Parallel implementation of Kalman filters using JAX associative_scan

[AdrienCorenflos]

Hi all,

Thought I'd share this cool (obviously I'm gonna say that as I wrote the code :)) use of JAX:

https://github.com/EEA-sensors/sequential-parallelization-examples/
The code follows the paper "Temporal Parallelization of Bayesian smoothers" published this month in this month IEEE TAC issue.

Please check the announcement tweet:
https://twitter.com/simosarkka/status/1347521322486812675

[mattjj]

This is super cool, thanks for sharing! I used to work on Bayesian time series methods, so it warms my heart to see JAX supporting this kind of work!

[AdrienCorenflos]

Stay tuned then, we should have some more coming 😃