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4 changes: 2 additions & 2 deletions docs/notebooks/linear_gaussian_ssm/lgssm_learning.ipynb
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Expand Up @@ -10,12 +10,12 @@
"\n",
"This notebook shows how to \"fit\" a linear Gaussian SSM — i.e., estimate the parameters and infer the latent states — using either expectation-maximization (EM) or stochastic gradient descent (SGD) on the negative log marginal likelihood of the data. \n",
"\n",
"Here, we work with simulate noisy data from an LG-SSM with known parameters, and then we see how well we can recover the true parameters and states given the observations. The model is,\n",
"Here, we work with simulated noisy data from an LG-SSM with known parameters, and then we see how well we can recover the true parameters and states given the observations. The model is,\n",
"\\begin{align*}\n",
"z_{t+1} \\mid z_t, \\theta &\\sim \\mathrm{N}(F z_t, Q) \\\\\n",
"y_t \\mid z_t, \\theta &\\sim \\mathrm{N}(H z_t, R)\n",
"\\end{align*}\n",
"where $z_{1:T}$ are the latent states, $y_{1:T}$ are the emissions, and $\\theta = (F, Q, H, R)$ are the model parameters. In particular, $F$ is the dynamics matrix and $H$ is the emission matrix. For our simulation, we use 2-dimensional latent states, $z_t \\in \\mathbb{R}^2$, and 10-dimensional emissions, $y_t \\in \\mathbb{R}^10$. \n",
"where $z_{1:T}$ are the latent states, $y_{1:T}$ are the emissions, and $\\theta = (F, Q, H, R)$ are the model parameters. In particular, $F$ is the dynamics matrix and $H$ is the emission matrix. For our simulation, we use 2-dimensional latent states, $z_t \\in \\mathbb{R}^2$, and 10-dimensional emissions, $y_t \\in \\mathbb{R}^{10}$. \n",
"\n",
"We fit the model to estimate parameters, $\\hat{\\theta}$, using either EM or SGD, as shown below. Once we have estimated the paraemeters, we can also infer the latent states given those parameters.\n"
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