Mixed linear-nonlinear state-space model. The delayed sampling feature of Birch results in a Rao--Blackwellized particle filter with locally-optimal proposal being applied to this model.
This package is open source software.
It is licensed under the Apache License, Version 2.0 (the "License"); you may not use it except in compliance with the License. You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0.
To build, use:
To run, use:
birch sample --config config/mixed_gaussian.json
F. Lindsten and T. B. Schön (2010). Identification of mixed linear/nonlinear state-space models. In 49th IEEE Conference on Decision and Control (CDC). 6377–6382.
L.M. Murray, D. Lundén, J. Kudlicka, D. Broman and T.B. Schön (2018). Delayed Sampling and Automatic Rao–Blackwellization of Probabilistic Programs. In Proceedings of the 21st International Conference on Artificial Intelligence and Statistics (AISTATS) 2018, Lanzarote, Spain.