Compare 6cdd229 ... +84 ... 612103e

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randprocs/markov/continuous/_linear_sde.py randprocs/markov/continuous/_diffusions.py randprocs/markov/continuous/_lti_sde.py randprocs/markov/continuous/_sde.py randprocs/markov/continuous/__init__.py randprocs/markov/continuous/_mfd.py randprocs/markov/integrator/_iwp.py randprocs/markov/integrator/_matern.py randprocs/markov/integrator/_ioup.py randprocs/markov/integrator/_integrator.py randprocs/markov/integrator/_preconditioner.py randprocs/markov/integrator/__init__.py randprocs/markov/integrator/convert/_convert.py randprocs/markov/integrator/convert/__init__.py randprocs/markov/discrete/_linear_gaussian.py randprocs/markov/discrete/_nonlinear_gaussian.py randprocs/markov/discrete/_lti_gaussian.py randprocs/markov/discrete/_condition_state.py randprocs/markov/discrete/__init__.py randprocs/markov/_transition.py randprocs/markov/_markov_process.py randprocs/markov/utils/_generate_measurements.py randprocs/markov/utils/__init__.py randprocs/markov/__init__.py randprocs/kernels/_kernel.py randprocs/kernels/_matern.py randprocs/kernels/__init__.py randprocs/kernels/_rational_quadratic.py randprocs/kernels/_white_noise.py randprocs/kernels/_exponentiated_quadratic.py randprocs/kernels/_polynomial.py randprocs/kernels/_linear.py randprocs/_random_process.py randprocs/_gaussian_process.py randprocs/__init__.py linops/_linear_operator.py linops/_arithmetic.py linops/_kronecker.py linops/_scaling.py linops/_arithmetic_fallbacks.py linops/__init__.py linops/_utils.py randvars/_random_variable.py randvars/_normal.py randvars/_arithmetic.py randvars/_scipy_stats.py randvars/_randomvariablelist.py randvars/_constant.py randvars/_categorical.py randvars/__init__.py randvars/_utils.py diffeq/odefilter/initialization_routines/_runge_kutta.py diffeq/odefilter/initialization_routines/_taylor_mode.py diffeq/odefilter/initialization_routines/_initialization_routine.py diffeq/odefilter/initialization_routines/__init__.py diffeq/odefilter/information_operators/_ode_residual.py diffeq/odefilter/information_operators/_information_operator.py diffeq/odefilter/information_operators/_approx_information_operator.py diffeq/odefilter/information_operators/__init__.py diffeq/odefilter/_odefilter.py diffeq/odefilter/utils/_problem_utils.py diffeq/odefilter/utils/__init__.py diffeq/odefilter/approx_strategies/_ek.py diffeq/odefilter/approx_strategies/__init__.py diffeq/odefilter/approx_strategies/_approx_strategy.py diffeq/odefilter/_odefilter_solution.py diffeq/odefilter/__init__.py diffeq/perturbed/step/_perturbedstepsolver.py diffeq/perturbed/step/_perturbedstepsolution.py diffeq/perturbed/step/_perturbation_functions.py diffeq/perturbed/step/__init__.py diffeq/perturbed/scipy_wrapper/_wrapped_scipy_solver.py diffeq/perturbed/scipy_wrapper/_wrapped_scipy_odesolution.py diffeq/perturbed/scipy_wrapper/__init__.py diffeq/perturbed/__init__.py diffeq/_odesolver.py diffeq/stepsize/_steprule.py diffeq/stepsize/__init__.py diffeq/stepsize/_propose_firststep.py diffeq/_probsolve_ivp.py diffeq/_perturbsolve_ivp.py diffeq/callbacks/_discrete_callback.py diffeq/callbacks/_callback.py diffeq/callbacks/__init__.py diffeq/_odesolution.py diffeq/_odesolver_state.py diffeq/__init__.py linalg/solvers/matrixbased.py linalg/solvers/belief_updates/matrix_based/_matrix_based_linear_belief_update.py linalg/solvers/belief_updates/matrix_based/_symmetric_matrix_based_linear_belief_update.py linalg/solvers/belief_updates/matrix_based/__init__.py linalg/solvers/belief_updates/solution_based/_solution_based_proj_rhs_belief_update.py linalg/solvers/belief_updates/solution_based/__init__.py linalg/solvers/belief_updates/_linear_solver_belief_update.py linalg/solvers/belief_updates/__init__.py linalg/solvers/beliefs/_linear_system_belief.py linalg/solvers/beliefs/__init__.py linalg/solvers/_state.py linalg/solvers/stopping_criteria/_posterior_contraction.py linalg/solvers/stopping_criteria/_residual_norm.py linalg/solvers/stopping_criteria/_maxiter.py linalg/solvers/stopping_criteria/__init__.py linalg/solvers/stopping_criteria/_linear_solver_stopping_criterion.py linalg/solvers/_probabilistic_linear_solver.py linalg/solvers/policies/_random_unit_vector.py linalg/solvers/policies/_conjugate_gradient.py linalg/solvers/policies/__init__.py linalg/solvers/policies/_linear_solver_policy.py linalg/solvers/information_ops/__init__.py linalg/solvers/information_ops/_linear_solver_information_op.py linalg/solvers/information_ops/_matvec.py linalg/solvers/information_ops/_projected_rhs.py linalg/solvers/__init__.py linalg/_problinsolve.py linalg/__init__.py linalg/_bayescg.py filtsmooth/gaussian/approx/_extendedkalman.py filtsmooth/gaussian/approx/_unscentedkalman.py filtsmooth/gaussian/approx/_unscentedtransform.py filtsmooth/gaussian/approx/__init__.py filtsmooth/gaussian/_kalmanposterior.py filtsmooth/gaussian/_kalman.py filtsmooth/gaussian/__init__.py filtsmooth/particle/_particle_filter.py filtsmooth/particle/_importance_distributions.py filtsmooth/particle/_particle_filter_posterior.py filtsmooth/particle/__init__.py filtsmooth/optim/_iterated_component.py filtsmooth/optim/_stopping_criterion.py filtsmooth/optim/_state_space_optimizer.py filtsmooth/optim/_gauss_newton.py filtsmooth/optim/__init__.py filtsmooth/_timeseriesposterior.py filtsmooth/utils/_merge_regression_problems.py filtsmooth/utils/__init__.py filtsmooth/_kalman_filter_smoother.py filtsmooth/__init__.py filtsmooth/_bayesfiltsmooth.py problems/zoo/diffeq/_ivp_examples.py problems/zoo/diffeq/_ivp_examples_jax.py problems/zoo/diffeq/__init__.py problems/zoo/linalg/_suitesparse_matrix.py problems/zoo/linalg/_random_spd_matrix.py problems/zoo/linalg/_random_linear_system.py problems/zoo/linalg/__init__.py problems/zoo/filtsmooth/_filtsmooth_problems.py problems/zoo/filtsmooth/__init__.py problems/_problems.py problems/__init__.py quad/solvers/bayesian_quadrature.py quad/solvers/stopping_criteria/_rel_mean_change.py quad/solvers/stopping_criteria/__init__.py quad/solvers/stopping_criteria/_max_nevals.py quad/solvers/stopping_criteria/_integral_variance_tol.py quad/solvers/stopping_criteria/_bq_stopping_criterion.py quad/solvers/bq_state.py quad/solvers/belief_updates/_belief_update.py quad/solvers/belief_updates/__init__.py quad/solvers/policies/_policy.py quad/solvers/policies/__init__.py quad/solvers/__init__.py quad/_integration_measures.py quad/kernel_embeddings/_kernel_embedding.py quad/kernel_embeddings/_expquad_gauss.py quad/kernel_embeddings/_expquad_lebesgue.py quad/kernel_embeddings/__init__.py quad/_bayesquad.py quad/__init__.py utils/argutils.py utils/arrayutils.py utils/linalg/_cholesky_updates.py utils/linalg/__init__.py utils/__init__.py _config.py _pnmethod/_stopping_criterion.py _pnmethod/_probabilistic_numerical_method.py _pnmethod/__init__.py typing.py __init__.py conftest.py

