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Sequential Monte Carlo for generic SSMs #35

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slinderman opened this issue Mar 11, 2022 · 0 comments
Open

Sequential Monte Carlo for generic SSMs #35

slinderman opened this issue Mar 11, 2022 · 0 comments
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@slinderman @andrewwarrington @schlagercollin
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enhancement New feature or request

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@slinderman
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Implement generic SMC algorithm to sample the latent states of a generic SSM. @andrewwarrington already has a working prototype, it just needs to be polished and rolled into main.

See chapter 23.5 of Probabilistic Machine Learning by Murphy (2012).
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@schlagercollin schlagercollin

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@slinderman @andrewwarrington @schlagercollin