Integrator

class probnum.statespace.Integrator(ordint, spatialdim)

Bases: object

An integrator is a special kind of SDE, where the \(i\) th coordinate models the \(i\) th derivative.

Methods Summary

proj2coord(coord)

Projection matrix to \(i\) th coordinates.

Methods Documentation

proj2coord(coord)

Projection matrix to \(i\) th coordinates.

Computes the matrix

\[H_i = \left[ I_d \otimes e_i \right] P^{-1},\]

where \(e_i\) is the \(i\) th unit vector, that projects to the \(i\) th coordinate of a vector. If the ODE is multidimensional, it projects to each of the \(i\) th coordinates of each ODE dimension.

Parameters

coord (int) – Coordinate index \(i\) which to project to. Expected to be in range \(0 \leq i \leq q + 1\).

Returns

Projection matrix \(H_i\).

Return type

np.ndarray, shape=(d, d*(q+1))