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Showing 171 of 300 files from the diff.
Other files ignored by Codecov
.gitignore has changed.
setup.py has changed.
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requirements.txt has changed.
pyproject.toml has changed.

@@ -8,19 +8,8 @@
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from probnum.typing import FloatArgType, IntArgType, ToleranceDiffusionType
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11 -
def propose_firststep(ivp):
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    """Propose a suitable first step that can be taken by an ODE solver.
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    This function implements a lazy version of the algorithm on p. 169
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    of Hairer, Wanner, Norsett.
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    """
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    norm_y0 = np.linalg.norm(ivp.initrv.mean)
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    norm_dy0 = np.linalg.norm(ivp(ivp.t0, ivp.initrv.mean))
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    return 0.01 * norm_y0 / norm_dy0
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21 -
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class StepRule(ABC):
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    """(Adaptive) step size rules for ODE solvers."""
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    """Step-size selection rules for ODE solvers."""
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    def __init__(self, firststep: FloatArgType):
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        self.firststep = firststep
@@ -59,7 +48,7 @@
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class ConstantSteps(StepRule):
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    """Constant step size rule for ODE solvers."""
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    """Constant step-sizes."""
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    def __init__(self, stepsize: FloatArgType):
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        self.step = stepsize
@@ -85,7 +74,7 @@
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# Once we have other controls, e.g. PI control, we can rename this into ProportionalControl.
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class AdaptiveSteps(StepRule):
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    """Adaptive step size selection using proportional control.
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    """Adaptive step-size selection (using proportional control).
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    Parameters
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    ----------

