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Kalman Filter Optimizer #355

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Kalman Filter Optimizer #355

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Leo-VK
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@Leo-VK Leo-VK commented Sep 22, 2020

This is what I implemented so far concerning the kalman filter with the least squares loss. Note that I did not externalize the hessian calculation to the losses.py module yet, since the we do not need to assemble the hessian directly if the shermann-morrison formula is used.
Things that still need consideration are:

  • Efficient implementation for general losses
  • Neat integration/consistent signature for _update_after_pred

@Leo-VK Leo-VK changed the title Kalman Filter Optimizer Draft: Kalman Filter Optimizer Sep 22, 2020
@Leo-VK Leo-VK changed the title Draft: Kalman Filter Optimizer Kalman Filter Optimizer Sep 26, 2020
@MaxHalford MaxHalford closed this Mar 16, 2021
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