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Better treatment for numerical errors #330

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merged 4 commits into from
Oct 9, 2024
+257 −196
Merged

Better treatment for numerical errors #330

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193f6ae
Better treatment for numerical errors
guilhermebodin Oct 9, 2024
77fd677
[no ci] bump patch
guilhermebodin Oct 9, 2024
82ff7ec
add try catch blocks in update_llk!
guilhermebodin Oct 9, 2024
07f2871
add try catch blocks in filter recursions
guilhermebodin Oct 9, 2024
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2 changes: 1 addition & 1 deletion Project.toml
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Original file line number Diff line number Diff line change
@@ -1,7 +1,7 @@
name = "StateSpaceModels"
uuid = "99342f36-827c-5390-97c9-d7f9ee765c78"
authors = ["raphaelsaavedra <[email protected]>, guilhermebodin <[email protected]>, mariohsouto"]
version = "0.6.8"
version = "0.6.9"

[deps]
Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
Expand Down
147 changes: 84 additions & 63 deletions src/filters/multivariate_kalman_filter.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -187,9 +187,10 @@ function update_P!(
end

function update_llk!(kalman_state::MultivariateKalmanState{Fl}) where Fl
kalman_state.llk -=
kalman_state.llk -= (
HALF_LOG_2_PI + 0.5 * (logdet(kalman_state.F) +
kalman_state.v' * inv(kalman_state.F) * kalman_state.v)
)
return kalman_state
end

Expand Down Expand Up @@ -301,21 +302,26 @@ function filter_recursions!(
steadystate_tol::Fl,
skip_llk_instants::Int,
) where Fl
RQR = sys.R * sys.Q * sys.R'
@inbounds for t in 1:size(sys.y, 1)
update_kalman_state!(
kalman_state,
sys.y[t, :],
sys.Z,
sys.T,
sys.H,
RQR,
sys.d,
sys.c,
skip_llk_instants,
steadystate_tol,
t,
)
try
RQR = sys.R * sys.Q * sys.R'
@inbounds for t in 1:size(sys.y, 1)
update_kalman_state!(
kalman_state,
sys.y[t, :],
sys.Z,
sys.T,
sys.H,
RQR,
sys.d,
sys.c,
skip_llk_instants,
steadystate_tol,
t,
)
end
catch
@error("Numerical error when applying Kalman filter euqations, the current state is: $kalman_state")
rethrow()
end
return kalman_state.llk
end
Expand All @@ -327,20 +333,25 @@ function filter_recursions!(
steadystate_tol::Fl,
skip_llk_instants::Int,
) where Fl
@inbounds for t in 1:size(sys.y, 1)
update_kalman_state!(
kalman_state,
sys.y[t, :],
sys.Z[t],
sys.T[t],
sys.H[t],
sys.R[t],
sys.Q[t],
sys.d[t],
sys.c[t],
skip_llk_instants,
t,
)
try
@inbounds for t in 1:size(sys.y, 1)
update_kalman_state!(
kalman_state,
sys.y[t, :],
sys.Z[t],
sys.T[t],
sys.H[t],
sys.R[t],
sys.Q[t],
sys.d[t],
sys.c[t],
skip_llk_instants,
t,
)
end
catch
@error("Numerical error when applying Kalman filter euqations, the current state is: $kalman_state")
rethrow()
end
return kalman_state.llk
end
Expand All @@ -352,23 +363,28 @@ function filter_recursions!(
steadystate_tol::Fl,
skip_llk_instants::Int,
) where Fl
RQR = sys.R * sys.Q * sys.R'
save_a1_P1_in_filter_output!(filter_output, kalman_state)
@inbounds for t in 1:size(sys.y, 1)
update_kalman_state!(
kalman_state,
sys.y[t, :],
sys.Z,
sys.T,
sys.H,
RQR,
sys.d,
sys.c,
skip_llk_instants,
steadystate_tol,
t,
)
save_kalman_state_in_filter_output!(filter_output, kalman_state, t)
try
RQR = sys.R * sys.Q * sys.R'
save_a1_P1_in_filter_output!(filter_output, kalman_state)
@inbounds for t in 1:size(sys.y, 1)
update_kalman_state!(
kalman_state,
sys.y[t, :],
sys.Z,
sys.T,
sys.H,
RQR,
sys.d,
sys.c,
skip_llk_instants,
steadystate_tol,
t,
)
save_kalman_state_in_filter_output!(filter_output, kalman_state, t)
end
catch
@error("Numerical error when applying Kalman filter euqations, the current state is: $kalman_state")
rethrow()
end
return filter_output
end
Expand All @@ -380,22 +396,27 @@ function filter_recursions!(
steadystate_tol::Fl,
skip_llk_instants::Int,
) where Fl
save_a1_P1_in_filter_output!(filter_output, kalman_state)
@inbounds for t in 1:size(sys.y, 1)
update_kalman_state!(
kalman_state,
sys.y[t, :],
sys.Z[t],
sys.T[t],
sys.H[t],
sys.R[t],
sys.Q[t],
sys.d[t],
sys.c[t],
skip_llk_instants,
t,
)
save_kalman_state_in_filter_output!(filter_output, kalman_state, t)
try
save_a1_P1_in_filter_output!(filter_output, kalman_state)
@inbounds for t in 1:size(sys.y, 1)
update_kalman_state!(
kalman_state,
sys.y[t, :],
sys.Z[t],
sys.T[t],
sys.H[t],
sys.R[t],
sys.Q[t],
sys.d[t],
sys.c[t],
skip_llk_instants,
t,
)
save_kalman_state_in_filter_output!(filter_output, kalman_state, t)
end
catch
@error("Numerical error when applying Kalman filter euqations, the current state is: $kalman_state")
rethrow()
end
return filter_output
end
74 changes: 42 additions & 32 deletions src/filters/scalar_kalman_filter.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -191,21 +191,26 @@ function filter_recursions!(
steadystate_tol::Fl,
skip_llk_instants::Int,
) where Fl
RQR = sys.R[1] * sys.Q[1] * sys.R[1]
@inbounds for t in eachindex(sys.y)
scalar_update_kalman_state!(
kalman_state,
sys.y[t],
sys.Z[1],
sys.T[1],
sys.H,
RQR,
sys.d,
sys.c[1],
skip_llk_instants,
steadystate_tol,
t,
)
try
RQR = sys.R[1] * sys.Q[1] * sys.R[1]
@inbounds for t in eachindex(sys.y)
scalar_update_kalman_state!(
kalman_state,
sys.y[t],
sys.Z[1],
sys.T[1],
sys.H,
RQR,
sys.d,
sys.c[1],
skip_llk_instants,
steadystate_tol,
t,
)
end
catch
@error("Numerical error when applying Kalman filter euqations, the current state is: $kalman_state")
rethrow()
end
return kalman_state.llk
end
Expand All @@ -217,23 +222,28 @@ function filter_recursions!(
steadystate_tol::Fl,
skip_llk_instants::Int,
) where Fl
RQR = sys.R[1] * sys.Q[1] * sys.R[1]
save_a1_P1_in_filter_output!(filter_output, kalman_state)
@inbounds for t in eachindex(sys.y)
scalar_update_kalman_state!(
kalman_state,
sys.y[t],
sys.Z[1],
sys.T[1],
sys.H,
RQR,
sys.d,
sys.c[1],
skip_llk_instants,
steadystate_tol,
t,
)
save_kalman_state_in_filter_output!(filter_output, kalman_state, t)
try
RQR = sys.R[1] * sys.Q[1] * sys.R[1]
save_a1_P1_in_filter_output!(filter_output, kalman_state)
@inbounds for t in eachindex(sys.y)
scalar_update_kalman_state!(
kalman_state,
sys.y[t],
sys.Z[1],
sys.T[1],
sys.H,
RQR,
sys.d,
sys.c[1],
skip_llk_instants,
steadystate_tol,
t,
)
save_kalman_state_in_filter_output!(filter_output, kalman_state, t)
end
catch
@error("Numerical error when applying Kalman filter euqations, the current state is: $kalman_state")
rethrow()
end
return filter_output
end
84 changes: 47 additions & 37 deletions src/filters/sparse_univariate_kalman_filter.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -180,7 +180,7 @@ end

