probnum.filtsmooth.optim

Fast optimization algorithms in state space models via filtering and smoothing.

Classes

StateSpaceOptimizer(kalman[, stopping_criterion])

State-space optimizer.

GaussNewton(kalman[, stopping_criterion])

Gauss-Newton optimizer in state-space models.

IteratedDiscreteComponent(component[, stopcrit])

Iterated updates.

FiltSmoothStoppingCriterion([atol, rtol, maxit])

Stop iteration if absolute and relative tolerance are reached.

Class Inheritance Diagram

Inheritance diagram of probnum.filtsmooth.optim.StateSpaceOptimizer, probnum.filtsmooth.optim.GaussNewton, probnum.filtsmooth.optim.IteratedDiscreteComponent, probnum.filtsmooth.optim.FiltSmoothStoppingCriterion