Prefer mT over T in statespace equations

pymc_extras/statespace/filters/kalman_filter.py

@@ -393,7 +393,7 @@ def predict(a, P, c, T, R, Q) -> tuple[TensorVariable, TensorVariable]:
         .. [1] Durbin, J., and S. J. Koopman. Time Series Analysis by State Space Methods.
                2nd ed, Oxford University Press, 2012.
         """
-        a_hat = T.dot(a) + c
+        a_hat = T @ a + c
         P_hat = quad_form_sym(T, P) + quad_form_sym(R, Q)
 
         return a_hat, P_hat
@@ -580,16 +580,16 @@ def update(self, a, P, y, d, Z, H, all_nan_flag):
         .. [1] Durbin, J., and S. J. Koopman. Time Series Analysis by State Space Methods.
                2nd ed, Oxford University Press, 2012.
         """
-        y_hat = d + Z.dot(a)
+        y_hat = d + Z @ a
         v = y - y_hat
 
-        PZT = P.dot(Z.T)
+        PZT = P.dot(Z.mT)
         F = Z.dot(PZT) + stabilize(H, self.cov_jitter)
 
-        K = pt.linalg.solve(F.T, PZT.T, assume_a="pos", check_finite=False).T
+        K = pt.linalg.solve(F.mT, PZT.mT, assume_a="pos", check_finite=False).mT
         I_KZ = pt.eye(self.n_states) - K.dot(Z)
 
-        a_filtered = a + K.dot(v)
+        a_filtered = a + K @ v
         P_filtered = quad_form_sym(I_KZ, P) + quad_form_sym(K, H)
 
         F_inv_v = pt.linalg.solve(F, v, assume_a="pos", check_finite=False)
@@ -630,9 +630,9 @@ def predict(self, a, P, c, T, R, Q):
         a_hat = T.dot(a) + c
         Q_chol = pt.linalg.cholesky(Q, lower=True)
 
-        M = pt.horizontal_stack(T @ P_chol, R @ Q_chol).T
+        M = pt.horizontal_stack(T @ P_chol, R @ Q_chol).mT
         R_decomp = pt.linalg.qr(M, mode="r")
-        P_chol_hat = R_decomp[: self.n_states, : self.n_states].T
+        P_chol_hat = R_decomp[..., : self.n_states, : self.n_states].mT
 
         return a_hat, P_chol_hat
 
@@ -665,7 +665,7 @@ def update(self, a, P, y, d, Z, H, all_nan_flag):
         upper = pt.horizontal_stack(H_chol, Z @ P_chol)
         lower = pt.horizontal_stack(zeros, P_chol)
         A_T = pt.vertical_stack(upper, lower)
-        B = pt.linalg.qr(A_T.T, mode="r").T
+        B = pt.linalg.qr(A_T.mT, mode="r").mT
 
         F_chol = B[: self.n_endog, : self.n_endog]
         K_F_chol = B[self.n_endog :, : self.n_endog]
@@ -677,6 +677,7 @@ def compute_non_degenerate(P_chol_filtered, F_chol, K_F_chol, v):
             inner_term = solve_triangular(
                 F_chol, solve_triangular(F_chol, v, lower=True), lower=True
             )
+
             loss = (v.T @ inner_term).ravel()
 
             # abs necessary because we're not guaranteed a positive diagonal from the schur decomposition
@@ -800,7 +801,7 @@ def kalman_step(self, y, a, P, c, d, T, Z, R, H, Q):
             obs_cov[-1],
         )
 
-        P_filtered = stabilize(0.5 * (P_filtered + P_filtered.T), self.cov_jitter)
+        P_filtered = stabilize(0.5 * (P_filtered + P_filtered.mT), self.cov_jitter)
         a_hat, P_hat = self.predict(a=a_filtered, P=P_filtered, c=c, T=T, R=R, Q=Q)
 
         ll = -0.5 * ((pt.neq(ll_inner, 0).sum()) * MVN_CONST + ll_inner.sum())

pymc_extras/statespace/filters/utilities.py

@@ -48,12 +48,11 @@ def split_vars_into_seq_and_nonseq(params, param_names):
 
 
 def stabilize(cov, jitter=JITTER_DEFAULT):
-    # Ensure diagonal is non-zero
     cov = cov + pt.identity_like(cov) * jitter
 
     return cov
 
 
 def quad_form_sym(A, B):
-    out = matrix_dot(A, B, A.T)
-    return 0.5 * (out + out.T)
+    out = A @ B @ A.mT
+    return 0.5 * (out + out.mT)