Fast Kalman Filter with Sketch
Apply sketch technique on large scale Kalman filter. Data sketch method includes ramdom sampling, JL transform, count sketch, adaptive censoring sketch. Also a sketch projection method is included to speed up generate Kalman gain. Right now, we are using synthetic data to test those methods's performance. Some interesting application may come soon.
Check this notebook for the performance of different fast Kalman filter's performance ! Or you may check this folder for different performance and running time of different Kalman filter separately.