state-space

问题 I'm running tensorflow 2.1 and tensorflow_probability 0.9. I have fit a Structural Time Series Model with a seasonal component. I am using code from the Tensorflow Probability Structural Time Series Probability example: Tensorflow Github. In the example there is a great plot where the decomposition is visualised: # Get the distributions over component outputs from the posterior marginals on # training data, and from the forecast model. component_dists = sts.decompose_by_component( demand

问题 I Know general issues include local maxima and plateaus however I am curious if there is any more issues associated to this specific search and what my best course of action would be in order to overcome these issues. Can someone also give me an example of which sort of problem this search would be good to use for? 回答1: Problems with best first search: It is greedy. In many cases it leads to a very quick solution (because your number of developed nodes does not increase exponentially, it is

问题 I am attempting to estimate multivariate linear state space model across a panel of stocks. I have daily returns over 15 years and have aggerated them to monthly time series. As excepted, the issue that the entire process of MLE estimates takes a huge amount of time to complete. Is there an efficient way of handling this? The model is the multivariate version of the dynamic Fama-French three factor model for m assets, j=1,…,m. Factors are loaded in x(t). Model is then: y = α + β1 * x1 + β2 *

问题 I'm trying to find the step response of the system below in picture and I need to find settling time, overshoot and static error of output. How can I find them? Is what I programmed correct? Matlab code : A=[0,1,0,0;0,-42.44,212.24,0;0,0,0,1;0,0,0,-42.44]; B=[0;106.12;0;78.6]; C=[1,0,0,0;0,1,0,0;0,0,1,0;0,0,0,1]; D=0; sys = ss(A, B, C, D) t=0:0.1:10; figure; step(sys,t,'r') The system 来源： https://stackoverflow.com/questions/56327093/set-a-requirement-for-step-response-like-settling-time

问题 On the MARSS Userguide it is said that you can impose linear restrictions on parameters and they give a theoretical example. I'd like a practical example. My problem is that I do not know how to implement a linear restriction such as: a b c 2*a Should I use a "2*a" string ? won't that be considered the name of the coefficient ? 回答1: I am unaware of any theoretical examples in our User's Guide, but MARSS will interpret the string "2*a" as 2 times the parameter a . 来源： https://stackoverflow.com