Comments (6)
I like the simplification, both in code and in concepts! Great suggestion!
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Hi,
I see that you have been implementing UKF, EKF etc as fully different methods.
I have done some work of coding this in a more general fashion here: https://github.com/EEA-sensors/sqrt-parallel-smoothers/tree/main/parsmooth/linearization
It follows the "generalised statistical linear regression" formulation. See this for example: https://scholar.google.fi/citations?view_op=view_citation&hl=sv&user=q0rtB0EAAAAJ&citation_for_view=q0rtB0EAAAAJ:IjCSPb-OGe4C
Doing it in a similar fashion would IMO reduce boilerplate and allow for more precise testing than with fully independent implementations. WDYT?
The idea is fairly simple: if you have a model
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Hi Adrien! Thank you for your comment,
That's a great idea; we've an nlgssm
folder that contains models and tests common to all non-linear Gaussian ssms, which has been ever-growing precisely because of the commonality that you mentioned.
Factoring out all but the linearization method is a great idea, @murphyk WDYT?
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Hi @AdrienCorenflos . I totally agree. I have actually rewritten my book chapter on SSM inference to use this more abstract formulation, and I think we should refactor the code to follow suit, since it is much more modular and elegant.
Here is the description of Kalman filtering in my new notation:
Here is the corresponding version for EKF
and finally the method you mentioned, which works with exponential family likelihoods using generalized statistical linear regression:
I will upload a new version of my full book shortly, which has all the details ;)
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I just uploaded the latest version of the book to https://github.com/probml/pml2-book/releases/tag/2022-07-13.
Please see sec 8.3-8.8 - I would love feedback.
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I think we can close this now that we've merged Peter's code.
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