batched_kalman.hpp

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/*
 * SPDX-FileCopyrightText: Copyright (c) 2019-2021, NVIDIA CORPORATION.
 * SPDX-License-Identifier: Apache-2.0
 */
 
#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