{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/fitting-a-kalman-smoother-to-data","title":"Fitting a Kalman Smoother to Data","arxiv_id":"1910.08615","date":"2019-10-18","proceeding":null,"authors":["Shane Barratt","Stephen Boyd"],"abstract":"This paper considers the problem of fitting the parameters of a Kalman smoother to data. We formulate the Kalman smoothing problem with missing measurements as a constrained least squares problem and provide an efficient method to solve it based on sparse linear algebra. We then introduce the Kalman smoother tuning problem, which seeks to find parameters that achieve low prediction error on held out measurements. We derive a Kalman smoother auto-tuning algorithm, which is based on the proximal gradient method, that finds good, if not the best, parameters for a given dataset. Central to our method is the computation of the gradient of the prediction error with respect to the parameters of the Kalman smoother; we describe how to compute this at little to no additional cost. We demonstrate the method on population migration within the United States as well as data collected from an IMU+GPS system while driving. The paper is accompanied by an open-source implementation.","url_abs":"http://arxiv.org/abs/1910.08615v1","url_pdf":"http://arxiv.org/pdf/1910.08615v1.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"links_only","authors_date_abstract":"arXiv metadata, CC0 1.0 (https://info.arxiv.org/help/license), from the Kaggle arXiv metadata snapshot of 2026-09-12"},"code_links":[{"paper_slug":"fitting-a-kalman-smoother-to-data","repo_url":"https://github.com/cvxgrp/auto_ks","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":0,"framework":"none","reach":{"status":"ok","spdx":"Apache-2.0"}}],"tasks":[],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"syntology_url":"https://syntology.ai/paper/1910.08615","atlas_url":"https://app.syntology.ai/?focus=1910.08615","mcp":{"get_harvested_code_for_paper":{"arxiv_id":"1910.08615"}},"developers":"https://syntology.ai/developers","read_at":"2026-09-25T09:33:49+00:00","read_at_is":"when the build read Syntology's graph, not when any sample ran","claim":"Per-sample execution status on synthesized fixtures; not a correctness claim about the paper. Samples come from repositories linked to the paper, official or community; repo_kind says which.","repos":[{"provenance":"external:paperswithcode_snapshot_2025-07-28","url":"https://github.com/cvxgrp/auto_ks","reach":{"status":"ok","spdx":"Apache-2.0"}}],"summary":{"unverified":2},"by_repo_kind":{"official":{"samples":2,"ran":0,"repositories":1}},"repo_kind_vocabulary":{"official":"The archive marks this repository official for the paper","named_in_paper":"The archive records that the paper mentions this repository; it is not marked official","listed":"In the archive's code links for this paper, not marked official and not recorded as mentioned in the paper","found_in_text":"Syntology found this repository in the paper's own text; whether it is the authors' implementation is not asserted","community":"Not in the archive's code links for this paper; a community repository Syntology harvested"},"n_pointer_only_for_licence":0,"samples":[{"code_sha256_prefix":"bb799ec20de6d6da","entry":"get_D","repo":"cvxgrp/auto_ks","repo_kind":"official","path":"auto_ks/kalman_smoother.py","file_url":"https://github.com/cvxgrp/auto_ks/blob/HEAD/auto_ks/kalman_smoother.py","link_basis":"first_harvest_node","language":"python","status":"unverified","verification_level":0,"contract_check":null,"metamorphic_tier":null,"behaviour_fingerprint":false,"licence":"Apache-2.0","inline_ok":true,"mcp_get_code":{"code_sha256":"bb799ec20de6d6da"}},{"code_sha256_prefix":"06bab92400451cbf","entry":"kalman_smoother","repo":"cvxgrp/auto_ks","repo_kind":"official","path":"auto_ks/kalman_smoother.py","file_url":"https://github.com/cvxgrp/auto_ks/blob/HEAD/auto_ks/kalman_smoother.py","link_basis":"first_harvest_node","language":"python","status":"unverified","verification_level":0,"contract_check":null,"metamorphic_tier":null,"behaviour_fingerprint":false,"licence":"Apache-2.0","inline_ok":true,"mcp_get_code":{"code_sha256":"06bab92400451cbf"}}]},"arxiv_metadata":null,"syntology_extracted_results":null}