allow nonlinear model callables to be time-indexed
murphyk opened this issue · 0 comments
murphyk commented
The hmm_fillter code allows the user to pass in a transition_function
that maps from time index t to a KxK transition matrix. We should add similar functionality to ekf_filter, which currently assumes the dynamics and emission functions are time-invariant (they depend only on the state and optionally the input).
As a unit test, you should reproduce the kf-linreg notebook, using a dynamics model of the form
f(z_{t-1}, u_t, t) = X_t * z_{t-1}
where X_t
is the t'th feature vector (of size D), and z_t
is the weight vector (of size D).
The input u_t
is ignored. This is therefore a time-varying linear gaussian system.