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probml / JSL

Jax SSM Library
MIT License
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Fix and refactor Kalman filter #39

Closed gerdm closed 2 years ago

gerdm commented 2 years ago

Closes #38

Squash the Kalman filter bugs:

  1. The transition matrix was being used in place of the latent noise
  2. R was multiplied element-wise with K (This was solved before)
  3. Refactor code: both kalman_step and smoother_step now live as standalone functions.