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probml / dynamax

State Space Models library in JAX
https://probml.github.io/dynamax/
MIT License
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missing values? #301

Closed mcusi closed 1 year ago

mcusi commented 1 year ago

Is there a way to indicate that some observations in a sequence are missing? Thanks.

slinderman commented 1 year ago

Not currently, but we have discussed it in https://github.com/probml/dynamax/issues/99. In theory it's pretty straightforward to allow missing data -- we just make the corresponding emission potentials zero. The practical challenge was how to take gradients wrt model parameters with missing data (see issue above for more detail). I'll close this as a duplicate, but note that this is the second time in 2 weeks that someone has asked about missing data support, so we should make it happen!