Add a test for valid gradients of MLL in KF#212
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DanWaxman wants to merge 1 commit intostate-space-models:mainfrom
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Add a test for valid gradients of MLL in KF#212DanWaxman wants to merge 1 commit intostate-space-models:mainfrom
DanWaxman wants to merge 1 commit intostate-space-models:mainfrom
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This PR adds a simple LTI system and a filtering loop in test_kalman.py. These tests currently fail for `parallel=True` when evaluating score estimates w.r.t. F, chol_Q, H, and chol_R. These appear to be due to the `tria` calls in the corresponding `filter_operator`; adding diagonal jitters to these results in finite estimates.
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Covered by #213 using proper gradient tests with finite difference comparison. |
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This PR adds a simple LTI system and a filtering loop in test_kalman.py. These tests currently fail for
parallel=Truewhen evaluating score estimates w.r.t. F, chol_Q, H, and chol_R. These appear to be due to thetriacalls in the correspondingfilter_operator; adding diagonal jitters to these results in finite estimates.