most citedSpeeding up backpropagation of gradients through the Kalman filter via closed-form expressions

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math.OC2023★ 1 cited

Speeding up backpropagation of gradients through the Kalman filter via closed-form expressions

Colin Parellier, Axel Barrau, Silvere Bonnabel

In this paper we provide novel closed-form expressions enabling differentiation of any scalar function of the Kalman filter's outputs with respect to all its tuning parameters and…