batched_kalman.hpp

Go to the documentation of this file.

/*
 * Copyright (c) 2019-2021, NVIDIA CORPORATION.
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at
 *
 *     http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
 */
 
#pragma once
 
#include <cuml/tsa/arima_common.h>
 
namespace raft {
class handle_t;
}
 
namespace ML {
 
void batched_kalman_filter(raft::handle_t& handle,
                           const ARIMAMemory<double>& arima_mem,
                           const double* d_ys,
                           const double* d_exog,
                           int nobs,
                           const ARIMAParams<double>& params,
                           const ARIMAOrder& order,
                           int batch_size,
                           double* d_loglike,
                           double* d_pred,
                           int fc_steps             = 0,
                           double* d_fc             = nullptr,
                           const double* d_exog_fut = nullptr,
                           double level             = 0,
                           double* d_lower          = nullptr,
                           double* d_upper          = nullptr);
 
void batched_jones_transform(raft::handle_t& handle,
                             const ARIMAMemory<double>& arima_mem,
                             const ARIMAOrder& order,
                             int batch_size,
                             bool isInv,
                             const double* h_params,
                             double* h_Tparams);
}  // namespace ML