Rao-Blackwellized PSAEM


This code is written by Andreas Svensson and it is available from his web site.

Relevant paper

Andreas Svensson, Thomas B. Schön and Fredrik Lindsten. Identification of jump Markov linear models using particle filters. In Proceedings of the 53rd IEEE Conference on Decision and Control (CDC), Los Angeles, CA, USA, December, 2014. [pdf]

 © Thomas Schön 2022