probnum.statespace¶
Probabilistic State Space Models.
This package implements components of continuous-discrete and discrete-discrete state space models, which are the basis for Bayesian filtering and smoothing, but also for probabilistic ODE solvers.
Functions¶
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Matrix fraction decomposition (assuming no force). |
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Samples true states and observations at pre-determined timesteps “times” for a state space model. |
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Classes¶
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Interface for Markov transitions in discrete and continuous time. |
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Stochastic differential equation. |
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Linear stochastic differential equation (SDE), |
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Linear time-invariant continuous Markov models of the form. |
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An integrator is a special kind of SDE, where the \(i\) th coordinate models the \(i\) th derivative. |
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Integrated Brownian motion in \(d\) dimensions. |
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Integrated Ornstein-Uhlenbeck process in \(d\) dimensions. |
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Matern process in \(d\) dimensions. |
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Discrete transitions with additive Gaussian noise. |
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Discrete, linear Gaussian transition models of the form. |
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Discrete, linear, time-invariant Gaussian transition models of the form. |
Coordinate change transformations as preconditioners in state space models. |
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Nordsieck-like coordinates. |