def test_learn_KPM(self):
kpm=scipy.io.loadmat(pkg_resources.resource_filename(__name__,'kpm_learn_results'))
y = kpm['y'].T # data vector is transposed from KPM
F1 = kpm['F1']
H1 = kpm['H1']
Q1 = kpm['Q1']
R1 = kpm['R1']
initx1 = kpm['initx']
initV1 = kpm['initV']
max_iter = kpm['max_iter']
F2, H2, Q2, R2, initx2, initV2, LL = adskalman.learn_kalman(y, F1, H1, Q1, R1, initx1, initV1, max_iter)
assert numpy.allclose(F2,kpm['F2'])
assert numpy.allclose(H2,kpm['H2'])
assert numpy.allclose(Q2,kpm['Q2'])
assert numpy.allclose(R2,kpm['R2'])
assert numpy.allclose(initx2,kpm['initx2'])
assert numpy.allclose(initV2,kpm['initV2'])
#print numpy.ravel(LL),kpm['LL']
assert numpy.allclose(LL,kpm['LL'])
def _test_kalman_murphy_EM(self): # temporarily disabled
def returnC(orig):
return self.C
def returnQ(orig):
return self.Q
def returnR(orig):
return self.R
constr_fun_dict = {
'C':returnC,
#'Q':returnQ,
#'R':returnR,
}
if 1:
print '-'*80,'Murphy'
Alearn, Clearn, Qlearn, Rlearn, initx2, initV2, LL = adskalman.learn_kalman(
self.Y, self.Abad, self.C, self.Q, self.R, self.x0,
self.P0, max_iter=500, verbose=2,
constr_fun_dict=constr_fun_dict,
thresh=1e-5,
)
xsmooth, Vsmooth, VVsmooth, loglik = adskalman.kalman_smoother(
self.Y,self.A,self.C,self.Q,self.R,self.x0,self.P0,
full_output=True)
if 1:
print 'best LL',loglik
print
print '*'*80,'Murphy'
print 'A'
print self.A
print 'Alearn'
print Alearn
print 'Clearn'
print Clearn
print 'Qlearn'
print Qlearn
print 'Rlearn'
print Rlearn
print '*'*80,'Murphy'
def test_kalman__murphy1(self):
def returnC(orig):
return self.C
def returnQ(orig):
return self.Q
def returnR(orig):
return self.R
constr_fun_dict = {
'C':returnC,
'Q':returnQ,
'R':returnR,
}
print '-'*80,'Murphy'
Alearn, Clearn, Qlearn, Rlearn, initx2, initV2, LL = adskalman.learn_kalman(
self.Y, self.Abad, self.C, self.Q, self.R, self.x0,
self.P0, max_iter=150, verbose=2,
constr_fun_dict=constr_fun_dict,
)
xsmooth, Vsmooth, VVsmooth, loglik = adskalman.kalman_smoother(
self.Y,self.A,self.C,self.Q,self.R,self.x0,self.P0,
full_output=True)
print 'best LL',loglik
print
print '*'*80,'Murphy'
print 'A'
print self.A
print 'Alearn'
print Alearn
print 'Clearn'
print Clearn
print 'Qlearn'
print Qlearn
print 'Rlearn'
print Rlearn
print '*'*80,'Murphy'