Levy SSM inference using Particle Gibbs #94
Conversation
Pull Request Test Coverage Report for Build 7173173446
💛 - Coveralls |
![github-actions[bot]](https://avatars.githubusercontent.com/in/15368?s=60&v=4){kind=small}
Codecov ReportAll modified and coverable lines are covered by tests ✅
Additional details and impacted files@@ Coverage Diff @@
## master #94 +/- ##
==========================================
- Coverage 96.09% 95.60% -0.49%
==========================================
Files 8 8
Lines 410 410
==========================================
- Hits 394 392 -2
- Misses 16 18 +2 ☔ View full report in Codecov by Sentry. |
| return MixedState( | ||
| rand(rng, MultivariateNormal(exp(dyn, dt) * state.x + μ, Σ)), path | ||
| ) |
There was a problem hiding this comment.
Can't we just mutate the state instead ?
There was a problem hiding this comment.
That works in a purely filtering context, but if you then want to apply smoothing, you need all of the historic states saved, so mutating isn't an option.
I think this clunkiness is best solved by modifying AdvancedPS.jl to expect a sample to be returned rather than a distribution. I only wrote it this way to maintain compatibility.
|
I think this is as far as we can go with this commit with making substantial changes to AdvancedPS.jl — specifically, changing AdvancedPS.jl to expect a sample to be return by the transition function rather than a distribution. My feeling is that this is at a good point to merge. @yebai @FredericWantiez?
|
| path = simulate(model.θ.process, dt, s, t, ϵ) | ||
| μ, Σ = meancov(t, model.θ.dyn, path, model.θ.nvm) | ||
| Σ += 1e-6 * I | ||
| return logpdf(MultivariateNormal(exp(dyn, dt) * state.x + μ, Σ), state.x) |
There was a problem hiding this comment.
We're not using state ? Looks like should be something like:
let model = td.model, s = td.s, t = td.t, prev_state = td.current_state
...
return logpdf(MultivariateNormal(exp(dyn, dt) * prev_state.x + μ, Σ), state.x)
end
|
Apologies for making it a mess, but that's how it would look like with |
An example implementation of the Levy State Space Model (Godsill et al. 2020). Simulation of the driving Levy process is performed using the generalised shot noise formulation.