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Implement message passing for marginalisation of discrete variables #177

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yebai opened this issue Apr 16, 2024 · 0 comments
Open

Implement message passing for marginalisation of discrete variables #177

yebai opened this issue Apr 16, 2024 · 0 comments

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@yebai
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yebai commented Apr 16, 2024

Discrete random variables for PGMs can be marginalised using message passing in exact form. A good example of this is HMMs; see, e.g.,

https://gist.github.com/JasonPekos/82be830e4bf390fd1cc2886a7518aede

Let's implement a general version of the forward-backwards algorithm to marginalise out all discrete variables, enabling us to run HMC/NUTS on the remaining continuous variables.

@yebai yebai changed the title Implement message passing for marganalisation of discrete variables Implement message passing for marginalisation of discrete variables Apr 16, 2024
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