Overview of cd-dynamax

The primary goal of this codebase is to extend dynamax to a continuous-discrete (CD) state-space-modeling setting, that is, to problems where

• the underlying dynamics are continuous in time,
• and measurements can arise at arbitrary (i.e., non-regular) discrete times.

To address these gaps, cd-dynamax modifies dynamax to accept irregularly sampled data and implements classical algorithms for continuous-discrete filtering and smoothing.

Mathematical Framework: continuous-discrete state-space models

In this repository, we build an expanded toolkit for filtering, forecasting and learning dynamical systems that underpin real-world messy time-series data.

We move towards this goal by working with the following flexible mathematical setting:

• We assume there exists a (possibly unknown) stochastic dynamical system of form

$$dx(t) = f(x(t),t)dt + L(x(t),t) dw(t)$$

where $x \in \mathbb{R}^{d_x}$, $x(0) \sim \mathcal{N}(\mu_0, \Sigma_0)$, $f$ a possibly time-dependent drift function, $L$ a possibly state and/or time-dependent diffusion coefficient, and $dw$ is the derivative of a $d_x$-dimensional Brownian motion with a covariance $Q$.

• We assume data are available at arbitrary times $\{t_k\}_{k=1}^K$ and observed via a measurement process dictated by

$$y(t) = h(x(t)) + \eta(t)$$

where $h: \mathbb{R}^{d_x} \mapsto \mathbb{R}^{d_y}$ creates a $d_y$-dimensional observation from the $d_x$-dimensional state of the dynamical system $x(t)$ (a realization of the above SDE), and $\eta(t)$ applies additive Gaussian noise to the observation.

We denote the collection of all parameters as $\theta = \{f,\ L,\ \mu_0,\ \Sigma_0,\ L,\ Q,\ h,\ \textrm{Law}(\eta) \}$.

Note:

• We assume $\eta(t)$ i.i.d. w.r.t. $t$:

  • This assumption places us in the continuous (dynamics) - discrete (observation) setting.
  • If $\eta(t)$ had temporal correlations, we would likely adopt a mathematical setting that defines the observation process continuously in time via its own SDE.

• Other extensions of the above paradigm include categorical state-spaces and non-additive observation noise distributions

  • These can fit into our code framework (indeed, some are covered in dynamax), but have not been our focus.

cd-dynamax goals and approach

For a given set of observations $Y_K = [y(t_1),\ \dots ,\ y(t_K)]$, we wish to:

• Filter: estimate $x(t_K) \ | \ Y_K, \ \theta$
• Smooth: estimate $\{x(t)\}_t \ | \ Y_K, \ \theta$
• Predict: estimate $x(t > t_K)\ |\ Y_K, \ \theta$
• Infer parameters: estimate $\theta \ |\ Y_K$

All of these problems are deeply interconnected.

• In cd-dynamax, we enable filtering, smoothing, and parameter inference for a single system under multiple trajectory observations ($[Y^{(1)}, \ \dots \, \ Y^{(N)}]$.

  • In these cases, we assume that each trajectory represents an independent realization of the same dynamics-data model, which we may be interested in learning, filtering, smoothing, or predicting.
    • In the future, we would like to have options to perform hierarchical inference, where we assume that each trajectory came from a different, yet similar set of system-defining parameters $\theta^{(n)}$.

• We implement such filtering/smoothing algorithms in an efficient, autodifferentiable framework.

  • We enable usage of modern general-purpose tools for parameter inference (e.g., stochastic gradient descent, Hamiltonian Monte Carlo).

• In cd-dynamax, we take onto the parameter inference case by relying on marginalizing out unobserved states $\{x(t)\}_t$

  • this is a design choice of ours, other alternatives are possible.
  • This marginalization is performed (approximately, in cases of non-linear dynamics) via filtering/smoothing algorithms.

Codebase description and status

The cd-dynamax codebase extends the dynamax library to support continuous-discrete state space models, where observations are made at specified discrete times rather than at regular intervals.

• We leverage dynamax code

  • Currently, based on a local directory with Dynamax release 0.1.5

• We have implemented the cd-dynamax codebase to deal with continuous-discrete linear and non-linear models, along with several filtering and smoothing algorithms.

• The codebase is organized into several key directories:

cd_dynamax/
├── src/                       # Source code for cd-dynamax library
│   ├── continuous_discrete_linear_gaussian_ssm/  # CD-LGSSM models and algorithms
│   ├── continuous_discrete_nonlinear_gaussian_ssm/ # CD-NLGSSM models and algorithms
│   ├── ssm_temissions.py      # Modified SSM class for discrete emissions
│   └── utils/               # Utility functions and example models
├── dynamax/                     # Original dynamax library (as a submodule)
demos/                       # Python demos showcasing cd-dynamax functionality
├── python/scripts/          # Python scripts for running demos
├── python/notebooks/        # Jupyter notebooks for interactive demos
├── python/configs/          # Configuration files for demos
tests/                       # Tests for cd-dynamax functionality

Demos

We provide a set of demos that showcase key functionality of cd-dynamax.

These scripts and notebooks illustrate how to learn components of continuous-discrete SDEs from data.

For instance:

• Filtering-based likelihood tutorial to filtering-based likelihood computation for continuous-discrete SDEs.

• SGD-based model fitting tutorial to SGD-based fitting of continuous-discrete SDE model to data.

• MCMC-based model fitting tutorial to MCMC-based fitting of continuous-discrete SDE model to data.

Tests

• Several tests to establish cd-dynamax general functionality, as well as linear and non-linear filters/smoothers tests: e.g., checks that non-linear algorithms applied to linear problems return similar results as linear algorithms.

Installation

We support installation via Conda (recommended) or via a standard Python virtual environment.

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Option 1: Conda (recommended)

# Create and activate a new environment with Python 3.11
conda create -n cd_dynamax_joss python=3.11
conda activate cd_dynamax_joss

# Install your package in editable mode (so local changes are picked up)
pip install -e .[dev]

This installs the core dependencies listed in pyproject.toml, along with optional developer tools (pytest, etc.) if you use [dev].

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Option 2: Python venv + pip

# Create and activate a virtual environment
python -m venv .venv
source .venv/bin/activate   # on macOS/Linux
.venv\Scripts\activate      # on Windows

# Upgrade pip
pip install --upgrade pip

# Install in editable mode
pip install -e .[dev]

GPU support

If you want GPU acceleration with JAX, you must install a CUDA-enabled jaxlib wheel.

Check the JAX installation docs for the exact commands for your system.

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Notes

• pip install -e . puts the repo in editable mode, so changes to source code are immediately available without reinstalling.

• If you plan to use plotting features that rely on graphviz, make sure the system binary is installed:

  • macOS: brew install graphviz
  • Ubuntu/Debian: sudo apt install graphviz
  • Windows (conda): conda install graphviz

• The [dev] extra installs additional developer tools (like pytest).

  • Once your environment is installed, you can run automated tests:

  pytest