EKFComponent¶

class probnum.filtsmooth.EKFComponent(non_linear_model)[source]¶

Interface for extended Kalman filtering components.

Methods Summary

`backward_realization`(realization_obtained, rv)
`backward_rv`(rv_obtained, rv[, rv_forwarded, …])
`forward_realization`(realization, t[, dt, …])	rtype `Tuple`[`Normal`, `Dict`]
`forward_rv`(rv, t[, dt, compute_gain, …])	rtype `Tuple`[`Normal`, `Dict`]
`linearize`(at_this_rv)	Linearize the transition and make it tractable.

Methods Documentation

backward_realization(realization_obtained, rv, rv_forwarded=None, gain=None, t=None, dt=None, _diffusion=1.0, _linearise_at=None)[source]¶

backward_rv(rv_obtained, rv, rv_forwarded=None, gain=None, t=None, dt=None, _diffusion=1.0, _linearise_at=None)[source]¶

forward_realization(realization, t, dt=None, compute_gain=False, _diffusion=1.0, _linearise_at=None)[source]¶

forward_rv(rv, t, dt=None, compute_gain=False, _diffusion=1.0, _linearise_at=None)[source]¶

abstract linearize(at_this_rv)[source]¶

Linearize the transition and make it tractable.