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updated 1 year ago

Hierarchical Kalman Filter for clinical time series prediction by Shuang Wang

It is an implementation of hierarchical (a.k.a. multi-scale) Kalman filter using belief propagation. (belief propagation, bp, message passing)

EMConvergence(msg, varNode, ts_data, numLevels)

EMForMultiScaleKalmanFilter(msg, varNode, belief, ts_data...

GaussianDivision(G1, G2)

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updated 1 year ago

Implementations of Kalman Filter using both message passing algorithm and standard matrix operations by Shuang Wang

This is a demo of using message passing algorithm (belief propagation) to implement Kalman Filter. (kalman filter, belief propagation, message passing)

GaussianMultiply(G1, G2)


initializeMessage(T, mu_0, V_0, d_x, y, B, V_W)

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