State-Space GPs#
Joint model for a state-space (Markovian) GP: conditioning is Kalman. |
|
Prior for a state-space (Markovian) GP. |
|
Truncated-Fourier approximation of the periodic kernel. |
|
Fit a state-space posterior with Optax (gradient-descent style). |
|
Fit a state-space posterior with Optax's L-BFGS ( |
|
Fit a state-space posterior with SciPy's L-BFGS-B. |
|
Marginal log-likelihood via the square-root Kalman filter. |
|
Convert a kernel to its state-space (linear SDE) representation. |