pints-team · MichaelClerx · Aug 26, 2018 · Mar 21, 2020
diff --git a/pints/_kalman_filter.py b/pints/_kalman_filter.py
@@ -0,0 +1,102 @@
+#
+# Log-likelihood functions
+#
+# This file is part of PINTS.
+#  Copyright (c) 2017-2018, University of Oxford.
+#  For licensing information, see the LICENSE file distributed with the PINTS
+#  software package.
+#
+from __future__ import absolute_import, division
+from __future__ import print_function, unicode_literals
+import pints
+import numpy as np
+import scipy.special
+
+
+class KalmanFilterLogLikelihood(pints.ProblemLogLikelihood):
+    """
+    *Extends:* :class:`ProblemLogLikelihood`
+
+The idea is (I think) would be to define the measurements to come from a base model m(p) with fixed parameters p (i.e. any pints model), plus a linear term with the varying parameters x, plus a normal noise term. That is, defined at time points k =1..N the measurements are:
+
+z_k = m_k(p) + H_k x_k + v_k
+
+that you would have a model for the varying parameters as
+
+x_{k+1} = A_k * x_k + w_k
+
+where x_k is the vector of varying parameters (i.e. states), A_k is a matrix defining how the states evolve over time, and w_k are samples from a multivariate normal distribution.
+
+Given a set of fixed paramters p, everything else becomes linear you can use a kalman filter to calculate the likelihood https://en.wikipedia.org/wiki/Kalman_filter#Marginal_likelihood
+
+The user would specify the base model m, the measurement matrix H_k, the transition matrix A_k, and the variances for v_k and w_k (or perhaps these could be unknowns).
+
+
+    """
+    def __init__(self, problem, measurement_matrix,measurement_sigma,
+                                transition_matrix, transition_sigma):
+        super(KalmanFilterLogLikelihood, self).__init__(problem)
+
+        # Store counts
+        self._no = problem.n_outputs()
+        self._np = problem.n_parameters()
+        self._nt = problem.n_times()
+
+        self._H = measurement_matrix
+        self._v = measurement_sigma
+
+        self._A = transition_matrix
+        self._w = transition_sigma
+
+        # Check sigmas
+        for sigma in [measurement_sigma,transition_sigma]:
+            if np.isscalar(sigma):
+                sigma = np.ones(self._no) * float(sigma)
+            else:
+                sigma = pints.vector(sigma)
+                if len(sigma) != self._no:
+                    raise ValueError(
+                        'Sigma must be a scalar or a vector of length n_outputs.')
+            if np.any(sigma <= 0):
+                raise ValueError('Standard deviation must be greater than zero.')
+
+        # Pre-calculate parts
+        self._offset = -0.5 * self._nt * np.log(2 * np.pi)
+        self._offset -= self._nt * np.log(sigma)
+        self._multip = -1 / (2.0 * sigma**2)
+
+        # Pre-calculate S1 parts
+        self._isigma2 = sigma**-2
+
+    def __call__(self, x):
+        sim = self._problem.evaluate(x)
+        x = x0
+        P = ?
+        H = self._H
+        A = self._A
+        log_like = 0.0
+        for m, z in zip(self._problem.evaluate(x),self._values):
+            # predict
+            x = A.dot(x)
+            P = np.matmul(A,np.matmul(P * A.T)) + Q # Q is transition covariance
+
+            # update
+            y = z - H.dot(x) - m
+            S = R + np.matmul(H , np.matmul(P * H.T)) # R is measurement covariance
+            invS = np.linalg.inv(S)
+            K = np.matmul(P,np.matmul(H.T * invS))
+            x += P.dot(H.T.dot(K.dot(y)))
+            tmp = I - np.matmul(K,H)
+            P = np.matmul(tmp,np.matmul(P ,tmp.T)) + np.matmul(K,np.matmul(R,K.T))
+            # or P = np.matmul(tmp,P) # only valid for optimal gain?
+            #postfit_residual = z - H.dot(x) - m
+
+            log_like -= 0.5*(np.inner(y,invS.dot(y)) + np.linalg.slogdet(S)[1] + no*log(2*pi))
+
+
+        error = self._values - self._problem.evaluate(x)
+        return np.sum(self._offset + self._multip * np.sum(error**2, axis=0))
+
+    def evaluateS1(self, x):
+        """ See :meth:`LogPDF.evaluateS1()`. """
+