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shachen / PLDS

The Penalized Linear Dynamical System Project
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step 0 in Appendix is wrong? #35

Closed jovo closed 9 years ago

jovo commented 9 years ago

i don't think they are the actual expectations, for one, they are conditional on the estimates of the parameters. they are approximations.

shachen commented 9 years ago

In the standard Kalman Filter/Smoother, the parameters A & C are known, so it is safe to write the actual expectations. In our case, those are not actual expectations and we have explained this in the context. Here we are providing only the standard KFS, so it should be fine?