jact

JAX-based transition probability and expected cashflow computation for multi-state models with duration-dependent transition intensities.

What is jact?

jact computes transition probabilities and expected cashflows in semi-Markov multi-state models. It takes fitted intensity models — parametric functions, GLMs, neural networks, or any JIT-compatible callable — and produces transition probabilities and cashflow streams for thousands of individuals in a single vectorized pass on GPU. Computations are optimized for JIT-compiled GPU execution.

Quick example

import jax.numpy as jnp
import jact

# Define the state space
state_space = jact.StateSpace(
    states=["healthy", "disabled", "dead"],
    transitions=[
        ("healthy", "disabled"),
        ("healthy", "dead"),
        ("disabled", "dead"),
    ],
)

# Build a model with intensity functions
model = state_space.build(
    transitions={
        ("healthy", "disabled"): onset_fn,
        ("healthy", "dead"): mortality_fn,
        ("disabled", "dead"): disabled_mort_fn,
    }
)

# Compute transition probabilities for 1000 individuals
ages = jnp.linspace(30, 80, 1_000)
result = model.solve(initial="healthy", horizon=30, steps_per_unit=12, age=ages)

Cashflow example

Using the same state_space, model, and ages as above:

import jax.numpy as jnp
import jact


def annual_premium(t, d, *, age):
    return jnp.full((age.shape[0], d.shape[-1]), -1_200.0)


def death_benefit(t, d, *, age):
    return jnp.full((age.shape[0], d.shape[-1]), 100_000.0)


cashflows = state_space.cashflows(
    {
        "premium": jact.cashflows.StateRate({"healthy": annual_premium}),
        "death_benefit": jact.cashflows.TransitionLump(
            {
                ("healthy", "dead"): death_benefit,
                ("disabled", "dead"): death_benefit,
            }
        ),
    }
)

result = model.solve(
    initial="healthy",
    horizon=30,
    steps_per_unit=12,
    record_every=12,
    probability=None,
    cashflows=cashflows,
    cashflow_views={
        "raw": jact.cashflows.Raw(),
        "pv_total": jact.cashflows.Total(
            weight=lambda t, **kwargs: jnp.exp(-0.03 * t),
            terminal=True,
        ),
    },
    age=ages,
)

premium_stream = result.cashflows["raw"]["premium"]
present_value = result.cashflows["pv_total"]

Key features

• Plug in any model: Gompertz, GLM, neural network — anything that's JIT-compatible.
• Swap and compare: Same StateSpace, different intensity models. Experiment easily.
• Probabilities and cashflows together: Emit both in one fused solve, with solve-time cashflow views for grouping and valuation.
• Compute only what's needed: The solver reduces to states reachable from the initial state.
• Exact seeded starts: Initial point masses preserve per-individual starting duration d_0 exactly.
• Batch-first: Designed for 100K+ individuals in a single pass.

Documentation

See the documentation index for the public documentation set. For the full API contract, use the API specification. For a runnable walkthrough of the main workflow, see the example notebook. For a fitting-to-solver workflow with neural-network intensities, see the fitted neural-network notebook.

Namespace

The top-level jact namespace exposes the core types: jact.StateSpace, jact.Model, jact.InitialDistribution, jact.ModelResult, and jact.solve. Domain types live under two submodules:

• jact.cashflows for declarations and views (StateRate, TransitionLump, ScheduledEvent, Raw, Group, Total, ByState, ByKind).
• jact.probability for output reducers (StateProbability, DensityProbability, Density, PointMass, MarginalComponents, Full).

Advanced inspection types stay in private modules — for example jact.probability.StateCarry and jact.model.ReducedModel.

Installation

pip install jax jaxlib
pip install jact

For local development from this repository:

pip install -e '.[dev]'
pytest

The package uses a src/ layout, so editable install is the intended local workflow.

To run the example notebook with plotting support from a local checkout:

pip install -e '.[dev,notebook]'

Release checks

Before cutting a PyPI release:

rm -rf build dist src/*.egg-info
python -m build --no-isolation
python -m twine check dist/*
pytest -q

The tag-driven publish flow is documented in RELEASING.md.

Requirements

• Python >= 3.10
• JAX >= 0.4

License

Apache-2.0