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  69. State Space Models: A Modern Approach
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  86. Inference in discrete SSMs
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  121. Forwards-filtering backwards-sampling algorithm
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  128. Inference in linear-Gaussian SSMs
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  138. Kalman filtering
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  143. Kalman (RTS) smoother
  144. </a>
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  147. <a class="reference internal" href="lgssm/kalman_parallel.html">
  148. Parallel Kalman Smoother
  149. </a>
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  152. <a class="reference internal" href="lgssm/kalman_sampling.html">
  153. Forwards-filtering backwards sampling
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  170. Extended Kalman filtering
  171. </a>
  172. </li>
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  175. Extended Kalman smoother
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  180. Parallel extended Kalman smoothing
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  224. Variational inference
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  229. Particle filtering
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  234. Sequential Monte Carlo
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  249. Expectation Maximization (EM)
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  264. Markov Chain Monte Carlo (MCMC)
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  276. Data assimilation using Ensemble Kalman filter
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  281. Bayesian non-parametric SSMs
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  296. Markovian Gaussian processes
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  306. Optimal control
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  416. <h1>Scratchpad</h1>
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  421. <h2> Contents </h2>
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  446. <div class="tex2jax_ignore mathjax_ignore section" id="scratchpad">
  447. <span id="ch-intro"></span><h1>Scratchpad<a class="headerlink" href="#scratchpad" title="Permalink to this headline">¶</a></h1>
  448. <p>In this chapter, we do blah.
  449. Specifically</p>
  450. <ul class="simple">
  451. <li><p>foo</p></li>
  452. <li><p>bar.</p></li>
  453. <li><p>baz</p></li>
  454. </ul>
  455. <p>For more details, see
  456. <a class="reference internal" href="hmm/hmm_index.html#ch-hmm"><span class="std std-ref">Inference in discrete SSMs</span></a> and <span id="id1">[<a class="reference internal" href="../bib.html#id18" title="Simo Sarkka. Bayesian Filtering and Smoothing. Cambridge University Press, 2013. URL: https://users.aalto.fi/~ssarkka/pub/cup_book_online_20131111.pdf.">Sar13</a>]</span>.</p>
  457. <div class="section" id="python">
  458. <h2>Python<a class="headerlink" href="#python" title="Permalink to this headline">¶</a></h2>
  459. <p>We’re now ready to start coding.</p>
  460. <div class="cell docutils container">
  461. <div class="cell_input docutils container">
  462. <div class="highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="kn">from</span> <span class="nn">matplotlib</span> <span class="kn">import</span> <span class="n">rcParams</span><span class="p">,</span> <span class="n">cycler</span>
  463. <span class="kn">import</span> <span class="nn">matplotlib.pyplot</span> <span class="k">as</span> <span class="nn">plt</span>
  464. <span class="kn">import</span> <span class="nn">numpy</span> <span class="k">as</span> <span class="nn">np</span>
  465. <span class="n">plt</span><span class="o">.</span><span class="n">ion</span><span class="p">()</span>
  466. </pre></div>
  467. </div>
  468. </div>
  469. </div>
  470. <div class="cell docutils container">
  471. <div class="cell_input docutils container">
  472. <div class="highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="c1"># Fixing random state for reproducibility</span>
  473. <span class="n">np</span><span class="o">.</span><span class="n">random</span><span class="o">.</span><span class="n">seed</span><span class="p">(</span><span class="mi">19680801</span><span class="p">)</span>
  474. <span class="n">N</span> <span class="o">=</span> <span class="mi">10</span>
  475. <span class="n">data</span> <span class="o">=</span> <span class="p">[</span><span class="n">np</span><span class="o">.</span><span class="n">logspace</span><span class="p">(</span><span class="mi">0</span><span class="p">,</span> <span class="mi">1</span><span class="p">,</span> <span class="mi">100</span><span class="p">)</span> <span class="o">+</span> <span class="n">np</span><span class="o">.</span><span class="n">random</span><span class="o">.</span><span class="n">randn</span><span class="p">(</span><span class="mi">100</span><span class="p">)</span> <span class="o">+</span> <span class="n">ii</span> <span class="k">for</span> <span class="n">ii</span> <span class="ow">in</span> <span class="nb">range</span><span class="p">(</span><span class="n">N</span><span class="p">)]</span>
