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Integrate SSMProblems & GeneralisedFilters with Turing.jl #2428

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Tracked by #2420
mhauru opened this issue Dec 5, 2024 · 1 comment
Open
Tracked by #2420

Integrate SSMProblems & GeneralisedFilters with Turing.jl #2428

mhauru opened this issue Dec 5, 2024 · 1 comment
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@mhauru
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mhauru commented Dec 5, 2024

TODO

Edit this issue with more details about what needs to be done

@mhauru mhauru added this to the Turing v1.0.0 milestone Dec 5, 2024
@yebai
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yebai commented Dec 9, 2024

We can likely use to_distribution(m::SSMProblem) to support linear Gaussian state-space models. For more general SSMs, we can look into to_sampleable(m::SSMProblem), which samples the latent states using a sampler in GeneralisedFilters—which can be viewed as a "submodel" but has its inference outsourced to GenerasedFilters instead of relying on MCMC on the tracing data structure VarInfo.

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