Lund University; Tübingen AI Center, University of Tübingen; University of Tübingen
Jonathan Schmidt, Philipp Hennig, Jörg Nick, Filip Tronarp
Gaussian;filtering;smoothing;bayesian;state-space models;dynamic-low-rank;high-dimensional;spatio-temporal;Gaussian processes;regression;low rank;state estimation
The Rank-Reduced Kalman Filter: Approximate Dynamical-Low-Rank Filtering In High Dimensions