vblds

Variational Inference of Bayesian Linear Dynamical Systems

Variational inference and learning of a Bayesian linear dynamical system for data sequences. Runs a variational Bayesian EM algorithm. The expectation (E) step is completed by the fully Bayesian Kalman filter and smoother from

• J. Neri, R. Badeau, P. Depalle, "<a href="https://ieeexplore.ieee.org/abstract/document/9054206" target="_blank">Probabilistic Filter and Smoother for Variational Inference of Bayesian Linear Dynamical Systems</a>,", IEEE International Conference on Acoustics, Speech, and Signal Processing (ICASSP), pp. 5885-5889, Barcelona, Spain, 2020.