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Python bindings for Online Estimation Methods

Requirements

  • Cmake
  • numpy
  • pybind11
  • Eigen

Build

To build and install, you can use:

pip install .

Usage

The estimators can be imported like python classes:

from online_estimation._core import RLS, RLS_Robust, KF, KF_Robust, RK, GRK, TARK, TAGK

Each estimator exposes an iterate method. For example, with the RLS estimator:

n = 5

A = ...
b = ...
x0 = np.zeros((n, 1))

kwargs = {
    "lambda": 0.99,
    "p_coeff": 1000,
    "x0": None
}
estimator = RLS(n, **kwargs)

x_estimate = estimator.iterate(A, b, x0=x0)

You can also modify the internal state without passing it to the iterate function:

estimator.state = x_new  # performs check on if dimensions match current state