# lmlib.statespace.cost.CostSegment#

class lmlib.statespace.cost.CostSegment(alssm, segment, **kwargs)#

Quadratic cost function defined by an ALSSM and a Segment.

A CostSegment is an implementation of [Wildhaber2019] PDF (Cost Segment)

==================
Class: CostSegment (= 1 ALSSM + 1 Segment)
==================

window weight
^
2_|                   ___     exponentially rising window of segment
1_|              ____/     <- normalized to 1 at index delta; to
0_|    _________/             weight the cost function

segment
+----------------+
alssm    |                |
+----------------+

|--|-------|-----|----> k (time, relativ to the segment reference index 0)
a  0     delta   b

a,b : segment interval borders a and b in N, a < b


A cost segment is the quadratic cost function

$J_a^b(k,x,\theta) = \sum_{i=k+a}^{k+b} \alpha_{k+\delta}(i)v_i(y_i - cA^{i-k}x)^2$

over a fixed interval $$\{a, \dots, b\}$$ with $$a \in \mathbb{Z} \cup \{ - \infty \}$$, $$b \in \mathbb{Z} \cup \{ + \infty\}$$, and $$a \le b$$, and with initial state vector $$x \in \mathbb{R}^{N \times 1}$$. For more details, seen in Section 4.2.6 and Chapter 9 in [Wildhaber2019] .

Parameters

Examples

Setup a cost segment with finite boundaries and a line ALSSM.

>>> alssm = lm.AlssmPoly(poly_degree=1, label="slope with offset")
>>> segment = lm.Segment(a=-30, b=0, direction=lm.FORWARD, g=20, label="finite left")
>>> cost = lm.CostSegment(alssm, segment, label="left line")
>>> print(cost)
CostSegment : label: left line
└- Alssm : polynomial, A: (2, 2), C: (1, 2), label: slope with offset,
└- Segment : a:-30, b:0, fw, g:20, delta:0, label: finite left


Methods

 __init__(alssm, segment, **kwargs) eval_alssm_output(xs[, alssm_weight]) Evaluation of the CostSegment's ALSSM output for multiple state vectors int : Order of the (stacked) Alssm Model Returns the state indices for a specified label of the stacked internal ALSSM get_steady_state_W([method]) Returns Steady State Matrix W trajectories(xs[, alssm_weight, thd]) Returns the ALSSM's trajectory (=output sequence for fixed initial state) for multiple initial state vectors windows([thd]) Per-sample evaluation of the CostSegment's window.

Attributes

 F Mapping matrix $$F$$, maps models to segments alssms Set of ALSSM label Label of the Cost Model segments Set of Segment
property F#

Mapping matrix $$F$$, maps models to segments

Type

ndarray

property alssms#

Set of ALSSM

Type

tuple

eval_alssm_output(xs, alssm_weight=1.0)#

Evaluation of the CostSegment’s ALSSM output for multiple state vectors

For parameter details see: lmlib.statespace.models.Alssm.eval()

get_model_order()#

int : Order of the (stacked) Alssm Model

get_state_var_indices(label)#

Returns the state indices for a specified label of the stacked internal ALSSM

Parameters

label (str) – state label

Returns

out – state indices of the label

Return type

list of int

Parameters

method (str, optional) – if ‘closed_form’ is used the steady state matrix will be calculated in a close form. This method can be critical, as it can produce badly conditioned matrices internally. if ‘limited_sum’ is used, the steady state matrix will be calculated brute force, with a stop condition on a minimum change.

Returns

Wss = class – Steady State Matrix W

Return type

numpy.ndarray

property label#

Label of the Cost Model

Type

str, None

property segments#

Set of Segment

Type

tuple

trajectories(xs, alssm_weight=1.0, thd=1e-06)#

Returns the ALSSM’s trajectory (=output sequence for fixed initial state) for multiple initial state vectors

Evaluates the CostSegment’s ALSSM with the state vectors xs over the time indices defined by CostSegment.segment. The segment’s interval boundaries limit the evaluation interval (samples outside this interval are set to 0). In particular for segments with infinite interval borders, the threshold option thd additionally limits the evaluation boundaries by defining a minimal window height of the CostSegment.segment.

Parameters
• xs (array_like of shape=(XS, N [,S]) of float) – List of length XS with initial state vectors $$x$$

• thd (float or None, optional) – Threshold setting the evaluation boundaries by setting a minimum window height

Returns

trajectories – Each element in trajectories is a tuple with

• range of length JR: relative index range of trajectory with respect to semgent’s boundaries.

• array of shape=(JR, L, [S]): trajectory values over reported range.

Dimension S is only present in the output, if dimension S is present in xs (i.e., if multiple signal sets are used)

Return type

list of shape=(XS) of tuples (range, array)

JR : index range length
XS : number of state vectors in a list
N : ALSSM system order, corresponding to the number of state variables
S : number of signal sets
L : output order / number of signal channels

windows(thd=1e-06, *args)#

Per-sample evaluation of the CostSegment’s window.

Returns the index range and the per-index window weights defined by the CostSegment’s Segment.

For parameter list see: Segment.windows()