ContinuousEKFComponent¶
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class
probnum.filtsmooth.
ContinuousEKFComponent
(non_linear_sde, num_steps)[source]¶ Bases:
probnum.filtsmooth.statespace.Transition
Continuous extended Kalman filter transition.
Attributes Summary
Dimension of the transition model.
Methods Summary
__call__
(arr_or_rv[, start, stop])Transition a random variable or a realization of one.
transition_realization
(real, start, stop[, …])Transition a realization of a random variable from time \(t\) to time \(t+\Delta t\).
transition_rv
(rv, start, stop[, linearise_at])Transition a random variable from time \(t\) to time \(t+\Delta t\).
Attributes Documentation
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dimension
¶
Methods Documentation
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__call__
(arr_or_rv, start=None, stop=None, **kwargs)¶ Transition a random variable or a realization of one.
The input is either interpreted as a random variable or as a realization. Accordingly, the respective methods are called:
transition_realization()
ortransition_rv()
.- Return type
(‘RandomVariable’, typing.Dict)
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transition_realization
(real, start, stop, linearise_at=None, **kwargs)[source]¶ Transition a realization of a random variable from time \(t\) to time \(t+\Delta t\).
For random variable \(x_t\), it returns the random variable defined by
\[x_{t + \Delta t} \sim p(x_{t + \Delta t} | x_t = r) .\]This is different to
transition_rv()
which computes the parametrization of \(x_{t + \Delta t}\) based on the parametrization of \(x_t\).Nb: Think of transition as a verb, i.e. this method “transitions” a realization of a random variable.
- Parameters
real – Realization of the random variable.
start – Starting point \(t\).
stop – End point \(t + \Delta t\).
- Returns
RandomVariable – Random variable, describing the state at time \(t + \Delta t\) based on realization at time \(t\).
dict – Additional information in form of a dictionary, for instance the cross-covariance in the prediction step, access to which is useful in smoothing.
See also
transition_rv()
Apply transition to a random variable.
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transition_rv
(rv, start, stop, linearise_at=None, **kwargs)[source]¶ Transition a random variable from time \(t\) to time \(t+\Delta t\).
For random variable \(x_t\), it returns the random variable defined by
\[x_{t + \Delta t} \sim p(x_{t + \Delta t} | x_t) .\]This returns a random variable where the parametrization depends on the paramtrization of \(x_t\). This is different to
transition_rv()
which computes the parametrization of \(x_{t + \Delta t}\) based on a realization of \(x_t\).Nb: Think of transition as a verb, i.e. this method “transitions” a random variable.
- Parameters
rv – Realization of the random variable.
start – Starting point \(t\).
stop – End point \(t + \Delta t\).
- Returns
RandomVariable – Random variable, describing the state at time \(t + \Delta t\) based on realization at time \(t\).
dict – Additional information in form of a dictionary, for instance the cross-covariance in the prediction step, access to which is useful in smoothing.
See also
transition_realization()
Apply transition to a realization of a random variable.
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