiments**. This is where I write and test code prior to putting it in the book. There is some interesting stuff in there, and feel free to look at it. As the book evolves I plan to create examples and projects, and a lot of this material will end up there. Small experiments will eventually just be deleted. If you are just interested in reading the book you can safely ignore this directory. \n",
    "\n",
    "\n",
    "The directory **/code** contains a css file containing the style guide for the book. The default look and feel of Jupyter Notebook is rather plain. I have followed the examples set by books such as [Probabilistic Programming and Bayesian Methods for Hackers](http://nbviewer.ipython.org/github/CamDavidsonPilon/Probabilistic-Programming-and-Bayesian-Methods-for-Hackers/blob/master/Chapter1_Introduction/Chapter1_Introduction.ipynb) [4]. I have also been very influenced by Professor Lorena Barba's fantastic work, [available here](https://github.com/barbagroup/CFDPython) [5]. I owe all of my look and feel to the work of these projects. "
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "##Thoughts on Python and Coding Math"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "Most Kalman filtering and other engineering texts are written by mathematicians or academics. When there is software(rarely) , it is not production quality. I will take Paul Zarchan's book *Fundamentals of Kalman Filtering* as an example. This is a fantastic book and it belongs in your library, and is one of the few books that provides full source for every example and chart. But the code is Fortran without any subroutines beyond calls to functions like `MATMUL`. Kalman filters are re-implemented throughout the book. The same listing mixes simulation with filtering code, making it hard to distinguish them. Some chapters implement the same filter in subtly different ways, and uses bold text to highlight the few lines that changed. If Runge Kutta is needed it is embedded in the code, without comments. \n",
    "\n",
    "There's a better way. If I want to perform Runge Kutta I call `ode45`, I do not embed an Runge Kutta implementation in my code. I don't want to implement Runge Kutta multiple times and debug it several times. if I do find a bug, I can fix it once and be assured that it now works across all my different projects. And, it is readable. It is rare that I care about the implementation of Runge Kutta.\n",
    "\n",
    "This is a textbook on Kalman filtering, and you can argue that we *do* care about the implementation of Kalman filters. That is true, but you will find out the code that performs the filtering amounts to 10 or so lines of code. The code to implement the math is fairly trivial. Most of the work that Kalman filter requires is the design of the matrices that get fed into the math engine.\n",
    "\n",
    "A possible downside is that the equations that perform the filtering are hidden behind functions, which we could argue is a loss in a pedagogical text. I argue the converse. I want you to learn how to use Kalman filters in the real world, for real projects, and you shouldn't be cutting and pasting established algorithms all over the place.\n",
    "\n",
    "I use Python classes. I mostly use classes as a way to organize the data that the filters require, not to implement OO features such as inheritence. For example, the `KalmanFilter` class stores matrices called `x`, `P`, `R`, `Q`. I've seen procedural libraries for Kalman filters, and they require the programmer to maintain all of those matrices. This perhaps isn't so bad for a toy program, but program a bank of Kalman filters and you will not enjoy having to manage all of those matrices and other associated data. I have derived from these classes occasionaly in my own work, and find it handy, but I don't want to force OO on people as I know many do not like it."
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "##License"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "<a rel=\"license\" href=\"http://creativecommons.org/licenses/by-nc-sa/4.0/\"><img alt=\"Creative Commons License\" style=\"border-width:0\" src=\"http://i.creativecommons.org/l/by-nc-sa/4.0/88x31.png\" /></a><br /><span xmlns:dct=\"http://purl.org/dc/terms/\" property=\"dct:title\">Kalman Filters and Random Signals in Python</span> by <a xmlns:cc=\"http://creativecommons.org/ns#\" href=\"https://github.com/rlabbe/Kalman-Filters-and-Random-Signals-in-Python\" property=\"cc:attributionName\" rel=\"cc:attributionURL\">Roger Labbe</a> is licensed under a <a rel=\"license\" href=\"http://creativecommons.org/licenses/by-nc-sa/4.0/\">Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License</a>.<br />\n",
    "\n",
    "http://creativecommons.org/licenses/by-nc-sa/4.0/\n",
    "\n",
    "Based on the work at <a xmlns:dct=\"http://purl.org/dc/terms/\" href=\"https://github.com/rlabbe/Kalman-and-Bayesian-Filters-in-Python\" rel=\"dct:source\">https://github.com/rlabbe/Kalman-and-Bayesian-Filters-in-Python</a>."
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Contact"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "rlabbejr@gmail.com"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "##Resources"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "* [1] http://www.greenteapress.com/\n",
    "* [2] http://ipython.org/ipython-doc/rel-1.0.0/interactive/nbconvert.html\n",
    "* [3] https://store.continuum.io/cshop/anaconda/\n",
    "* [4] http://nbviewer.ipython.org/github/CamDavidsonPilon/Probabilistic-Programming-and-Bayesian-Methods-for-Hackers/blob/master/Chapter1_Introduction/Chapter1_Introduction.ipynb\n",
    "* [5] https://github.com/barbagroup/CFDPython"
   ]
  }
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