FiltSmoothPosterior

class probnum.filtsmooth.FiltSmoothPosterior

Bases: abc.ABC

Posterior Distribution over States after Filtering/Smoothing

Methods Summary

__call__(location)	Evaluate the time-continuous posterior for a given location
sample([locations, size])	Draw samples from the filtering/smoothing posterior.

Methods Documentation

__call__(location)

Evaluate the time-continuous posterior for a given location

Parameters:location (float) – Location, or time, at which to evaluate the posterior. Returns:rv Return type:RandomVariable

sample(locations=None, size=())

Draw samples from the filtering/smoothing posterior.

If nothing is specified, a single sample is drawn (supported on self.locations). If locations are specified, the samples are drawn on those locations. If size is specified, more than a single sample is drawn.

Parameters:

• locations (array_like, optional) – Locations on which the samples are wanted. Default is none, which implies that self.location is used.
• size (int or tuple of ints, optional) – Indicates how many samples are drawn. Default is an empty tuple, in which case a single sample is returned.

Returns:

Drawn samples. If size has shape (A1, …, Z1), locations have shape (L,), and the state space model has shape (A2, …, Z2), the output has shape (A1, …, Z1, L, A2, …, Z2). For example: size=4, len(locations)=4, dim=3 gives shape (4, 4, 3).

Return type:

numpy.ndarray