Skip to content

Make RobustDiff work with variable step size and missing data #172

@pavelkomarov

Description

@pavelkomarov

Shouldn't be hard. It's essentially the same as what I've already done in the Kalman filter, taking matrix exponentials to step whatever distances and performing a check to step around any NaNs to make sure they don't get passed to the convex solver and wreck things.

I'm not sure whether the code will be quite as easy to vectorize with different $A_n$ for each step. There is some risk this could slow down cvxpy.

Metadata

Metadata

Assignees

No one assigned

    Labels

    Projects

    No projects

    Relationships

    None yet

    Development

    No branches or pull requests

    Issue actions