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Implement optimized closed-form gradients for Kalman Filter #332

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jessegrabowski opened this issue Apr 16, 2024 · 0 comments
Open

Implement optimized closed-form gradients for Kalman Filter #332

jessegrabowski opened this issue Apr 16, 2024 · 0 comments

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@jessegrabowski
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jessegrabowski commented Apr 16, 2024

I'm quite interested in the results of this paper. The authors derive closed-form gradients for backprop through Kalman Filters. Specifically equations 28-31.

They report a 38x speedup over autodiff gradients from PyTorch. I suspect (with no evidence) that the gradient computations are where the default PyMC sampler really fall down, so this might even make non-JAX sampling of SS models palatable.

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