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    • Guided proposals
    • Multiple observations
    • Log-likelihoods
    • Reparameterizations
    • BFFG algorithm
    • Computing path functionals
    • (TODO) ODE systems
      • Exact equations
      • System of ODEs for $H$, $F$ and $c$
      • System of ODEs for $M$, $L$ and $μ$
      • System of ODEs for $P$, $\nu$ and $c$
    • (TODO) Sample diffusion bridges
    • (TODO) Sample diffusions in first-passage time setting
    • ...smooth trajectories
    • ...do blocking
    • ...infer parameters
    • (TODO) Understanding in-place vs out-of-place
    • Smoothing trajectories of the partially observed FitzHugh–Nagumo diffusion
    • Setting up a blocking scheme for a simple smoothing problem
    • Parameter inference
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  • (TODO) ODE systems
  • (TODO) ODE systems
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ODE systems for computing the guiding term


The guiding term can be computed in a variety of ways. Here, we provide four distinct methods—corresponding to three systems of ODEs and a direct method via evaluations of matrix exponentials—for achieving this feat.

Warning

Currently only a method via solving ODEs for $H$, $F$ and $c$ has been implemented.

Exact equations


System of ODEs for $H$, $F$ and $c$


System of ODEs for $M$, $L$ and $μ$


System of ODEs for $P$, $\nu$ and $c$


« Computing path functionals(TODO) Sample diffusion bridges »

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This document was generated with Documenter.jl on Sunday 5 July 2020. Using Julia version 1.4.2.