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222    CHAPTER 11 Retrofitting CGM traces




                                    cgm    cgm                       cgm         cgm     T
                         time instants t 1  ; .; t n  and define cgm ¼ cgm t 1  ; .; cgm t n  as the
                         ℝ n  vector  containing  all  CGM   measurements.  Define   moreover
                                     cgm           T       n
                         igðsÞ¼ ig t   ; .; ig t cgm  as the ℝ vector containing estimated interstitial
                                   1          n
                         glucose concentrations at the same instants, where the argument s is used to recall
                         the dependency of ig on the blood-interstitium diffusion constant s.
                            Furthermore, let us assume that calibration events, performed at time instants
                                cal
                          cal
                         t ; .; t , divide the dataset in K þ 1 data portions, each one containing data
                         0      K
                         collected between two consecutive calibrations, plus the data portion after the last
                         calibration. A (possibly imaginary) calibration is always assumed to be performed
                         at the beginning of the trial, t cal  ¼ t cgm . Let us denote with bg the vector containing
                                                0    1                    k
                         only the m k BG data collected in the kth data portion k ¼ 1; .; K þ 1 at the time
                                k
                         instants t ; .; t k
                                1    m k
                                                   h                i T
                                                        k         k
                                              bg ¼ bg t 1  ; .; bg t m k               (11.4)
                                                k
                            Analogously, denote with cgm k and ig the vectors containing only data related
                                                           k
                                                                                       T
                                                                   h
                                                                                       i
                                                                        cal
                                                                               k
                                                                    k
                         to the kth data portion. Define, moreover, Dt k ¼ t   t k 1 ; .; t m k    t cal  the
                                                                                    k 1
                                                                    1
                         vector of BG measurements time-offsets with respect to the initial calibration of
                         the current data portion. h       i T

                                                k
                            Finally define w k ¼ w t ; .; w t k  the noise vector at reference times and
                                                1       m k
                                      its covariance matrix.
                         Varðw k Þ¼ S w k
                            For ease of presentation, let us assume moreover that
                                       n          o                cgm
                                         cal
                                         t ; .; t cal  4 ft 1 ; .; t m g4 t  ; .; t cgm  :  (11.5)
                                         1      K                 1      n
                            However, violation of this hypothesis, for instance, due to CGM connectivity
                         loss, can be easily handled in an implementation phase.
                         Algorithm description
                         The retrofitting algorithm is a two-step procedure. Fig. 11.2 illustrates the inputs and
                         outputs of each step on the data of a representative subject. To visually assess the
                         quality of the reconstruction, each panel depicts also the test BG references (empty
                         diamonds), i.e., references collected during the trial to which the retrofitting
                         algorithm had no access.
                            Since both references measurements and CGM time series are possibly affected
                         by outliers or unreliable/wrong data, a data preprocessing step is needed to detect
                         and isolate possibly erroneous data points either for automatic discharge or to
                         request human intervention. The preprocessing data step is described in Appendix.
                         Step A: retrospective Bayesian CGM recalibration
                         Step A aims to compensate for systematic under/overestimation of CGM time series
                         with respect to reference BG values due to calibration errors (uncertainty in calibra-
                         tion process and drift in sensor sensitivity). The parameters of the calibration model
                         presented in section Problem formulation are retrospectively identified through a
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