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SSMProblems.jl\n\n[![Code Style: Blue](https://img.shields.io/badge/code%20style-blue-4495d1.svg)](https://github.com/invenia/BlueStyle)\n[![Aqua QA](https://raw.githubusercontent.com/JuliaTesting/Aqua.jl/master/badge.svg)](https://github.com/JuliaTesting/Aqua.jl)\n\u003c!--[![Build Status](https://github.com/TuringLang/SSMProblems.jl/workflows/CI/badge.svg?branch=master)](https://github.com/TuringLang/SSMProblems.jl/actions?query=workflow%3ACI%20branch%3Amaster) --\u003e\n\n|           Package            |                                                                                                                                                    Docs                                                                                                                                                    |\n| :--------------------------: | :--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------: |\n|   SSMProblems   |   [![Dev](https://img.shields.io/badge/docs-dev-blue.svg)](https://turinglang.org/SSMProblems.jl/SSMProblems/dev/)        |\n| GeneralisedFilters | [![Dev](https://img.shields.io/badge/docs-dev-blue.svg)](https://turinglang.org/SSMProblems.jl/GeneralisedFilters/dev/)|\n\nA minimalist framework to define state space models (SSMs) and their associated\nlog-densities to feed into inference algorithms.\n\n\n## Talk at [LAFI 2025](https://popl25.sigplan.org/details/lafi-2025/11/State-Space-Model-Programming-in-Turing-jl)\n\n[PDF Slides](https://github.com/user-attachments/files/20160397/LAFI_2025_Presentation.pdf)\n\n[![State space programming](http://i3.ytimg.com/vi/58DsScclqGU/hqdefault.jpg)](https://www.youtube.com/watch?v=58DsScclqGU\n)\n\n\n## Basic interface\n\nThis package defines the basic interface needed to run inference on state space\nas the following:\n\n```julia\n# Wrapper for model dynamics and observation process\nabstract type LatentDynamics end\nabstract type ObservationDynamics end\n\n# Define the initialisation/transition distribution for the latent dynamics\nfunction distribution(dyn::LatentDynamics, ...) end\n\n# Define the observation distribution\nfunction distribution(obs::ObservationProcess, ...) end\n\n# Combine the latent dynamics and observation process to form a SSM\nmodel = StateSpaceModel(dyn, obs)\n```\n\nFor specific details on the interface, please refer to the package [documentation](https://turinglang.github.io/SSMProblems.jl/dev).\n\n## Linear Gaussian State Space Model\n\nAs a concrete example, the following snippet of pseudo-code defines a linear\nGaussian state space model. Note the inclusion of the `extra` parameter in each\nmethod definition. This is a key feature of the SSMProblems interface which\nallows for the definition of more complex models in a performant fashion,\nexplained in more details in the package documentation.\n\n```julia\nusing SSMProblems, Distributions\n\n# Model parameters\nsig_u, sig_v  = 0.1, 0.2\n\nstruct LinearGaussianLatentDynamics \u003c: LatentDynamics end\n\n# Initialisation distribution\nfunction distribution(dyn::LinearGaussianLatentDynamics, extra::Nothing)\n    return Normal(0.0, sig_u)\nend\n\n# Transition distribution\nfunction distribution(\n    dyn::LinearGaussianLatentDynamics,\n    step::Int,\n    state::Float64,\n    extra::Nothing\n)\n    return Normal(state, sig_u)\nend\n\nstruct LinearGaussianObservationProcess \u003c: ObservationProcess end\n\n# Observation distribution\nfunction distribution(\n    obs::LinearGaussianObservationProcess,\n    step::Int,\n    state::Float64,\n    extra::Nothing\n)\n    return Normal(state, sig_v)\nend\n```\n","project_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2FTuringLang%2FSSMProblems.jl","html_url":"https://awesome.ecosyste.ms/projects/github.com%2FTuringLang%2FSSMProblems.jl","lists_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2FTuringLang%2FSSMProblems.jl/lists"}