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Add general info form message passing algorithms for linear Gaussian SSMs #361

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slinderman opened this issue Apr 22, 2024 · 0 comments

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@slinderman
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The current versions of information form message passing for LGSSMs use a hybrid representation of dynamics parameters and information form emission parameters. It is often helpful to have routines that operate directly on the block tridiagonal precision matrix and the precision-weighted mean. Examples of such implementations are:

(I've also written information form samplers and smoothers in JAX, along the lines of the last two links.)

We should add similar inference routines to the LGSSM info inference code.

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