Diffusion

class probnum.statespace.Diffusion[source]

Bases: abc.ABC

Interface for diffusion models \(\sigma: \mathbb{R} \rightarrow \mathbb{R}^d\) and their calibration.

Methods Summary

__call__(t)

Evaluate the diffusion \(\sigma(t)\) at \(t\).

estimate_locally(meas_rv, …)

Estimate the (local) diffusion and update current (global) estimation in- place.

update_in_place(local_estimate, t)

Methods Documentation

abstract __call__(t)[source]

Evaluate the diffusion \(\sigma(t)\) at \(t\).

Return type

Union[Real, ndarray]

abstract estimate_locally(meas_rv, meas_rv_assuming_zero_previous_cov, t)[source]

Estimate the (local) diffusion and update current (global) estimation in- place.

Used for uncertainty calibration in the ODE solver.

Return type

Union[Real, ndarray]

abstract update_in_place(local_estimate, t)[source]