probml / dynamax

State Space Models library in JAX
https://probml.github.io/dynamax/
MIT License
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implement unscented particle filter using dynamax and blackjax #272

Open murphyk opened 1 year ago

murphyk commented 1 year ago

Use EKF and/or UKF from dynamax as proposal distributions for sequential monte carlo from Blackjax to implement approximate inference in nonlinear Gaussian SSMsM. For details, see sec 13.3.2 of https://probml.github.io/pml-book/book2.html