Module: tfp.experimental.sequential

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TensorFlow Probability experimental sequential estimation package.

Classes

class EnsembleKalmanFilterState: State for Ensemble Kalman Filter algorithms.

class IteratedFilter: A model augmented with parameter perturbations for iterated filtering.

Functions

ensemble_adjustment_kalman_filter_update(...): Ensemble Adjustment Kalman Filter Update.

ensemble_kalman_filter_predict(...): Ensemble Kalman Filter Prediction.

ensemble_kalman_filter_update(...): Ensemble Kalman Filter Update.

extended_kalman_filter(...): Applies an Extended Kalman Filter to observed data.

geometric_cooling_schedule(...): Defines a cooling schedule following a geometric sequence.

inflate_by_scaled_identity_fn(...): Return function that scales up covariance matrix by scaling_factor**2.