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Guiding function for H,F parametrization #53

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frankschae opened this issue Mar 29, 2021 · 1 comment
Open

Guiding function for H,F parametrization #53

frankschae opened this issue Mar 29, 2021 · 1 comment

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@frankschae
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#48 implemented the information filter (H,F parametrization). We still need to add the associated guiding functions in this parametrization and finish the convert functions to convert messages between the H,F and the \nu,P parametrization.

@fmeulen
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fmeulen commented Apr 12, 2021

Maybe compare also to solve_and_ll! in https://github.com/JuliaDiffusionBayes/GuidedProposals.jl/blob/master/src/log_likelihood.jl

and ∇logρ(i, x, P::HFcSolver{:outofplace}) = F(P, i) - H(P, i)*x
as in https://github.com/JuliaDiffusionBayes/GuidedProposals.jl/blob/master/src/ode_solver_hfc.jl
where H is now called Gamma. So the guiding term becomes like
outer(g) * (F-Gamma*x)

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