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First, I just want to start off by saying that I am a programmer, and am no expert in complex algorithms, and will probably not be able to apply complex pseudo-code or other descriptions of a solution. I have already asked a similar question on one of the programming SE forums in hope of finding a code sample, but no one there had a solution.

I have a stream of data that I get at around 10 snapshots per second. I wrote a (C#) controller that takes this data and adjusts some data-gathering parameters based on the distance away from the expected result. Currently, I just do a linear scale operation on my data so that the farther away I am from the expected result the more it corrects. The problem is that the incoming data stream is delayed by somewhere between 0.5 and 2 seconds (I can calculate that at runtime). Because of this delay, it is correcting for results from a while ago and is constantly overcorrecting and even sometimes correcting in the wrong direction. I am looking for an algorithm to do the following:

  • Implement a correction algorithm (I'd prefer PID) that will attempt
    to hone-in on the optimal value
  • Predict a certain amount of time (or number of datasets) in advance based on the history of corrections and results; the values won't be exactly linear, but they will probably be close

What options do I have in terms of algorithms that can accomplish this? As I said earlier, I am a programmer and therefore code samples would be appreciated; I am not great at converting complex pseudo-code in to a working implementation.

EDIT: To address some questions in the comments...

  • I did make a small abstraction in my question. What's actually happening is I get a stream of data, calculate 3 (separate) numbers based on that data, and try to optimize those separately; each of them having their own output parameters. What I need from this algorithm is to be able to operate on a single number and optimize that. I would give it the history and a result and it would modify it's own output parameter. I can then just use the algorithm 3 times for each parameter.
  • The rate does change slightly (usually at a slow pace), though I should be able to calculate the change if needed. But I don't need exact enough numbers to require variable prediction times; I can just pick an arbitrary number of snapshots to predict in advance and it should get me close enough to my result.
  • It is a physical process and is noisy and generally not very accurate. I am taking my data stream and doing a bunch of estimations and tracking and things like that, so there are often outliers. There are many factors that make a basic model relatively easy, but anything more accurate would be completely off. Basically, I can't really model it to the extent of being useful. Just a note, the output values that this algorithm has to control are the 'drift', or rate of change. Currently I just scale the values so that the farther away the input is from the ideal the higher the output is (pretty simple).
  • Are you asking for me to provide a sample of my data? I should be able to at some point, but it may take a few days for me to get the chance. To test it, I was (and am still) planning to just put the algorithm in a test program with a slider and a noise generator and see what happens.
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  • $\begingroup$ Interesting question! I have a few to fill in: 1) Is the data a single measurement? Or something else (vector, classification, etc.)? 2) Does the delay change per sample? Or does it change slowly? At all? 3) Is a physical process generating the data? Can you model it? 4) Is it possible to get a plot of what your data (and your predictions) look like? I believe something like a Kalman filter (or predictor) might be appropriate... but I'll need more information to go on. $\endgroup$ – Peter K. Nov 28 '13 at 1:50
  • $\begingroup$ @PeterK., I just added those clarifications; sorry for the length! $\endgroup$ – Wasabi Fan Nov 28 '13 at 2:32
  • $\begingroup$ Thanks; I'll take a stab at it over the next few days. Might need some more clarifications, but I'll start an answer to go into more detail. $\endgroup$ – Peter K. Nov 28 '13 at 4:08
  • $\begingroup$ @PeterK. Any luck? I've taken another stab at it myself, but haven't come up with much. $\endgroup$ – Wasabi Fan Dec 1 '13 at 4:02
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This is just a start, because I am not sure I fully understand the problem yet.

Here is a plot of what I think is happening. The blue curve is the "truth" of your quantity and the red curve is a delayed, noisy, measured version of it.

Does this look like your problem? If not, how should it be changed to make it look more like it?

enter image description here

I suspect that a modified Kalman filter (a Kalman predictor) will be able to give you something, but I want to understand what your data looks like first.

Another question: How do you know that there's a delay between the "truth" and your measurement? I'm trying to get a handle on what numbers we have to play with to correct for the time delay.


Scilab code to generate the figure.

// Q 12924
N = 1000;
process_noise = rand(1,N,'norm');
mid = filter(ones(1,20)/20,1,process_noise);
alpha = 0.99;
truth = filter(1-alpha,[1 -alpha], mid);

clf;
plot(truth);

max_delay = 50;
true_delay = floor(rand(1,1,'uniform')*max_delay);

sigma = 0.01;
measurement_noise = rand(1,N,'norm')*sigma;

measurements = truth(max(1,[1:N]-true_delay)) + measurement_noise;

plot(measurements,'r:')
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  • $\begingroup$ Yup! That's pretty much what my data looks like. What I need is something that will attempt to predict, remove noise and try to optimize the result. Just imagine that there are two points on a scale, and I know the difference between them. It has to control the relative speed at which one point is moving to attempt to get as close as possible to the other. $\endgroup$ – Wasabi Fan Dec 6 '13 at 2:53
  • $\begingroup$ I know that they are delayed because I can interrupt the data gathering (manually) and see the time difference in my app. $\endgroup$ – Wasabi Fan Dec 6 '13 at 2:54
  • $\begingroup$ OK. Will make an attempt at it later today. Thanks for the feedback! $\endgroup$ – Peter K. Dec 6 '13 at 13:10

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