https://github.com/schmidtjonathan/rrkf.jl

The Rank-Reduced Kalman Filter: Approximate Dynamical-Low-Rank Filtering In High Dimensions
https://github.com/schmidtjonathan/rrkf.jl

Last synced: about 1 year ago
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The Rank-Reduced Kalman Filter: Approximate Dynamical-Low-Rank Filtering In High Dimensions

• Host: GitHub
• URL: https://github.com/schmidtjonathan/rrkf.jl
• Owner: schmidtjonathan
• Created: 2023-06-09T12:44:25.000Z (about 3 years ago)
• Default Branch: main
• Last Pushed: 2023-10-19T16:00:01.000Z (over 2 years ago)
• Last Synced: 2025-02-12T15:54:43.133Z (over 1 year ago)
• Language: Julia
• Homepage: https://arxiv.org/abs/2306.07774
• Size: 147 KB
• Stars: 3
• Watchers: 1
• Forks: 1
• Open Issues: 0
• Metadata Files:
  • Readme: README.md

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README

          
# Rank-Reduced Kalman filtering (RRKF)

Code accompanying the pre-print *"The Rank-Reduced Kalman Filter: Approximate

Dynamical-Low-Rank Filtering In High Dimensions"* ([arXiv](http://arxiv.org/abs/2306.07774)).



![Figure1](./docs/assets/fig1.png)



## Paper experiments

Please find the code for the experiments in the paper [here](https://github.com/schmidtjonathan/RRKF_experiments) (https://github.com/schmidtjonathan/RRKF_experiments).