Author: Ying-zong Huang Originally for 6.438 Algorithms for Estimation and Inference https://stellar.mit.edu/S/course/6/fa07/6.438/materials.html

Files

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kalman_filter.m (lab - text - 1 k)
DT Kalman Filter

rts.m (lab - text - 1 k)
RTS algorithm

forward_backward.m (lab - text - 579 bytes)
Two-pass alpha-beta algorithm for discrete state HMMs

hmm_viterbi.m (lab - text - 714 bytes)
Viterbi algorithm for best state path estimation on HMMs

baum_welch.m (lab - text - 1 k)
Baum-Welch algorithm

ekf.m (lab - text - 1 k)
DT extended Kalman filter

particle_filter.m (lab - text - 1 k)
Particle filter for Gaussian noise system

grid_bp.m (lab - text - 3 k)
Loopy BP algorithm for a discrete state 2D grid graph