GaussFiltSmooth (dynamod, measmod, initrv) |
Interface for Gaussian filtering and smoothing. |
Kalman (dynamod, measmod, initrv) |
Kalman filtering and smoothing for continuous-discrete and discrete-discrete state space models. |
ExtendedKalman (dynamod, measmod, initrv) |
Factory method for Kalman filters. |
UnscentedKalman (dynamod, measmod, initrv) |
Factory method for Unscented Kalman filters. |
UnscentedTransform (ndim[, spread, priorpar, …]) |
Used for unscented Kalman filter. |
ContinuousModel |
Interface for time-continuous Markov models of the form dx = f(t, x) dt + l(t, x) dBt. |
LinearSDEModel (driftmatrixfct, forcfct, …) |
Linear time-continuous Markov models given by the solution of the stochastic differential equation \(dx = [F(t) x(t) + u(t)] dt + L(t) dB(t)\). |
LTISDEModel (driftmatrix, force, dispmatrix, …) |
Linear time-invariant continuous Markov models of the form dx = [F x(t) + u] dt + L dBt. |
DiscreteModel |
Abstract interface for state space model components. |
DiscreteGaussianModel (dynafct, diffmatfct[, …]) |
Discrete Gauss-Markov models of the form x_{i+1} = N(g(t_i, x_i), S(t_i)), |
DiscreteGaussianLinearModel (dynamatfct, …) |
Linear version. |
DiscreteGaussianLTIModel (dynamat, forcevec, …) |
Discrete Gauss-Markov models of the form x_{i+1} = N(G x_i + z, S), |
FiltSmoothPosterior |
Posterior Distribution over States after Filtering/Smoothing |
KalmanPosterior (locations, state_rvs, …) |
Posterior Distribution after (Extended/Unscented) Kalman Filtering/Smoothing |