* Initial commit * Readme * Project * Prototype design. (#2) * prototype * Update SSMProblems.jl * add logM (#3) * Convert example into docstring. * Move `logM`. --------- Co-authored-by: FredericWantiez <frederic.wantiez@gmail.com> * export * example * Fred/ancestor (#5) * Gibbs * Add ancestor resampling * Better names * Clean up package (#6) * Gibbs * Setup github * Update Readme * Docs * GH actions * Format * Upgrade node * Use GH token * Fix links * Clean up * Write a proper example implementation (#7) * SMC * remove old file * Fix types * Apply suggestions from code review Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> --------- Co-authored-by: Hong Ge <3279477+yebai@users.noreply.github.com> Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> * Some minor changes (#8) * use recommended style for interface methods * minor changes to example * Update smc.jl * Update smc.jl --------- Co-authored-by: Hong Ge <3279477+yebai@users.noreply.github.com> * Particle filter example bug fix and refactoring (#10) * fix: corrected observation generation for particle filter example * refactor: tidied particle filter example code - Removed recursive particle show method which flooded REPL - Removed redundant resampling logic - Replaced variance with std in Normal() calls - Tidied final scatter plot * Updated formatting for named argument Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> * fix: corrected flipped noise standard deviations --------- Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> * Fix format action (#13) * Fix docs action (#12) * Fix docs action * Add DOCUMENTER_KEY * Use julia-docdeploy action * Show link to docs preview (#15) * Update documentation (#16) * Add details to doc * Fix source * Typo * Update SSM Interface * Fix linearize bug * Interface * Format * Trying things * Fix transition!! * Format * Fix doc * Helper * Format * Forget about particles * Optional timestep * Add utils * Apply suggestions from code review Co-authored-by: David Widmann <devmotion@users.noreply.github.com> * Utils module --------- Co-authored-by: David Widmann <devmotion@users.noreply.github.com> * Update README.md (#17) * Update README.md * Update README.md * Update README.md * Update README.md * Update README.md * Update README.md * Update README.md * Update index.md * Update documentation to match new interface (#18) * Update documentation to match new interface * Update index.md --------- Co-authored-by: Hong Ge <3279477+yebai@users.noreply.github.com> * Build examples with doc (#19) * Build examples with doc * Reduce size of plot * Colors * Size option * Increase size per page * Update README.md * Update Project.toml * Modify SSMProblems to work with AbstractMCMC interface (#22) * Update documentation to match new interface * Incorporate SSMProblems into AbstractMCMC * Update Project.toml (#24) * Update Project.toml * Update make.jl --------- Co-authored-by: Hong Ge <3279477+yebai@users.noreply.github.com> * Add Kalman filter example (#26) * Add Kalman filter example * Fix formatting issues * Add literate for docs * add missing deps * Comments for literate * Format * Use `Gaussian` (#28) * Format, use `Gaussian` * Fix the maths * Format * Tweaks * Update script.jl * Update script.jl --------- Co-authored-by: Hong Ge <3279477+yebai@users.noreply.github.com> * Update Project.toml --------- Co-authored-by: FredericWantiez <frederic.wantiez@gmail.com> Co-authored-by: Hong Ge <hg344@cam.ac.uk> Co-authored-by: Hong Ge <3279477+yebai@users.noreply.github.com> * Update script.jl * Update script.jl * Create DocsNav.yml * Add example script for PMMH (#37) * Add example script for PMMH * Add Literate.jl * Update script.jl * Update script.jl * Update DocsNav.yml * Update SSMProblems.jl interface (#38) * Add split dynamics/observation interface with "extra" variables * Add utilities for forward simulation and distribution definitions * Removed redundant particle container code * Update naming convention for initialisation log-density Co-authored-by: Hong Ge <3279477+yebai@users.noreply.github.com> * Update initialisation naming Co-authored-by: Hong Ge <3279477+yebai@users.noreply.github.com> * Update naming convention Co-authored-by: Hong Ge <3279477+yebai@users.noreply.github.com> * Change sampler to AbstractMCMC Co-authored-by: Hong Ge <3279477+yebai@users.noreply.github.com> * Add section heading for SSM Co-authored-by: Hong Ge <3279477+yebai@users.noreply.github.com> * Remove redundant method check * Correct dependencies * Revert to positional arguments * Correct forward simulation element type * Update Kalman filter example to new interface * Fix formatting issue * Add missing import Co-authored-by: Charles Knipp <32943413+charlesknipp@users.noreply.github.com> * Add default rngs to samplers through macro * Remove unnecessary section heading * Add missing dependency * Tidied Kalman filter