GaussianIVPFilter¶
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class
probnum.diffeq.
GaussianIVPFilter
(ivp, gaussfilt, with_smoothing)[source]¶ Bases:
probnum.diffeq.ODESolver
ODE solver that behaves like a Gaussian filter.
This is based on continuous-discrete Gaussian filtering.
Note: this is specific for IVPs and does not apply without further considerations to, e.g., BVPs.
Attributes Summary
prior
Methods Summary
initialise
()Returns t0 and y0 (for the solver, which might be different to ivp.y0) method_callback
(time, current_guess, …)Update the sigma-squared (ssq) estimate. postprocess
(times, rvs)Rescale covariances with sigma square estimate, (if specified) smooth the estimate, return ODESolution. solve
(firststep, steprule, **kwargs)Solve an IVP. step
(t, t_new, current_rv, **kwargs)Gaussian IVP filter step as nonlinear Kalman filtering with zero data. undo_preconditioning
(rv)Attributes Documentation
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prior
¶
Methods Documentation
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method_callback
(time, current_guess, current_error)[source]¶ Update the sigma-squared (ssq) estimate.
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postprocess
(times, rvs)[source]¶ Rescale covariances with sigma square estimate, (if specified) smooth the estimate, return ODESolution.
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solve
(firststep, steprule, **kwargs)¶ Solve an IVP.
Parameters:
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