  476. <span class="n">data</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">array</span><span class="p">(</span><span class="n">data</span><span class="p">)</span><span class="o">.</span><span class="n">T</span>
  477. <span class="n">cmap</span> <span class="o">=</span> <span class="n">plt</span><span class="o">.</span><span class="n">cm</span><span class="o">.</span><span class="n">coolwarm</span>
  478. <span class="n">rcParams</span><span class="p">[</span><span class="s1">&#39;axes.prop_cycle&#39;</span><span class="p">]</span> <span class="o">=</span> <span class="n">cycler</span><span class="p">(</span><span class="n">color</span><span class="o">=</span><span class="n">cmap</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">linspace</span><span class="p">(</span><span class="mi">0</span><span class="p">,</span> <span class="mi">1</span><span class="p">,</span> <span class="n">N</span><span class="p">)))</span>
  479. <span class="kn">from</span> <span class="nn">matplotlib.lines</span> <span class="kn">import</span> <span class="n">Line2D</span>
  480. <span class="n">custom_lines</span> <span class="o">=</span> <span class="p">[</span><span class="n">Line2D</span><span class="p">([</span><span class="mi">0</span><span class="p">],</span> <span class="p">[</span><span class="mi">0</span><span class="p">],</span> <span class="n">color</span><span class="o">=</span><span class="n">cmap</span><span class="p">(</span><span class="mf">0.</span><span class="p">),</span> <span class="n">lw</span><span class="o">=</span><span class="mi">4</span><span class="p">),</span>
  481. <span class="n">Line2D</span><span class="p">([</span><span class="mi">0</span><span class="p">],</span> <span class="p">[</span><span class="mi">0</span><span class="p">],</span> <span class="n">color</span><span class="o">=</span><span class="n">cmap</span><span class="p">(</span><span class="mf">.5</span><span class="p">),</span> <span class="n">lw</span><span class="o">=</span><span class="mi">4</span><span class="p">),</span>
  482. <span class="n">Line2D</span><span class="p">([</span><span class="mi">0</span><span class="p">],</span> <span class="p">[</span><span class="mi">0</span><span class="p">],</span> <span class="n">color</span><span class="o">=</span><span class="n">cmap</span><span class="p">(</span><span class="mf">1.</span><span class="p">),</span> <span class="n">lw</span><span class="o">=</span><span class="mi">4</span><span class="p">)]</span>
  483. <span class="n">fig</span><span class="p">,</span> <span class="n">ax</span> <span class="o">=</span> <span class="n">plt</span><span class="o">.</span><span class="n">subplots</span><span class="p">(</span><span class="n">figsize</span><span class="o">=</span><span class="p">(</span><span class="mi">10</span><span class="p">,</span> <span class="mi">5</span><span class="p">))</span>
  484. <span class="n">lines</span> <span class="o">=</span> <span class="n">ax</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">data</span><span class="p">)</span>
  485. <span class="n">ax</span><span class="o">.</span><span class="n">legend</span><span class="p">(</span><span class="n">custom_lines</span><span class="p">,</span> <span class="p">[</span><span class="s1">&#39;Cold&#39;</span><span class="p">,</span> <span class="s1">&#39;Medium&#39;</span><span class="p">,</span> <span class="s1">&#39;Hot&#39;</span><span class="p">]);</span>
  486. </pre></div>
  487. </div>
  488. </div>
  489. <div class="cell_output docutils container">
  490. <img alt="../_images/scratch_2_0.png" src="../_images/scratch_2_0.png" />
  491. </div>
  492. </div>
  493. <div class="cell docutils container">
  494. <div class="cell_input docutils container">
  495. <div class="highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="kn">import</span> <span class="nn">matplotlib.pyplot</span> <span class="k">as</span> <span class="nn">plt</span>
  496. <span class="kn">import</span> <span class="nn">numpy</span> <span class="k">as</span> <span class="nn">np</span>
  497. <span class="kn">import</span> <span class="nn">jax</span>
  498. <span class="kn">import</span> <span class="nn">jax.numpy</span> <span class="k">as</span> <span class="nn">jnp</span>
  499. <span class="nb">print</span><span class="p">(</span><span class="n">jax</span><span class="o">.</span><span class="n">devices</span><span class="p">())</span>
  500. </pre></div>
  501. </div>
  502. </div>
  503. <div class="cell_output docutils container">
  504. <div class="output stderr highlight-myst-ansi notranslate"><div class="highlight"><pre><span></span>WARNING:absl:No GPU/TPU found, falling back to CPU. (Set TF_CPP_MIN_LOG_LEVEL=0 and rerun for more info.)
