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Filtering
ssm_jax/lgssm/info_inference.py
contains code for kalman filtering in information form.The implementation more-or-less mirrors the filtering in
lgssm.inference
with_predict()
and_condition_on()
changed to accept and return precision (Lambda
) and precision-weighted mean (eta
).Tests
ssm_jax/lgssm_info_inference.py
contains tests which compare the output oflgssm.info_inference.lgssm_info_filter
tolgssm.inference.lgssm_filter
. There are currently two tests:test_info_kalman_filter
- simple test with stationary system.test_info_kf_linreg
- uses the example inlgssm/demos/kf_linreg.py
to test non-stationary parameters.