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updated basic usage examples #121

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Merged
pavelkomarov merged 3 commits into from
Jul 1, 2025
Merged

updated basic usage examples #121

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2e44685
updated basic usage examples
pavelkomarov Jul 1, 2025
f8bc493
updated a comment
pavelkomarov Jul 1, 2025
ff0a97b
fixed bug in kalman
pavelkomarov Jul 1, 2025
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331 changes: 170 additions & 161 deletions examples/1_basic_tutorial.ipynb
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8 changes: 4 additions & 4 deletions pynumdiff/kalman_smooth/_kalman_smooth.py
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Original file line number Diff line number Diff line change
Expand Up @@ -36,9 +36,9 @@ def _kalman_forward_filter(xhat0, P0, y, A, C, Q, R, u=None, B=None):
xhat_pre.append(xhat_) # the [n]th index holds _{n|n-1} info
P_pre.append(P_)

xhat = xhat_ # handle missing data
P = P_
if not np.isnan(y[n]):
xhat = xhat_.copy()
P = P_.copy()
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@pavelkomarov pavelkomarov Jul 1, 2025 •
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This one was bad. Subtle. Took me a long time to find, because the old code that worked properly was so different from this updated code, so winnowing and ablating down to the issue was complicated.

if not np.isnan(y[n]): # handle missing data
K = P_ @ C.T @ np.linalg.inv(C @ P_ @ C.T + R)
xhat += K @ (y[n] - C @ xhat_)
P -= K @ C @ P_
Expand Down Expand Up @@ -89,7 +89,7 @@ def _constant_derivative(x, P0, A, C, R, Q, forwardbackward):
x_hat_forward = xhat_smooth[:, 0] # first dimension is time, so slice first element at all times
dxdt_hat_forward = xhat_smooth[:, 1]

if not forwardbackward: # bound out here if not doing the same in reverse and then combining
if not forwardbackward: # bounce out here if not doing the same in reverse and then combining
return x_hat_forward, dxdt_hat_forward

xhat0[0] = x[-1] # starting from the other end of the signal
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26 changes: 13 additions & 13 deletions pynumdiff/tests/test_diff_methods.py
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Original file line number Diff line number Diff line change
Expand Up @@ -138,22 +138,22 @@ def iterated_first_order(*args, **kwargs): return first_order(*args, **kwargs)
[(1, 0), (2, 2), (1, 0), (2, 2)],
[(1, 0), (3, 3), (1, 0), (3, 3)]],
constant_velocity: [[(-25, -25), (-25, -25), (0, -1), (0, 0)],
[(-5, -6), (-4, -4), (0, -1), (0, 0)],
[(-1, -2), (0, 0), (0, 0), (1, 0)],
[(0, -1), (1, 0), (0, -1), (1, 1)],
[(-6, -6), (-5, -5), (0, -1), (0, 0)],
[(-1, -2), (0, 0), (0, -1), (0, 0)],
[(-1, -1), (1, 0), (0, -1), (1, 0)],
[(1, 1), (2, 2), (1, 1), (2, 2)],
[(1, 1), (3, 3), (1, 1), (3, 3)]],
constant_acceleration: [[(-25, -25), (-25, -25), (0, 0), (1, 0)],
[(-5, -5), (-3, -3), (0, 0), (1, 0)],
[(-4, -4), (-2, -2), (0, 0), (1, 0)],
[(0, -1), (1, 0), (0, 0), (1, 0)],
[(1, 1), (3, 2), (1, 1), (3, 2)],
constant_acceleration: [[(-25, -25), (-25, -25), (0, -1), (0, 0)],
[(-5, -6), (-4, -5), (0, -1), (0, 0)],
[(-5, -5), (-4, -4), (0, -1), (0, 0)],
[(-1, -1), (0, 0), (0, -1), (0, 0)],
[(1, 1), (2, 2), (1, 1), (2, 2)],
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@pavelkomarov pavelkomarov Jul 1, 2025

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Bounds get a lot tighter across the board with the bug fixed.

[(1, 1), (3, 3), (1, 1), (3, 3)]],
constant_jerk: [[(-25, -25), (-25, -25), (0, 0), (1, 0)],
[(-5, -5), (-3, -3), (0, 0), (1, 0)],
[(-4, -4), (-2, -2), (0, 0), (1, 0)],
[(-1, -2), (1, 0), (0, 0), (1, 0)],
[(1, 0), (2, 2), (1, 0), (2, 2)],
constant_jerk: [[(-25, -25), (-25, -25), (0, -1), (0, 0)],
[(-5, -5), (-4, -5), (0, -1), (0, 0)],
[(-4, -5), (-3, -4), (0, -1), (0, 0)],
[(-1, -2), (0, 0), (0, -1), (0, 0)],
[(1, 0), (2, 1), (1, 0), (2, 1)],
[(1, 1), (3, 3), (1, 1), (3, 3)]],
velocity: [[(-25, -25), (-18, -19), (0, -1), (1, 0)],
[(-12, -12), (-11, -12), (-1, -1), (-1, -2)],
Expand Down