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  65. State Space Models: A Modern Approach
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  72. State Space Models
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  79. <ul>
  80. <li class="toctree-l2">
  81. <a class="reference internal" href="chapters/ssm/ssm_intro.html">
  82. What are State Space Models?
  83. </a>
  84. </li>
  85. <li class="toctree-l2">
  86. <a class="reference internal" href="chapters/ssm/hmm.html">
  87. Hidden Markov Models
  88. </a>
  89. </li>
  90. <li class="toctree-l2">
  91. <a class="reference internal" href="chapters/ssm/lds.html">
  92. Linear Gaussian SSMs
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  94. </li>
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  96. <a class="reference internal" href="chapters/ssm/nlds.html">
  97. Nonlinear Gaussian SSMs
  98. </a>
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  100. <li class="toctree-l2">
  101. <a class="reference internal" href="chapters/ssm/inference.html">
  102. States estimation (inference)
  103. </a>
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  106. <a class="reference internal" href="chapters/ssm/learning.html">
  107. Parameter estimation (learning)
  108. </a>
  109. </li>
  110. </ul>
  111. </li>
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  113. <a class="reference internal" href="chapters/hmm/hmm_index.html">
  114. Hidden Markov Models
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  121. <ul>
  122. <li class="toctree-l2">
  123. <a class="reference internal" href="chapters/hmm/hmm_filter.html">
  124. HMM filtering (forwards algorithm)
  125. </a>
  126. </li>
  127. <li class="toctree-l2">
  128. <a class="reference internal" href="chapters/hmm/hmm_smoother.html">
  129. HMM smoothing (forwards-backwards algorithm)
  130. </a>
  131. </li>
  132. <li class="toctree-l2">
  133. <a class="reference internal" href="chapters/hmm/hmm_viterbi.html">
  134. Viterbi algorithm
  135. </a>
  136. </li>
  137. <li class="toctree-l2">
  138. <a class="reference internal" href="chapters/hmm/hmm_parallel.html">
  139. Parallel HMM smoothing
  140. </a>
  141. </li>
  142. <li class="toctree-l2">
  143. <a class="reference internal" href="chapters/hmm/hmm_sampling.html">
  144. Forwards-filtering backwards-sampling algorithm
  145. </a>
  146. </li>
  147. </ul>
  148. </li>
  149. <li class="toctree-l1 has-children">
  150. <a class="reference internal" href="chapters/lgssm/lgssm_index.html">
  151. Linear-Gaussian SSMs
  152. </a>
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  158. <ul>
  159. <li class="toctree-l2">
  160. <a class="reference internal" href="chapters/lgssm/kalman_filter.html">
  161. Kalman filtering
  162. </a>
  163. </li>
  164. <li class="toctree-l2">
  165. <a class="reference internal" href="chapters/lgssm/kalman_smoother.html">
  166. Kalman (RTS) smoother
  167. </a>
  168. </li>
  169. <li class="toctree-l2">
  170. <a class="reference internal" href="chapters/lgssm/kalman_parallel.html">
  171. Parallel Kalman Smoother
  172. </a>
  173. </li>
  174. <li class="toctree-l2">
  175. <a class="reference internal" href="chapters/lgssm/kalman_sampling.html">
  176. Forwards-filtering backwards sampling
  177. </a>
  178. </li>
  179. </ul>
  180. </li>
  181. <li class="toctree-l1 has-children">
  182. <a class="reference internal" href="chapters/extended/extended_index.html">
  183. Extended (linearized) methods
  184. </a>
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  191. <li class="toctree-l2">
  192. <a class="reference internal" href="chapters/extended/extended_filter.html">
  193. Extended Kalman filtering
  194. </a>
  195. </li>
  196. <li class="toctree-l2">
  197. <a class="reference internal" href="chapters/extended/extended_smoother.html">
  198. Extended Kalman smoother
  199. </a>
  200. </li>
  201. <li class="toctree-l2">
  202. <a class="reference internal" href="chapters/extended/extended_parallel.html">
  203. Parallel extended Kalman smoothing
  204. </a>
  205. </li>
  206. </ul>
  207. </li>
  208. <li class="toctree-l1 has-children">
  209. <a class="reference internal" href="chapters/unscented/unscented_index.html">
  210. Unscented methods
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  218. <li class="toctree-l2">
  219. <a class="reference internal" href="chapters/unscented/unscented_filter.html">
  220. Unscented filtering
  221. </a>
  222. </li>
  223. <li class="toctree-l2">
  224. <a class="reference internal" href="chapters/unscented/unscented_smoother.html">
  225. Unscented smoothing
  226. </a>
  227. </li>
  228. </ul>
  229. </li>
  230. <li class="toctree-l1">
  231. <a class="reference internal" href="chapters/quadrature/quadrature_index.html">
  232. Quadrature and cubature methods
  233. </a>
  234. </li>
  235. <li class="toctree-l1">
  236. <a class="reference internal" href="chapters/postlin/postlin_index.html">
  237. Posterior linearization
  238. </a>
  239. </li>
  240. <li class="toctree-l1">
  241. <a class="reference internal" href="chapters/adf/adf_index.html">
  242. Assumed Density Filtering
  243. </a>
  244. </li>
  245. <li class="toctree-l1">
  246. <a class="reference internal" href="chapters/vi/vi_index.html">
  247. Variational inference
  248. </a>
  249. </li>
  250. <li class="toctree-l1">
  251. <a class="reference internal" href="chapters/pf/pf_index.html">
  252. Particle filtering
  253. </a>
  254. </li>
  255. <li class="toctree-l1">
  256. <a class="reference internal" href="chapters/smc/smc_index.html">
  257. Sequential Monte Carlo
  258. </a>
  259. </li>
  260. <li class="toctree-l1">
  261. <a class="reference internal" href="chapters/learning/learning_index.html">
  262. Offline parameter estimation (learning)
  263. </a>
  264. </li>
  265. <li class="toctree-l1">
  266. <a class="reference internal" href="chapters/tracking/tracking_index.html">
  267. Multi-target tracking
  268. </a>
  269. </li>
  270. <li class="toctree-l1">
  271. <a class="reference internal" href="chapters/ensemble/ensemble_index.html">
  272. Data assimilation using Ensemble Kalman filter
  273. </a>
  274. </li>
  275. <li class="toctree-l1">
  276. <a class="reference internal" href="chapters/bnp/bnp_index.html">
  277. Bayesian non-parametric SSMs
  278. </a>
  279. </li>
  280. <li class="toctree-l1">
  281. <a class="reference internal" href="chapters/changepoint/changepoint_index.html">
  282. Changepoint detection
  283. </a>
  284. </li>
  285. <li class="toctree-l1">
  286. <a class="reference internal" href="chapters/timeseries/timeseries_index.html">
  287. Timeseries forecasting
  288. </a>
  289. </li>
  290. <li class="toctree-l1">
  291. <a class="reference internal" href="chapters/gp/gp_index.html">
  292. Markovian Gaussian processes
  293. </a>
  294. </li>
  295. <li class="toctree-l1">
  296. <a class="reference internal" href="chapters/ode/ode_index.html">
  297. Differential equations and SSMs
  298. </a>
  299. </li>
  300. <li class="toctree-l1">
  301. <a class="reference internal" href="chapters/control/control_index.html">
  302. Optimal control
  303. </a>
  304. </li>
  305. <li class="toctree-l1">
  306. <a class="reference internal" href="bib.html">
  307. Bibliography
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