I would like to make a Bayesian update scheme similar to Kalman filter. I have a dynamical system which has certain update equations with noisy input, as well as noisy observables. At every timestep, I first propagate the state distribution using system equations, then do posterior sampling to recon…

Constraints for multivariate prior in Bayesian update scheme

aleksejs.fomins October 16, 2024, 12:03pm 8

Is it possible to define the multivariate distribution purely numerically, by rejecting points that do not satisfy constraints? Or would that destroy performance beyond usability?

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Constraints for multivariate prior in Bayesian update scheme

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