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Questions tagged [state-space]

State-space models are models that use state variables to describe a system by a set of first-order differential or difference equations, rather than by one or more nth-order differential or difference equations. State variables x(t) can be reconstructed from the measured input-output data, but are not themselves measured during an experiment.

186 questions
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How does best-first search suffer from plateau and local maxima?

I understand that this particular algorithm suffers from these issues, however when I am researching the actual meanings of each one I can not grasp the concept. Can someone please explain how these are problems and whether 'Ridges and Alleys'…
DrKhan
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How to use fitSSM function in KFAS to estimate Ht and Qt matrix in R if I want some random initialization?

I have this linear gaussian state space model using KFAS package in R, I want to estimate the NA matrix of Ht and Qt with random initialization using multivariate uniform distribution then choose the maximal likelihood of that initialization, so I…
Rapiddoing
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How to solve a set of ODEs in Scilab?

I have following set of ODEs which I would like to numerically solve in Scilab I have successfully written the function for evaluating the right hand side of the first equation in other words I am able to solve the first equation function ut =…
Steve
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Large Discrete States for DQN when using ReinforcementLearning.jl

I am using the Julia package ReinforcementLearning.jl. I would like to gain from the fact that DQN does not require enumerate and revising the whole state space. So, my question is how to describe state_space for discrete environments with no need…
Alejandro Lamas
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How do I input a Time Series in spmvg nfoursid

I want to use this algorithm for n4sid model estimation. However, in the Documentation, there is an input DataFrame generated from Random Samples, where I want to input a Time Series Dataframe. Calling the nfoursid method leads to an Type Error or…
real_kampffisch
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Different result between ODE and signal.lsim resolution

For training purpose, I try to modeling and analyze a dynamic system using python. I follow the example given on this site. In this example, they are using ODEint to resolve the differential equation and simulate a step response. This method gives…
Max
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Changing seasonality over time in structural model using KFAS package in R

I have a time series for which I want to adjust a structural model (trend, seasonal and cycle) using KFAS. However, seasonality starts at a certain point in time. Say, the time series ranges monthly from january 2000 through august 2022, but…
Jesús A. Piñera
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How to forecast using covariates in SSMRegression (state-space model) in R

I am trying to forecast using covariates in a state-space model. However, I keep getting the error "Model contains time varying system matrices, cannot use argument 'n.ahead'. Use 'newdata' instead." However, when I input newdata instead of n.ahead,…
SannedeHaan2000
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Defining a statsmodels state space representation for an observation matrix that depends on both observed and unobserved variables

I am modeling a time series using a Kalman filter in the Python statsmodels package (Python 3.9 and statsmodels 0.13). The state space transition matrix looks like this: The observation matrix looks like this (note that it depends on both the…
tom_servo
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Parameters in mlemodel in statsmodel

I am trying to run a TVP-VAR on statsmodel, but seems to run in a problem when I am trying to validate the vector matrix and the vector shape. Particularly, in the update parameter definition mostly on the dimension and the structure of the update…
HelenA
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How to incorporate macroeconomic factors in the Dynamic Nelson Siegel model?

I am having a hard time adding macroeconomic variables to the Dynamic Nelson Siegel codes I found online. I read literature like Diebold et al. (2003): The Macroeconomy and the Yield Curve: A Nonstructural Analysis and Diebold et al. (2005): The…
Gino Ramos
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Understanding the ss() and tf2ss() functions and their differences

Following this question, I am trying to comprehend the functionality of MATLAB's ss() and tf2ss() functions and their differences. Consider the code below: Kf = 0.2; J = 0.02; h2 = tf(1, [J Kf]); dcm1 = ss(h2); dcm2 = tf2ss(h2.Numerator{1},…
Foad S. Farimani
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What is the difference between Symbolic and Concrete model checking when the search is bounded in time?

Could someone please spend a few words to explain to someone who does not come from a formal methods background what is the difference between verifying a specification using Symbolic Model Checking and doing the same using Concrete Model Checking,…
giudaballerino
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Implementing Kalman filter for state space model of movement process

Is it possible to implement a model like the one presented in Bayesian Filtering and Smoothing, example 3.6 in statsmodels? I can follow along with the Matlab code provided, but I'm not sure if and how this kind of model can be implemented in…
sluque
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Modelica/Dymola Run Linearized Model with Initial Values

I am new to Dymola and I want to run a linearized model with initial conditions. I know how to Linearize it. I can get the StateSpace object in Command window or get the dslin.mat. Now I want to run it with initial conditions. I found them in the…
Axel Schweiß
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