scan3.py

# https://deeplearningcourses.com/c/unsupervised-machine-learning-hidden-markov-models-in-python
# https://udemy.com/unsupervised-machine-learning-hidden-markov-models-in-python
# http://lazyprogrammer.me
# theano scan example - low pass filter
from __future__ import print_function, division
from builtins import range
# Note: you may need to update your version of future
# sudo pip install -U future


import numpy as np
import matplotlib.pyplot as plt
import theano
import theano.tensor as T


X = 2*np.random.randn(300) + np.sin(np.linspace(0, 3*np.pi, 300))
plt.plot(X)
plt.title("original")
plt.show()

decay = T.scalar('decay')
sequence = T.vector('sequence')

def recurrence(x, last, decay):
  return (1-decay)*x + decay*last

outputs, _ = theano.scan(
  fn=recurrence,
  sequences=sequence,
  n_steps=sequence.shape[0],
  outputs_info=[np.float64(0)],
  non_sequences=[decay]
)

lpf = theano.function(
  inputs=[sequence, decay],
  outputs=outputs,
)

Y = lpf(X, 0.99)
plt.plot(Y)
plt.title("filtered")
plt.show()