statespace_callback

A model whose update, and optionally its parameter transforms, are C function pointers, for models defined in another language. The Python package’s MLEModel builds on it.

update_cb(k, params, rep) fills the model’s representation, passed as a handle usable with the ss_rep_* routines of the C interface, from the k constrained parameters, and returns 0 on success. transform_cb(k, x, out) and untransform_cb(k, x, out) map between unconstrained and constrained parameters; without them the parameters are unconstrained.

When update_cb fails, H is saved and set to NaN, so the likelihood cannot be evaluated and the optimizer backs off; H is restored at the next call. The caller reports the failure (the Python package re-raises the exception). Callback models must not be fitted on several threads.

callback_model_t

type, extends(ssm_model_t) :: callback_model_t
  type(c_funptr) :: update_cb, transform_cb, untransform_cb
  type(c_ptr) :: rep_handle          ! handle to this model's rep, passed to update_cb
  real(dp), allocatable :: start(:)
  integer :: failures = 0            ! failed callbacks so far
end type

C prototypes of the callbacks:

int update_cb(int k, const double *params, void *rep);
int transform_cb(int k, const double *x, double *out);