kkf 0.25

KKF: Kernel Koopman Kalman Filter - A library for non-linear state estimation using kernel methods and Koopman operator theory

Kernel Koopman Kalman Filter (KKF)

A Python library for nonlinear state estimation using kernel-based Extended Dynamic Mode Decomposition (kEDMD) and Koopman operator theory.

What is KKF?

The Kalman filter is optimal for linear systems but degrades when the dynamics are strongly nonlinear. KKF lifts the state into a feature space where the dynamics are approximately linear, runs a Kalman filter there, and maps the estimate back. The pieces are:

• Koopman operator theory — represent nonlinear dynamics as a linear operator acting on observables.
• Kernel methods — build the feature space from a kernel (RBF, Matérn, ...).
• kEDMD — estimate the linear operator from samples of the dynamics.
• Kalman filtering — propagate the mean and covariance in feature space.

Features

• Kernel Extended Dynamic Mode Decomposition (kEDMD)
• A Kalman filter that operates in the lifted feature space
• Works with arbitrary user-supplied dynamics f and observation g
• Choice of kernel through scikit-learn's gaussian_process.kernels
• Posterior covariance in both state and feature space, with optional kernel-parameter optimization
• Type hints throughout, and unit/integration tests run in CI

Installation

pip install kkf

From source, for development:

git clone https://github.com/diegoolguinw/kkf.git
cd kkf
pip install -e ".[dev]"

Optional dependency groups:

pip install kkf[viz]    # plotting for the examples
pip install kkf[dev]    # tests and linters
pip install kkf[docs]   # documentation build
pip install kkf[all]    # everything

Quick Start

The example below estimates the states of an SIR (Susceptible-Infected-Recovered) epidemic model from noisy observations of the infected fraction. A runnable version is in examples/02_sir_epidemic_model.py.

import numpy as np
from scipy import stats
from sklearn.gaussian_process.kernels import Matern

from kkf import DynamicalSystem, KoopmanOperator, apply_koopman_kalman_filter

# SIR dynamics (discrete time)
beta, gamma = 0.12, 0.04

def f(x):  # state transition
    return x + np.array([
        -beta * x[0] * x[1],
        beta * x[0] * x[1] - gamma * x[1],
        gamma * x[1],
    ])

def g(x):  # observe the infected fraction
    return np.array([x[1]])

# Dimensions and noise model
nx, ny, n_features = 3, 1, 50
X_dist = stats.dirichlet(alpha=np.ones(nx))
dyn_dist = stats.multivariate_normal(mean=np.zeros(nx), cov=1e-5 * np.eye(nx))
obs_dist = stats.multivariate_normal(mean=np.zeros(ny), cov=1e-3 * np.eye(ny))

system = DynamicalSystem(nx, ny, f, g, X_dist, dyn_dist, obs_dist, discrete_time=True)

# Synthetic observations of the infected fraction
np.random.seed(42)
n_timesteps = 100
y_obs = np.random.randn(n_timesteps, ny) * 0.1 + 0.1

# Build the Koopman operator and run the filter
kernel = Matern(length_scale=1.0, nu=0.5)
koopman_op = KoopmanOperator(kernel, system)

x0_prior = np.array([0.8, 0.15, 0.05])
initial_prior = stats.multivariate_normal(mean=x0_prior, cov=0.1 * np.eye(nx))

solution = apply_koopman_kalman_filter(
    koopman_operator=koopman_op,
    observations=y_obs,
    initial_distribution=initial_prior,
    n_features=n_features,
    optimize=False,
    noise_samples=100,
)

# Posterior estimates and covariances at each step
print(solution.x_plus.shape)    # (n_timesteps, nx)
print(solution.Px_plus.shape)   # (n_timesteps, nx, nx)

solution.x_plus / solution.x_minus are the posterior / prior state estimates, and solution.Px_plus / solution.Px_minus the corresponding covariances.

Examples

The examples/ directory contains three runnable scripts:

• 01_basic_linear_system.py — a linear system end to end: definition, synthetic data, filtering, confidence intervals.
• 02_sir_epidemic_model.py — the SIR model above, with partial observation and population estimates.
• 03_advanced_parameter_exploration.py — comparing kernels and feature dimensions.

Run any of them with, e.g., python examples/02_sir_epidemic_model.py. See examples/README.md for more.

API at a glance

from kkf import (
    DynamicalSystem,
    KoopmanOperator,
    KoopmanKalmanFilterSolution,
    apply_koopman_kalman_filter,
    compute_initial_covariance,
    compute_dynamics_covariance,
    compute_observation_covariance,
)

The algorithm proceeds in three steps:

1. Lift the state into feature space using the kernel.
2. Approximate the linear dynamics in that space with kEDMD.
3. Filter with a Kalman filter in feature space, then project the estimate and covariance back to the state coordinates.

Main arguments to apply_koopman_kalman_filter:

Parameter	Description	Default
n_features	Dimension of the lifted feature space	50
kernel	Kernel passed to KoopmanOperator (RBF, Matérn, ...)	RBF(1.0)
optimize	Optimize kernel parameters during fitting	False
noise_samples	Monte Carlo samples for covariance propagation	100

Requirements

• Python 3.8+
• NumPy ≥ 1.20
• SciPy ≥ 1.7
• scikit-learn ≥ 1.0
• Matplotlib ≥ 3.5 (optional, only for the example plots)

Common variations

Different kernels:

from sklearn.gaussian_process.kernels import (
    RBF, Matern, ExpSineSquared, ConstantKernel,
)

kernel = RBF(length_scale=1.0)
kernel = Matern(length_scale=1.0, nu=2.5)
kernel = ExpSineSquared(length_scale=1.0, periodicity=1.0)
kernel = ConstantKernel(1.0) * Matern(nu=1.5)

Optimizing the kernel parameters:

solution = apply_koopman_kalman_filter(
    koopman_operator=koopman_op,
    observations=y_obs,
    initial_distribution=initial_prior,
    n_features=50,
    optimize=True,
    n_restarts_optimizer=20,
)

Confidence intervals from the posterior covariance:

std = np.sqrt(np.diagonal(solution.Px_plus, axis1=1, axis2=2))
ci_lower = solution.x_plus - 1.96 * std
ci_upper = solution.x_plus + 1.96 * std

Testing

pytest tests/                 # all tests
pytest tests/ -v              # verbose
pytest tests/ -m "not slow"   # skip slow tests
pytest tests/ --cov=kkf --cov-report=html

Contributing

Contributions are welcome — see CONTRIBUTING.md. This project follows the Contributor Code of Conduct.

Citation

@software{kkf2024,
  title  = {KKF: Kernel Koopman Kalman Filter},
  author = {Olguin-Wende, Diego},
  year   = {2024},
  url    = {https://github.com/diegoolguinw/kkf}
}

License

MIT — see LICENSE.

Contact

• Issues and bug reports: GitHub Issues
• Email: [e-mail]