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Fix iterated EKF measurement updates - #465
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Keep the original prior during relinearization so each measurement is counted once. Test linear models and a nonlinear posterior mode.
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Rebased onto main and moved the EKF regressions into the current test module. This PR now covers only the iterated EKF update because the CMGF covariance solve needs a separate numerical design. The linear and nonlinear EKF regressions pass. |
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The iterated EKF uses the previous posterior for each update, counting the same observation more than once. Increasing
num_iterchanges the result even for linear models. The fix keeps the original prior and corrects the linearization residual at each iteration.Tested with the added linear and nonlinear regressions:
.venv/bin/python -m pytest -q -k iterated dynamax/nonlinear_gaussian_ssm/inference_test.py.Assisted by Claude/Codex.