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Refactor KalmanFilter class as OpFromGraph #406

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jessegrabowski opened this issue Dec 26, 2024 · 0 comments
Open

Refactor KalmanFilter class as OpFromGraph #406

jessegrabowski opened this issue Dec 26, 2024 · 0 comments
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enhancements New feature or request statespace

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jessegrabowski commented Dec 26, 2024

The most requested feature for the statespace module is to handle multiple time series in a single MCMC run. This will require support for batch dimensions. I think the easiest way to attack this will be to refactor the KalmanFilter class to be an OpFromGraph. My original class-based design was inspired by the statsmodels implementation, but it doesn't take full advantage of pytensor.

An additional advantage of this will be the ability to define a custom gradient. See #332.

Finally, it will let us handle special case filters via rewrites, rather than asking the user to pick a filter up front.

@jessegrabowski jessegrabowski added enhancements New feature or request statespace labels Dec 26, 2024
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