h_t = exp(dt A) h_{t-1} + dt B x_t; y_t = C . h_t, with a DIAGONAL A.
Examples
morie_kamath_mamba_ssm(x = c(1, 2, 3, 4, 5, 6, 7, 8), A = c(1, 2, 3, 4, 5, 6, 7, 8),
B = c(1, 2, 3, 4, 5, 6, 7, 8), C = c(1, 2, 3, 4, 5, 6, 7, 8), delta = 0.5)
#> $y
#> [1] 1.020000e+02 3.361831e+03 1.385400e+05 6.543732e+06 3.299990e+08
#> [6] 1.721683e+10 9.152906e+11 4.918783e+13
#>
#> $states
#> [,1] [,2] [,3] [,4] [,5] [,6]
#> [1,] 0.500000 1.000000 1.500000 2.000000e+00 2.500000e+00 3.000000e+00
#> [2,] 1.824361 4.718282 9.722534 1.877811e+01 3.545623e+01 6.625661e+01
#> [3,] 4.507862 15.825620 48.073373 1.447525e+02 4.394454e+02 1.339800e+03
#> [4,] 9.432208 47.018495 221.449909 1.077585e+03 5.363541e+03 2.692259e+04
#> [5,] 18.051082 132.809519 999.969635 7.972332e+03 6.535380e+04 5.407698e+05
#> [6,] 32.761204 367.013703 4490.552983 5.892001e+04 7.961873e+05 1.086167e+07
#> [7,] 57.514093 1004.646681 20135.762222 4.353773e+05 9.699564e+06 2.181625e+08
#> [8,] 98.824709 2738.912817 90254.225472 3.217043e+06 1.181649e+08 4.381910e+09
#> [,7] [,8]
#> [1,] 3.500000e+00 4.000000e+00
#> [2,] 1.229041e+02 2.263926e+02
#> [3,] 4.080524e+03 1.237262e+04
#> [4,] 1.351424e+05 6.755380e+05
#> [5,] 4.475319e+06 3.688315e+07
#> [6,] 1.482022e+08 2.013752e+09
#> [7,] 4.907784e+09 1.099471e+11
#> [8,] 1.625235e+11 6.002909e+12
#>
#> $A_bar
#> [,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8]
#> [1,] 1.648721 2.718282 4.481689 7.389056 12.18249 20.08554 33.11545 54.59815
#> [2,] 1.648721 2.718282 4.481689 7.389056 12.18249 20.08554 33.11545 54.59815
#> [3,] 1.648721 2.718282 4.481689 7.389056 12.18249 20.08554 33.11545 54.59815
#> [4,] 1.648721 2.718282 4.481689 7.389056 12.18249 20.08554 33.11545 54.59815
#> [5,] 1.648721 2.718282 4.481689 7.389056 12.18249 20.08554 33.11545 54.59815
#> [6,] 1.648721 2.718282 4.481689 7.389056 12.18249 20.08554 33.11545 54.59815
#> [7,] 1.648721 2.718282 4.481689 7.389056 12.18249 20.08554 33.11545 54.59815
#> [8,] 1.648721 2.718282 4.481689 7.389056 12.18249 20.08554 33.11545 54.59815
#>
#> $estimate
#> [1] 4.918783e+13
#>
#> $state_dim
#> [1] 8
#>
#> $n
#> [1] 8
#>
#> $method
#> [1] "Mamba selective SSM scan (ZOH, diagonal A)"
#>
