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implement square root extended Kalman filter #279

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murphyk opened this issue Nov 14, 2022 · 0 comments

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murphyk commented Nov 14, 2022

See also this existing JAX implementation https://github.com/EEA-sensors/sqrt-parallel-smoothers.
It should be easy to port this to https://github.com/probml/dynamax/blob/main/dynamax/nonlinear_gaussian_ssm/inference_ekf.py.

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