/variational-smc

Reference implementation of variational sequential Monte Carlo proposed by Naesseth et al. "Variational Sequential Monte Carlo" (2018)

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Variational Sequential Monte Carlo

The repository contains code for the variational sequential Monte Carlo (VSMC) algorithm for approximate Bayesian inference:

Variational Sequential Monte Carlo.
Christian A. Naesseth, Scott W. Linderman, Rajesh Ranganath, and David M. Blei
Proceedings of the 21st International Conference on Artificial Intelligence and Statistics 2018,
Lanzarote, Spain.

Furthermore, it contains a simulation example (a linear Gaussian state space model) on how to use the VSMC module.