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probml / JSL

Jax SSM Library
MIT License
50 stars 13 forks source link

Fix: kalman_filter.py, linreg_kf.py #50

Closed gerdm closed 2 years ago

gerdm commented 2 years ago
review-notebook-app[bot] commented 2 years ago

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murphyk commented 2 years ago

This looks clunky

b = inv(Sigma0) @ mu0 + X.T @ y / R.item()

What is R.item()? Also, I shudder when I see inv. If Sigma0 is diagonal, maybe write jnp.diag(1/diag(Sigma0)) or something like that?

Meanwhile I will merge this so the rest of the codebase runs.