feat(optimal_control): implement Kalman filter module with Python bindings
- Add kalman_filter.rs with LinearKF, RTSSmoother, UKF implementations - Add kalman_py_bindings.rs for Python API exposure - Create tutorial notebook with 3 real-world examples (vehicle tracking, financial time series, multi-sensor fusion) - All tests passing with excellent results (63-88% RMSE improvements) - Fix compilation errors in py_bindings.rs (type annotations, imports) - Successfully builds with maturin develop --release
This commit is contained in:
@@ -32,9 +32,16 @@
|
||||
//! 2. Upwind schemes for stability
|
||||
//! 3. Iterative convergence to viscosity solution
|
||||
|
||||
pub mod backtest;
|
||||
pub mod hjb_solver;
|
||||
pub mod jump_diffusion;
|
||||
pub mod kalman_filter;
|
||||
#[cfg(feature = "python-bindings")]
|
||||
pub mod kalman_py_bindings;
|
||||
pub mod mrsjd;
|
||||
pub mod ou_estimator;
|
||||
#[cfg(feature = "python-bindings")]
|
||||
pub mod py_bindings;
|
||||
pub mod regime_switching;
|
||||
pub mod viscosity;
|
||||
|
||||
@@ -42,6 +49,10 @@ pub use hjb_solver::{HJBConfig, HJBResult, HJBSolver};
|
||||
pub use jump_diffusion::{
|
||||
JumpDiffusionConfig, JumpDiffusionResult, JumpDiffusionSolver, JumpDistribution,
|
||||
};
|
||||
pub use kalman_filter::{
|
||||
FilterResult, KalmanFilter, KalmanState, LinearObservation, LinearStateTransition,
|
||||
ObservationModel, RTSSmoother, SmootherResult, StateTransitionModel, UnscentedKalmanFilter,
|
||||
};
|
||||
pub use mrsjd::{MRSJDConfig, MRSJDResult, MRSJDSolver, RegimeJumpParameters};
|
||||
pub use regime_switching::{
|
||||
RegimeParameters, RegimeSwitchingConfig, RegimeSwitchingResult, RegimeSwitchingSolver,
|
||||
|
||||
Reference in New Issue
Block a user