# bayespy.nodes.SwitchingGaussianMarkovChain¶

class bayespy.nodes.SwitchingGaussianMarkovChain(mu, Lambda, B, Z, nu, n=None, **kwargs)[source]

Node for Gaussian Markov chain random variables with switching dynamics.

The node models a sequence of Gaussian variables :math:mathbf{x}_0,ldots,mathbf{x}_{N-1}\$ with linear Markovian dynamics. The dynamics may change in time, which is obtained by having a set of matrices and at each time selecting one of them as the state dynamics matrix. The graphical model can be presented as: where and are the mean and the precision matrix of the initial state, is the precision of the innovation noise, and are the state dynamics matrix obtained by selecting one of the matrices at each time. The selections are provided by . The probability distribution is where Parameters
muGaussian-like node or (…,D)-array , mean of , -dimensional with plates (…)

LambdaWishart-like node or (…,D,D)-array , precision matrix of , -dimensional with plates (…)

BGaussian-like node or (…,D,D,K)-array , a set of state dynamics matrix, -dimensional with plates (…,D)

Zcategorical-like node or (…,N-1)-array , time-dependent selection, -categorical with plates (…,N-1)

nugamma-like node or (…,D)-array , diagonal elements of the precision of the innovation process, plates (…,D)

nint, optional , the length of the chain. Must be given if does not have plates over the time domain (which would not make sense).

Notes

Equivalent model block can be constructed with GaussianMarkovChain by explicitly using Gate to select the state dynamics matrix. However, that approach is not very efficient for large datasets because it does not utilize the structure of , thus it explicitly computes huge moment arrays.

__init__(mu, Lambda, B, Z, nu, n=None, **kwargs)[source]

Create SwitchingGaussianMarkovChain node.

Methods

 __init__(mu, Lambda, B, Z, nu[, n]) Create SwitchingGaussianMarkovChain node. add_plate_axis(to_plate) broadcasting_multiplier(plates, *args) Delete this node and the children Computes gradient with respect to the natural parameters. Return parameters of the VB distribution. Computes the Riemannian/natural gradient. get_shape(ind) Return True if the node has a plotter Set the variable to a random sample from the current distribution. initialize_from_value(x, *args) load(filename) logpdf(X[, mask]) Compute the log probability density function Q(X) of this node. lower_bound_contribution([gradient, …]) Compute E[ log p(X|parents) - log q(X) ] move_plates(from_plate, to_plate) observe(x, *args[, mask]) Fix moments, compute f and propagate mask. pdf(X[, mask]) Compute the probability density function of this node. plot([fig]) Plot the node distribution using the plotter of the node random(*phi[, plates]) Draw a random sample from the distribution. save(filename) Set the parameters of the VB distribution. set_plotter(plotter) Print the distribution using standard parameterization. update([annealing])

Attributes

 dims plates plates_multiplier` Plate multiplier is applied to messages to parents