MarkovSequence

class probnum.randprocs.markov.MarkovSequence(*, initarg, initrv, transition)

Bases: _MarkovBase

Discrete-time Markov processes.

Attributes Summary

cov	Covariance function \(k(x_0, x_1)\) of the random process.
dtype	Data type of (elements of) the random process evaluated at an input.
input_ndim	Syntactic sugar for len(input_shape).
input_shape	Shape of inputs to the random process.
mean	Mean function \(m(x) := \mathbb{E}[f(x)]\) of the random process.
output_ndim	Syntactic sugar for len(output_shape).
output_shape	Shape of the random process evaluated at an input.

Methods Summary

__call__(args)	Evaluate the random process at a set of input arguments.
marginal(args)	Batch of random variables defining the marginal distributions at the inputs.
push_forward(args, base_measure, sample)	Transform samples from a base measure into samples from the random process.
sample(rng[, args, size])	Sample paths from the random process.
std(args)	Standard deviation function.
var(args)	Variance function.

Attributes Documentation

cov

Covariance function \(k(x_0, x_1)\) of the random process.

\begin{equation} k(x_0, x_1) := \mathbb{E} \left[ (f(x_0) - \mathbb{E}[f(x_0)]) (f(x_1) - \mathbb{E}[f(x_1)])^\top \right] \end{equation}

Raises:

NotImplementedError – If no covariance function was assigned to the random process.

dtype

Data type of (elements of) the random process evaluated at an input.

input_ndim

Syntactic sugar for len(input_shape).

input_shape

Shape of inputs to the random process.

mean

Mean function \(m(x) := \mathbb{E}[f(x)]\) of the random process.

Raises:

NotImplementedError – If no mean function was assigned to the random process.

output_ndim

Syntactic sugar for len(output_shape).

output_shape

Shape of the random process evaluated at an input.

Methods Documentation

__call__(args)

Evaluate the random process at a set of input arguments.

Parameters:

args (floating | ndarray) – shape= batch_shape + input_shape – (Batch of) input(s) at which to evaluate the random process. Currently, we require batch_shape to have at most one dimension.

Returns:

shape= batch_shape + output_shape – Random process evaluated at the input(s).

Return type:

randvars.RandomVariable

marginal(args)

Batch of random variables defining the marginal distributions at the inputs.

Parameters:

args (InputType) – shape= batch_shape + input_shape – (Batch of) input(s) at which to evaluate the random process. Currently, we require batch_shape to have at most one dimension.

Return type:

randvars._RandomVariableList

push_forward(args, base_measure, sample)

Transform samples from a base measure into samples from the random process.

This function can be used to control sampling from the random process by explicitly passing samples from a base measure evaluated at the input arguments.

Parameters:

• args (InputType) – Input arguments.

• base_measure (Type[RandomVariable]) – Base measure. Given as a type of random variable.

• sample (ndarray) – shape= sample_shape + input_shape – (Batch of) input(s) at which to evaluate the random process. Currently, we require sample_shape to have at most one dimension.

Return type:

ndarray

sample(rng, args=None, size=())

Sample paths from the random process.

If no inputs are provided this function returns sample paths which are callables, otherwise random variables corresponding to the input locations are returned.

Parameters:

• rng (Generator) – Random number generator.

• args (InputType | None) – shape= size + input_shape – (Batch of) input(s) at which the sample paths will be evaluated. Currently, we require size to have at most one dimension. If None, sample paths, i.e. callables are returned.

• size (ShapeLike) – Size of the sample.

Raises:

NotImplementedError – General path sampling is currently not supported.

Return type:

Callable[[InputType], OutputType] | OutputType

std(args)

Standard deviation function.

Parameters:

args (InputType) – shape= batch_shape + input_shape – (Batch of) input(s) at which to evaluate the standard deviation function.

Returns:

shape= batch_shape + output_shape – Standard deviation of the process at args.

Return type:

OutputType

var(args)

Variance function.

Returns the variance function which is the value of the covariance function evaluated elementwise at args for each output dimension separately.

Parameters:

args (InputType) – shape= batch_shape + input_shape – (Batch of) input(s) at which to evaluate the variance function.

Returns:

shape= batch_shape + output_shape – Variance of the process at args.

Return type:

OutputType