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Towards robust inference for Bayesian filtering of linear Gaussian dynamical systems subject to additive change

Reimann, HansUniversität Potsdam

… a computationally cheap solution via generalised Bayesian posteriors with a diffusion Stein divergence loss resulting in the diffusion score matching Kalman filter - a modified algorithm akin in complexity to the regular Kalman filter. For this new filter interpretations of novel terms, stability …

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