I just pushed an implementation of Ed Herbst fast Kalman filter. It is available with option fast_kalman_filter For large models, it gives huge speed improvement. Even for fs2000, it gives some speed improvement. After more of us experiment with it, we could probably make it the default. I'm not entirely convinced by the syntax of the option. There is no way currently to turn it off. I thought about another value for kalman_algo but the the organisation of that option, too complex, should be revised. Tell me what you think Best
Hi Michel, this is terrific. is it working for both stationary and non-stationary cases? best Marco
As the diffuse filter is treated by a special initialization, but the core of the filter is unique, it should work as well, but I didn't try it. Please, let me know.
Best
Michel
Marco Ratto writes:
Hi Michel, this is terrific. is it working for both stationary and non-stationary cases? best Marco
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Marco Ratto -
Michel Juillard