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EstimationEngine Module

The estimation engine represents the method used to calculate equations and optimise a likelihood function. The whole estimation engine is tensor-based internally, but may take float-based equations as a legacy option.

Types and nested modules

Type/Module Description

Integration

Optimisation

Solver

CompiledLikelihood<'u>

Low‑level compiled likelihood Works directly with a parameter tensor (real space).

Domain

The domain is fine to be float-based, as it is only used to initialise the optimisation routine. Represents the bounds and any constraint.

EndCondition

Determines if the end has been reached based on a list of tupled Solutions with their iteration number.

EstimationEngine<'date, 'timespan, 'modelTimeUnit, 'state>

FloatODE

ModelEquations

Model equations for estimation may be require time to be in indexed form (i.e. common across models and data). Parameter values are required in 'real' parameter units rather than (transformed) optimisation space.

Objective

An objective function that can be optimised within an optimisation routine.

OptimStopReason

Reasons optimisation may stop.

ParameterisedRHS

A parameterised RHS — parameters already bound. This is what the integration routine actually steps.

Point

A point in optimisation-space. Optim-space is tensor-based, so all points are tensor vectors representing the parameters.

TensorODE

TimeMode

UnparameterisedRHS

A function that, given parameters, produces a parameterised RHS for the ODE system. This is the output of the static solver setup.

WriteOut

Represents an external logging function.

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