implement square root extended Kalman filter

murphyk opened this issue 2 years ago · 0 comments

murphyk commented 2 years ago

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.