  505. </pre></div>
  506. </div>
  507. <div class="output stream highlight-myst-ansi notranslate"><div class="highlight"><pre><span></span>[CpuDevice(id=0)]
  508. </pre></div>
  509. </div>
  510. </div>
  511. </div>
  512. </div>
  513. <div class="section" id="images">
  514. <h2>Images<a class="headerlink" href="#images" title="Permalink to this headline">¶</a></h2>
  515. <!---
  516. ![](https://myst-parser.readthedocs.io/en/latest/_static/logo-wide.svg)
  517. <img src="https://github.com/probml/probml-notebooks/blob/main/images/cat_dog.jpg"
  518. style="height:200">
  519. -->
  520. <div class="figure align-default" id="cat-dog">
  521. <a class="reference internal image-reference" href="../_images/cat_dog.jpg"><img alt="../_images/cat_dog.jpg" src="../_images/cat_dog.jpg" style="width: 320.0px; height: 240.0px;" /></a>
  522. <p class="caption"><span class="caption-number">Fig. 1 </span><span class="caption-text">A photo of a cat and a dog.</span><a class="headerlink" href="#cat-dog" title="Permalink to this image">¶</a></p>
  523. </div>
  524. <div class="figure align-default" id="cat-dog2">
  525. <a class="reference internal image-reference" href="../_images/cat_dog.jpg"><img alt="../_images/cat_dog.jpg" src="../_images/cat_dog.jpg" style="width: 320.0px; height: 240.0px;" /></a>
  526. <p class="caption"><span class="caption-number">Fig. 2 </span><span class="caption-text">Another photo of a cat and a dog.</span><a class="headerlink" href="#cat-dog2" title="Permalink to this image">¶</a></p>
  527. </div>
  528. <p>In <a class="reference internal" href="#cat-dog"><span class="std std-numref">Figure 1</span></a> we show catdog.
  529. In <a class="reference internal" href="#cat-dog2"><span class="std std-numref">Figure 2</span></a> we show catdog2, its twin.</p>
  530. </div>
  531. <div class="section" id="math">
  532. <h2>Math<a class="headerlink" href="#math" title="Permalink to this headline">¶</a></h2>
  533. <p>We have <span class="math notranslate nohighlight">\(E= mc^2\)</span>, and also</p>
  534. <div class="math notranslate nohighlight" id="equation-foo">
  535. <span class="eqno">(1)<a class="headerlink" href="#equation-foo" title="Permalink to this equation">¶</a></span>\[a x^2 + bx+ c = 0\]</div>
  536. <p>From <a class="reference internal" href="#equation-foo">(1)</a>, it follows that</p>
  537. <div class="math notranslate nohighlight">
  538. \[\begin{split}
  539. \begin{align}
  540. 0 &amp;= a x^2 + bx+ c \\
  541. 0 &amp;= a x^2 + bx+ c
  542. \end{align}
  543. \end{split}\]</div>
  544. </div>
  545. </div>
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