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@mschauer
mschauer / kalman.jl
Created September 4, 2020 12:30
Differentiable Kalman filter
using GaussianDistributions
using GaussianDistributions: correct, ⊕
using LinearAlgebra
using Statistics
lchol(a) = cholesky(a).L
llikelihood(yres, S) = GaussianDistributions.logpdf(Gaussian(zero(yres), Symmetric(S)), yres)