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FIX: Fixe bug with "expm" function in "state_space_new". Also some minor changes

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Test function has been modified also.
This commit is contained in:
Alexander Grigorievskiy 2015-04-08 19:44:19 +03:00
parent 5ff256079b
commit d9cf9c3bff
2 changed files with 29 additions and 22 deletions
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13
GPy/models/state_space_main.py
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@ -657,6 +657,7 @@ class DescreteStateSpace(object):
dP_pred[:,:,j] += dP_pred[:,:,j].T
dP_pred[:,:,j] += np.dot( A ,np.dot(dP, A.T)) + dQ
dP_pred[:,:,j] = 0.5*(dP_pred[:,:,j] + dP_pred[:,:,j].T) #symmetrize
else:
dm_pred = None
dP_pred = None
@ -1439,7 +1440,7 @@ class ContDescrStateSpace(DescreteStateSpace):
unique_round_decimals = 8
dt = np.empty((X.shape[0],))
dt[1:] = np.diff(X[:,0],axis=0)
dt[0] = dt[1]
dt[0] = 0#dt[1]
unique_indices = np.unique(np.round(dt, decimals=unique_round_decimals))
if len(unique_indices) > 20:
@ -1531,13 +1532,19 @@ class ContDescrStateSpace(DescreteStateSpace):
# The dynamical model
A = linalg.expm(F*dt)
if np.any( np.isnan(A)):
A = linalg.expm3(F*dt)
# The covariance matrix Q by matrix fraction decomposition ->
Phi = np.zeros((2*n,2*n))
Phi[:n,:n] = F
Phi[:n,n:] = L.dot(Qc).dot(L.T)
Phi[n:,n:] = -F.T
AB = linalg.expm(Phi*dt).dot(np.vstack((np.zeros((n,n)),np.eye(n))))
AB = linalg.expm(Phi*dt)
if np.any(np.isnan(AB)):
AB = linalg.expm3(Phi*dt)
AB = np.dot(AB, np.vstack((np.zeros((n,n)),np.eye(n))))
Q_noise_1 = linalg.solve(AB[n:,:].T,AB[:n,:].T)
# The covariance matrix Q by matrix fraction decomposition <-