WIP: Comparing various backwards schemes#44

Merged

mschauer merged 65 commits intomasterfrom marcin

Jan 27, 2020

+3,906-178

Commits on Dec 3, 2018

High dim landmarks implementation
fmeulen
committed

Commits on Jan 25, 2019

First shot at landmarks model
fmeulen
committed

Commits on Jan 26, 2019

added lu factorisation type, checked various functions in state.jl
fmeulen
committed

Commits on Jan 28, 2019

extract common functions to ahs and ms model into bothmodels.jl
fmeulen
committed

Commits on Feb 10, 2019

lmguiding and lmpar contain code for simulating bridges using lm parametrisation (as in hypo-elliptic paper). The Ito-Stratonovich correction term has been added for the landmarks model of AHS. The…
fmeulen
committed

Commits on Feb 15, 2019

fixed the error in the noisefields specification for ahs model
fmeulen
committed

Commits on Feb 18, 2019

Ito-strat correction has been included for ahs model. Huge speedup in forward simulation guided propoposals by amul function for landmarks (which avoids computing a(t,x), but computes a(t,x)*y as s…
fmeulen
committed

Commits on Feb 20, 2019

Various minor changes. autodiff.jl contains some initial ideas for automatic differentiation
fmeulen
committed

Commits on Feb 25, 2019

corrected deepmat2unc (there was a bug for nonsquare matrices)
fmeulen
committed

Commits on Apr 23, 2019

Getting Duals to work
mschauer
committed

Commits on Apr 29, 2019

fix reference to internal Zip2 for julia 1.1

JeffBezanson
authored and
mschauer
committed

Commits on May 1, 2019

Test Marcin's recursions
mschauer
committed
Fix
mschauer
committed
Fixes
mschauer
committed

Commits on May 3, 2019

added lowrank functionality for computing tilde-a in backward recursion
fmeulen
committed
essentially only added 'using LowRankApprox'
fmeulen
committed
speed up computing a(t,x) by using that it is symmetric
fmeulen
committed

Commits on Jun 21, 2019

Commits on Jun 24, 2019