probnum.statespace

Probabilistic State Space Models.

This package implements continuous-discrete and discrete-discrete state space models, which are the basis for Bayesian filtering and smoothing, but also probabilistic ODE solvers.

Functions

matrix_fraction_decomposition(driftmat, …)	Matrix fraction decomposition (assuming no force).
generate_samples(rng, dynmod, measmod, …)	Samples true states and observations at pre-determined timesteps “times” for a state space model.
condition_state_on_measurement(measurement, …)
condition_state_on_rv(attained_rv, …)

Classes

Transition(input_dim, output_dim)	Interface for Markov transitions in discrete and continuous time.
SDE(dimension, driftfun, dispmatfun, jacobfun)	Stochastic differential equation.
LinearSDE(dimension, driftmatfun, …[, …])	Linear stochastic differential equation (SDE),
LTISDE(driftmat, forcevec, dispmat[, …])	Linear time-invariant continuous Markov models of the form.
Integrator(ordint, spatialdim)	An integrator is a special kind of SDE, where the \(i\) th coordinate models the \(i\) th derivative.
IBM(ordint, spatialdim[, …])	Integrated Brownian motion in \(d\) dimensions.
IOUP(ordint, spatialdim, driftspeed[, …])	Integrated Ornstein-Uhlenbeck process in \(d\) dimensions.
Matern(ordint, spatialdim, lengthscale[, …])	Matern process in \(d\) dimensions.
DiscreteGaussian(input_dim, output_dim, …)	Discrete transitions with additive Gaussian noise.
DiscreteLinearGaussian(input_dim, …[, …])	Discrete, linear Gaussian transition models of the form.
DiscreteLTIGaussian(state_trans_mat, …[, …])	Discrete, linear, time-invariant Gaussian transition models of the form.
Preconditioner()	Coordinate change transformations as preconditioners in state space models.
NordsieckLikeCoordinates(powers, scales, …)	Nordsieck-like coordinates.
Diffusion()	Interface for diffusion models \(\sigma: \mathbb{R} \rightarrow \mathbb{R}^d\) and their calibration.
ConstantDiffusion()	Constant diffusion and its calibration.
PiecewiseConstantDiffusion(t0)	Piecewise constant diffusion.

Class Inheritance Diagram