Local filters based on Bayesian quadrature
Project description
SSM Toybox
Python 3 implementation of the nonlinear sigma-point filters based on Bayesian quadrature, such as
- Gaussian Process Quadrature Kalman Filter [1]
- Student's t-Process Quadrature Kalman Filter [2]
Included are also the well-known classical nonlinear Kalman filters such as:
- Extended Kalman Filter
- Unscented Kalman Filter
- Cubature Kalman Filter
- Gauss-Hermite Kalman Filter
Build documentation
cd docs
sphinx-apidoc -o ./ ../ssmtoybox ../ssmtoybox/tests
make html
Why toybox?
Because 'toolbox' sounds too serious :-).
References
[1]: [DOI | PDF] Prüher, J. and Straka, O. Gaussian Process Quadrature Moment Transform, IEEE Transactions on Automatic Control, 2017
[2]: [DOI | PDF] Prüher, J.; Tronarp, F.; Karvonen, T.; Särkkä, S. and Straka, O. Student-t Process Quadratures for Filtering of Non-linear Systems with Heavy-tailed Noise, 20th International Conference on Information Fusion (Fusion), 1-8, 2017
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