function update_llk!(kalman_state::SparseUnivariateKalmanState{Fl}) where Fl
kalman_state.llk -= (
HALF_LOG_2_PI + (log(kalman_state.F) + kalman_state.v^2 / kalman_state.F) / 2
HALF_LOG_2_PI + 0.5 * (log(kalman_state.F) + kalman_state.v^2 / kalman_state.F)
)
return kalman_state
end
Expand Down Expand Up @@ -255,23 +255,28 @@ function filter_recursions!(
steadystate_tol::Fl,
skip_llk_instants::Int,
) where Fl
RQR = sys.R * sys.Q * sys.R'
T_sparse = sparse(sys.T)
Z_sparse = sparse(sys.Z)
@inbounds for t in eachindex(sys.y)
update_kalman_state!(
kalman_state,
sys.y[t],
Z_sparse,
T_sparse,
sys.H,
RQR,
sys.d,
sys.c,
skip_llk_instants,
steadystate_tol,
t,
)
try
RQR = sys.R * sys.Q * sys.R'
T_sparse = sparse(sys.T)
Z_sparse = sparse(sys.Z)
@inbounds for t in eachindex(sys.y)
update_kalman_state!(
kalman_state,
sys.y[t],
Z_sparse,
T_sparse,
sys.H,
RQR,
sys.d,
sys.c,
skip_llk_instants,
steadystate_tol,
t,
)
end
catch
@error("Numerical error when applying Kalman filter euqations, the current state is: $kalman_state")
rethrow()
end
return kalman_state.llk
end
Expand All @@ -283,25 +288,30 @@ function filter_recursions!(
steadystate_tol::Fl,
skip_llk_instants::Int,
) where Fl
RQR = sys.R * sys.Q * sys.R'
T_sparse = sparse(sys.T)
Z_sparse = sparse(sys.Z)
save_a1_P1_in_filter_output!(filter_output, kalman_state)
@inbounds for t in eachindex(sys.y)
update_kalman_state!(
kalman_state,
sys.y[t],
Z_sparse,
T_sparse,
sys.H,
RQR,
sys.d,
sys.c,
skip_llk_instants,
steadystate_tol,
t,
)
save_kalman_state_in_filter_output!(filter_output, kalman_state, t)
try
RQR = sys.R * sys.Q * sys.R'
T_sparse = sparse(sys.T)
Z_sparse = sparse(sys.Z)
save_a1_P1_in_filter_output!(filter_output, kalman_state)
@inbounds for t in eachindex(sys.y)
update_kalman_state!(
kalman_state,
sys.y[t],
Z_sparse,
T_sparse,
sys.H,
RQR,
sys.d,
sys.c,
skip_llk_instants,
steadystate_tol,
t,
)
save_kalman_state_in_filter_output!(filter_output, kalman_state, t)
end
catch
@error("Numerical error when applying Kalman filter euqations, the current state is: $kalman_state")
rethrow()
end
return filter_output
end
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