def test_smooth_mv(self):
n_meas = np.random.randint(5) + 3
n_state = n_meas + np.random.randint(5)
mu_state_next = rand_vec(n_state)
var_state_next = rand_mat(n_state)
mu_state_filt = rand_vec(n_state)
var_state_filt = rand_mat(n_state)
mu_state_pred = rand_vec(n_state)
var_state_pred = rand_mat(n_state)
wgt_state = rand_mat(n_state, pd=False)
# pure python
KFS = KTV_py(n_meas, n_state)
mu_state_smooth, var_state_smooth = KFS.smooth_mv(
mu_state_next, var_state_next, mu_state_filt, var_state_filt,
mu_state_pred, var_state_pred, wgt_state)
# cython
ktv = KalmanTV(n_meas, n_state)
mu_state_smooth2 = np.empty(n_state)
var_state_smooth2 = np.empty((n_state, n_state), order='F')
ktv.smooth_mv(mu_state_smooth2, var_state_smooth2, mu_state_next,
var_state_next, mu_state_filt, var_state_filt,
mu_state_pred, var_state_pred, wgt_state)
self.assertAlmostEqual(rel_err(mu_state_smooth, mu_state_smooth2), 0.0)
self.assertAlmostEqual(rel_err(var_state_smooth, var_state_smooth2),
0.0)
def test_pykalman_smooth_mv(self):
# Turn off beign warning from older version of numpy
warnings.filterwarnings("ignore", message="numpy.ufunc size changed")
n_meas = np.random.randint(5) + 3
n_state = n_meas + np.random.randint(5)
mu_state_next = rand_vec(n_state)
var_state_next = rand_mat(n_state)
mu_state_filt = rand_vec(n_state)
var_state_filt = rand_mat(n_state)
mu_state_pred = rand_vec(n_state)
var_state_pred = rand_mat(n_state)
wgt_state = rand_mat(n_state, pd=False)
mu_state_smooth, var_state_smooth, _ = (pks._smooth_update(
wgt_state, mu_state_filt, var_state_filt, mu_state_pred,
var_state_pred, mu_state_next, var_state_next))
ktv = KalmanTV(n_meas, n_state)
mu_state_smooth2 = np.empty(n_state)
var_state_smooth2 = np.empty((n_state, n_state), order='F')
ktv.smooth_mv(mu_state_smooth2, var_state_smooth2, mu_state_next,
var_state_next, mu_state_filt, var_state_filt,
mu_state_pred, var_state_pred, wgt_state)
self.assertAlmostEqual(rel_err(mu_state_smooth, mu_state_smooth2), 0.0)
self.assertAlmostEqual(rel_err(var_state_smooth, var_state_smooth2),
0.0)