Parallel implementation of Kalman filters using JAX associative_scan #5353
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AdrienCorenflos
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This is super cool, thanks for sharing! I used to work on Bayesian time series methods, so it warms my heart to see JAX supporting this kind of work! |
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Stay tuned then, we should have some more coming 😃 |
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Hi all,
Thought I'd share this cool (obviously I'm gonna say that as I wrote the code :)) use of JAX:
https://github.com/EEA-sensors/sequential-parallelization-examples/
The code follows the paper "Temporal Parallelization of Bayesian smoothers" published this month in this month IEEE TAC issue.
Please check the announcement tweet:
https://twitter.com/simosarkka/status/1347521322486812675
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