Qiuliang Ye

tf.vectorized_map not compatible with LinearGaussianStateSpaceModel forward_filter?

3

Hi all, I have a batch of data and want to conduct the Kalman filter for each observation set. My data is `observations =(batch, num_time_lens, feature_dim)` so I use `tf.vectorized_map`...

Hi everyone, I found that the adaptive MCMC in tfp.MCMC is for HMC, is there any resource for Metropolis? For example, the [traditional one](https://people.eecs.berkeley.edu/~jordan/sail/readings/andrieu-thoms.pdf) that updates a running covariance?

Semi-definite Covariance Matrix For distributions

1

Hi all, recently I am dealing with state space model. For the transition equation x_t = Ax_{t-1} + W w_t, the w_t~N(0, I) is a multivariate normal distribution and W...