@@ -0,0 +1,21 @@
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"""Matrix-based belief updates for the quantities of interest of a linear system."""
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from ._matrix_based_linear_belief_update import MatrixBasedLinearBeliefUpdate
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from ._symmetric_matrix_based_linear_belief_update import (
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    SymmetricMatrixBasedLinearBeliefUpdate,
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)
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# Public classes and functions. Order is reflected in documentation.
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__all__ = [
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    "MatrixBasedLinearBeliefUpdate",
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    "SymmetricMatrixBasedLinearBeliefUpdate",
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]
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# Set correct module paths. Corrects links and module paths in documentation.
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MatrixBasedLinearBeliefUpdate.__module__ = (
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    "probnum.linalg.solvers.belief_updates.matrix_based"
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)
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SymmetricMatrixBasedLinearBeliefUpdate.__module__ = (
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    "probnum.linalg.solvers.belief_updates.matrix_based"
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)

@@ -0,0 +1,18 @@
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"""Initialisation procedures for ODE filters."""
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3 +
from ._initialization_routine import InitializationRoutine
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from ._runge_kutta import RungeKuttaInitialization
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from ._taylor_mode import TaylorModeInitialization
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__all__ = [
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    "InitializationRoutine",
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    "RungeKuttaInitialization",
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    "TaylorModeInitialization",
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]
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# Set correct module paths (for superclasses).
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# Corrects links and module paths in documentation.
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InitializationRoutine.__module__ = "probnum.diffeq.odefilter.initialization_routines"
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RungeKuttaInitialization.__module__ = "probnum.diffeq.odefilter.initialization_routines"
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TaylorModeInitialization.__module__ = "probnum.diffeq.odefilter.initialization_routines"

@@ -0,0 +1,30 @@
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1 +
"""Base class for Bayesian quadrature stopping criteria."""
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3 +
from probnum import StoppingCriterion
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from probnum.quad.solvers.bq_state import BQState
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# pylint: disable=too-few-public-methods, fixme
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# pylint: disable=arguments-differ
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class BQStoppingCriterion(StoppingCriterion):
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    r"""Stopping criterion of a Bayesian quadrature method.
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    Checks whether quantities tracked by the :class:`~probnum.quad.solvers.BQState` meet a desired terminal condition.
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    See Also
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    --------
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    IntegralVarianceTolerance : Stop based on the variance of the integral estimator.
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    RelativeMeanChange : Stop based on the absolute value of the integral variance.
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    MaxNevals : Stop based on a maximum number of iterations.
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    """
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    def __call__(self, bq_state: BQState) -> bool:
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        """Check whether tracked quantities meet a desired terminal condition.
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        Parameters
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        ----------
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        bq_state:
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            State of the BQ loop.
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        """
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        raise NotImplementedError

@@ -1,22 +1,19 @@
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1 1
"""Linear Algebra.
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3 -
This package implements probabilistic numerical methods for the solution
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of problems arising in linear algebra, such as the solution of linear
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systems.
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This package implements probabilistic numerical methods for the solution of problems
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arising in linear algebra, such as the solution of linear systems :math:`Ax=b`.
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"""
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from probnum.linalg.linearsolvers import *
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from probnum.linalg._bayescg import bayescg
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from probnum.linalg._problinsolve import problinsolve
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from . import solvers
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# Public classes and functions. Order is reflected in documentation.
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__all__ = [
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    "problinsolve",
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    "bayescg",
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    "ProbabilisticLinearSolver",
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    "MatrixBasedSolver",
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    "AsymmetricMatrixBasedSolver",
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    "SymmetricMatrixBasedSolver",
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    "SolutionBasedSolver",
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]
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# Set correct module paths. Corrects links and module paths in documentation.
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ProbabilisticLinearSolver.__module__ = "probnum.linalg"
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MatrixBasedSolver.__module__ = "probnum.linalg"
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problinsolve.__module__ = "probnum.linalg"
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bayescg.__module__ = "probnum.linalg"

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Learn more Showing 121 files with coverage changes found.

Changes in src/probnum/filtsmooth/gaussian/_kalman.py
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