What type of smoothing to use?

Question

Not sure if this may or may not be valid here on SO, but I was hoping someone can advise of the correct algorithm to use.

I have the following RAW data.

In the image you can see "steps". Essentially I wish to get these steps, but then get a moving average of all the data between. In the following image, you can see the moving average:

However you will notice that at the "steps", the moving average decreases the gradient where I wish to keep the high vertical gradient.

Is there any smoothing technique that will take into account a large vertical "offset", but smooth the other data?

Answer 1

Yup, I had to do something similar with images from a spacecraft.

Simple technique #1: use a median filter with a modest width - say about 5 samples, or 7. This provides an output value that is the median of the corresponding input value and several of its immediate neighbors on either side. It will get rid of those spikes, and do a good job preserving the step edges.

The median filter is provided in all number-crunching toolkits that I know of such as Matlab, Python/Numpy, IDL etc., and libraries for compiled languages such as C++, Java (though specific names don't come to mind right now...)

Technique #2, perhaps not quite as good: Use a Savitzky-Golay smoothing filter. This works by effectively making least-square polynomial fits to the data, at each output sample, using the corresponding input sample and a neighborhood of points (much like the median filter). The SG smoother is known for being fairly good at preserving peaks and sharp transistions.

The SG filter is usually provided by most signal processing and number crunching packages, but might not be as common as the median filter.

Technique #3, the most work and requiring the most experience and judgement: Go ahead and use a smoother - moving box average, Gaussian, whatever - but then create an output that blends between the original with the smoothed data. The blend, controlled by a new data series you create, varies from all-original (blending in 0% of the smoothed) to all-smoothed (100%).

To control the blending, start with an edge detector to detect the jumps. You may want to first median-filter the data to get rid of the spikes. Then broaden (dilation in image processing jargon) or smooth and renormalize the the edge detector's output, and flip it around so it gives 0.0 at and near the jumps, and 1.0 everywhere else. Perhaps you want a smooth transition joining them. It is an art to get this right, which depends on how the data will be used - for me, it's usually images to be viewed by Humans. An automated embedded control system might work best if tweaked differently.

The main advantage of this technique is you can plug in whatever kind of smoothing filter you like. It won't have any effect where the blend control value is zero. The main disadvantage is that the jumps, the small neighborhood defined by the manipulated edge detector output, will contain noise.

Answer 2

I recommend first detecting the steps and then smoothing each step individually.

You know how to do the smoothing, and edge/step detection is pretty easy also (see here, for example). A typical edge detection scheme is to smooth your data and then multiply/convolute/cross-corelate it with some filter (for example the array [-1,1] that will show you where the steps are). In a mathematical context this can be viewed as studying the derivative of your plot to find inflection points (for some of the filters).

An alternative "hackish" solution would be to do a moving average but exclude outliers from the smoothing. You can decide what an outlier is by using some threshold t. In other words, for each point p with value v, take x points surrounding it and find the subset of those points which are between v - t and v + t, and take the average of these points as the new value of p.