sigma_points

ssapy.utils.sigma_points(f, x, C, scale=1, fixed_dimensions=None)[source][source]

Compute f(sigma points) for sigma points of C around x.

There are many possible definitions of sigma points. This one takes the singular value decomposition of C and uses the eigenvectors times sqrt(dimension)*scale*(+/-1) as the sigma points. It then evaluates the given function f at x plus those sigma points.

Parameters:

  • f (function) – the function to evaluate at the sigma points

  • x (array_like (n)) – the central value to evaluate the function around

  • C (array_like (n, n)) – the covariance matrix corresponding to x

  • scale (float) – return scale-sigma points rather than n-sigma points. e.g., for 5 sigma, set scale = 5.

  • fixed_dimensions (array_like, (n), bool) – boolean array specifying dimensions of x that are fixed and not specified in C