Parallel Non Linear Gaussian Smoothers

Companion code in JAX for the paper Parallel Iterated Extended and Sigma-Point Kalman Smoothers.
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Parallel Non Linear Gaussian Smoothers13
2 years agomitJupyter Notebook
Companion code in JAX for the paper Parallel Iterated Extended and Sigma-Point Kalman Smoothers.
Sqrt Parallel Smoothers5
2 years ago2mitJupyter Notebook
A generic library for linear and non-linear Gaussian smoothing problems. The code leverages JAX and implements several linearization algorithms, both in a sequential and parallel fashion, as well as efficient gradient rules for computing gradients of required quantities (such as the pseudo-loglikelihood of the system).
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