def _setup(
self,
test_ndim,
spdmat1,
spdmat2,
forw_impl_string_linear_gauss,
backw_impl_string_linear_gauss,
):
self.G_const = spdmat1
self.v_const = np.arange(test_ndim)
self.L_const = spdmat2
self.transition = pnss.LTISDE(
self.G_const,
self.v_const,
self.L_const,
forward_implementation=forw_impl_string_linear_gauss,
backward_implementation=backw_impl_string_linear_gauss,
)
self.G = lambda t: spdmat1
self.v = lambda t: np.arange(test_ndim)
self.L = lambda t: spdmat2
self.g = lambda t, x: self.G(t) @ x + self.v(t)
self.dg = lambda t, x: self.G(t)
def ornstein_uhlenbeck():
# Below is for consistency with pytest & unittest.
# Without a seed, unittest passes but pytest fails.
# I tried multiple seeds, they all work equally well.
np.random.seed(12345)
delta_t = 0.2
lam, q, r = 0.21, 0.5, 0.1
drift = -lam * np.eye(1)
force = np.zeros(1)
disp = np.sqrt(q) * np.eye(1)
dynmod = pnss.LTISDE(
driftmat=drift,
forcevec=force,
dispmat=disp,
)
measmod = pnss.DiscreteLTIGaussian(
state_trans_mat=np.eye(1),
shift_vec=np.zeros(1),
proc_noise_cov_mat=r * np.eye(1),
)
initrv = Normal(10 * np.ones(1), np.eye(1))
return dynmod, measmod, initrv, {"dt": delta_t, "tmax": 20}
def ltisde(G_const, v_const, L_const):
return pnss.LTISDE(G_const, v_const, L_const)
def both_transitions_ibm():
ibm = pnss.IBM(ordint=2, spatialdim=1)
ibm2 = pnss.IBM(ordint=2, spatialdim=1)
ibm_as_ltisde = pnss.LTISDE(ibm2.driftmat, ibm2.forcevec, ibm2.dispmat)
return ibm, ibm_as_ltisde
def both_transitions_ioup():
ioup = pnss.IOUP(ordint=2, spatialdim=2, driftspeed=2.041)
ioup2 = pnss.IOUP(ordint=2, spatialdim=2, driftspeed=2.041)
ioup_as_ltisde = pnss.LTISDE(ioup2.driftmat, ioup2.forcevec, ioup2.dispmat)
return ioup, ioup_as_ltisde
def both_transitions_matern():
matern = pnss.Matern(ordint=2, spatialdim=2, lengthscale=2.041)
matern2 = pnss.Matern(ordint=2, spatialdim=2, lengthscale=2.041)
matern_as_ltisde = pnss.LTISDE(matern2.driftmat, matern2.forcevec, matern2.dispmat)
return matern, matern_as_ltisde
