Optimization or Architecture: How to Hack Kalman Filtering

Why neural networks may seem better than the KF even when they are not — and how to both fix this and improve your KF itself

This post introduces our recent paper from NeurIPS 2023. Code is available on PyPI.

Background

The Kalman Filter (KF) is a celebrated method for sequential forecasting and control since 1960. While many new methods were introduced in the last decades, the KF’s simple design makes it a practical, robust and competitive method to …

architecture code control filter filtering forecasting hack kalman-filter machine learning networks neural networks neurips optimization paper pypi