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fangyuan-ksgk/Conditional-Particle-Filter

This repository provides a package that allows the implementation of Conditional Particle Filter easily. Conditional Particle Filter can be viewed as an MCMC method with invariant distribution as the smoothing distribution of a partially observed diffusion model.

conditional-particle-filterfiltering-problemsmcmc-methods

Python Package for Conditional Particle Filter

  1. For usage see the example notebook file.
  2. This package is designed for implementation of Conditional Particle Filter on multi-dimensional partially observed diffusion process.
  3. require package: torch, numpy

@ksgk_fangyuan

Languages

Jupyter Notebook97.2%Python2.8%

Contributors

FA
MIT License
Created March 14, 2021
Updated June 7, 2021