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Extended Kalman Filter (EKF) for non-conjugate LDS models #33

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slinderman opened this issue Mar 11, 2022 · 0 comments
Open

Extended Kalman Filter (EKF) for non-conjugate LDS models #33

slinderman opened this issue Mar 11, 2022 · 0 comments
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enhancement New feature or request good first issue Good for newcomers

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@slinderman
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Use jax.grad to implement a generic extended Kalman filter for linear dynamical systems with linear Gaussian dynamics and nonlinear/non-Gaussian emissions. See chapter 18.5 of Probabilistic Machine Learning by Murphy (2012).

To implement the EKF, we will need the unconstrained parameters of a model. See #32
@slinderman slinderman added enhancement New feature or request good first issue Good for newcomers labels Mar 11, 2022
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