example * Update documentation main page * Fully document Kalman filter example * Remove outdated examples * Add documentation for extra argument * Apply suggestions from code review * Update script.jl * Update examples/kalman-filter/script.jl Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> * Update script.jl * Remove PMMH (until new API) * Remove ref to 'Utils' * Fix broken link * Remove default RNG macro * Simplify interface methods * Correct old function names * Add parametric type to Kalman filter * Update main doc page * Update README * Make parameter order consistent --------- Co-authored-by: Hong Ge <3279477+yebai@users.noreply.github.com> Co-authored-by: Charles Knipp <32943413+charlesknipp@users.noreply.github.com> Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> Co-authored-by: FredericWantiez <frederic.wantiez@gmail.com> * Minor tweaks and typo fixes (#41) * Update index.md * Update index.md * Update Project.toml * Suppress output in example script --------- Co-authored-by: THargreaves <tim.hargreaves@icloud.com> * Split method definitions to avoid docstring overwriting (#42) * Function docstring formatting (#45) * added TagBot & CompatHelper workflows (#47) * added TagBot & CompatHelper workflows * using existing Documenter Key for CompatHelper * CompatHelper: add new compat entry for Distributions at version 0.25, (keep existing compat) (#48) Co-authored-by: CompatHelper Julia <compathelper_noreply@julialang.org> * Update DocsPreviewCleanup.yml * TagBot Permission Issue fixed (#50) * Add DOCUMENTER_KEY to Docs workflow (#52) * Update DocsPreviewCleanup.yml * Correct type signature for forward simulation method * Alignment of obs/dyn time steps and refactored forward simulation (#55) * Update interface documentation to align dyn/obs time steps * Refactor forward simulation, add type parameters, add unit test * Add type parameters to docstrings * Update kalman example * Add extra for initialisation and simplify obs type parameter * Bump minor version * Update unit tests to match aligned interface * Fix code comment rendering * Interface Changes for Use in Filtering (#56) * added basic particle methods and filters * added qualifiers * added parameter priors * added adaptive resampling to bootstrap filter (WIP) * Julia fomatter changes Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> * changed eltype for <: StateSpaceModel * updated naming conventions * formatter * fixed adaptive resampling * added particle ancestry * formatter issues * fixed metropolis and added rejection resampler * Keep track of free indices using stack * updated particle types and organized directory * weakened SSM type parameter assertions * improved particle state containment and resampling * added hacky sparse ancestry to example * fixed RNG in rejection resampling * improved callbacks and resamplers * formatting * added conditional SMC * improved linear model type structure * formatter * replaced extra with kwargs * formatter * migrated filtering code * Add unittests for new interface * Update documentation to match kwargs * Rename extras/kwargs docs file * remove redundant forward simulations --------- Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> Co-authored-by: Tim Hargreaves <tim.hargreaves@icloud.com> * Bump 0.4.0 (#58) * Update docs to match kwargs interface * Add method definitions for batch simulation/log-densities * Bump minor version * Correct docstring overwriting for batch methods * Update type parameters to contain both arithmetic and element type * Correct docstring indentations * Correct RBPF forward simulation * Documentation and Turing Navigation CI improvement (#61) * Update Docs.yml * Update DocsNav.yml * No need of deploydocs() after using new Docs & DocsNav workflows * Remove research files from repository * removed SSMProblems README, LICENSE, GHA workflow, JULIAFORMATTER in favor of merger * SSMProblems: added missing docstring to avoid documentation failure * added pkg_path in Docs workflow to fix package development --------- Co-authored-by: Hong Ge <3279477+yebai@users.noreply.github.com> Co-authored-by: FredericWantiez <frederic.wantiez@gmail.com> Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> Co-authored-by: Tor Erlend Fjelde <tor.erlend95@gmail.com> Co-authored-by: Tim Hargreaves <38204689+THargreaves@users.noreply.github.com> Co-authored-by: David Widmann <devmotion@users.noreply.github.com> Co-authored-by: Hong Ge <hg344@cam.ac.uk> Co-authored-by: Charles Knipp <32943413+charlesknipp@users.noreply.github.com> Co-authored-by: THargreaves <tim.hargreaves@icloud.com> Co-authored-by: Will Tebbutt <willtebbutt00@gmail.com> Co-authored-by: CompatHelper Julia <compathelper_noreply@julialang.org> Co-authored-by: Penelope Yong <penelopeysm@gmail.com>

Uh oh!

Create an example using static arrays #45

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