rts

Functions

IntegratedRTSSmoother(kernel, t_states, obsid, instid, ...)	Wrapper for jitted integrated_rts_smoother function
integrated_rts_smoother(A_aug, RESET, t_states, obsid, ...)	Jax implementation of the integrated RTS smoothing algorithm

Module Contents

smolgp.solvers.integrated.rts.IntegratedRTSSmoother(kernel, t_states, obsid, instid, stateid, kalman_results)

Wrapper for jitted integrated_rts_smoother function

Parameters:

• kernel – IntegratedStateSpaceModel kernel

• t_states – Array of size K, sorted time coordinate of all states (exposure starts and ends)

• obsid – Array of size N, which observation (0,…,N-1) is being made at each state k

• instid – Array of size N, which instrument (0,…,Ninst-1) recorded observation n

• stateid – Array of size K, 0 for exposure-start, 1 for exposure-end

• kalman_results – output from Kalman filter (m_filtered, P_filtered, m_predicted, P_predicted)

Returns:

filtered means P_filtered: filtered covariances m_predicted: predicted means P_predicted: predicted covariances

Return type:

m_filtered

smolgp.solvers.integrated.rts.integrated_rts_smoother(A_aug, RESET, t_states, obsid, instid, stateid, m_filtered, P_filtered, m_predicted, P_predicted)

Jax implementation of the integrated RTS smoothing algorithm

See Section 3.2.2 in Rubenzahl & Hattori et al. (in prep) for detailed description of the algorithm and notation.