Added smoothing

src/filtering/markov_kernel.jl

@@ -120,6 +120,28 @@ function marginalize_cov!(
     return marginalize_cov!(_Σ_out, _Σ_curr, _K; C_DxD=_C_DxD, C_3DxD=_C_3DxD)
 end
 
+function marginalize_cov!(
+    Σ_out::PSDMatrix{T,<:BlockDiagonal},
+    Σ_curr::PSDMatrix{T,<:BlockDiagonal},
+    K::AffineNormalKernel{
+        <:AbstractMatrix,
+        <:Any,
+        <:PSDMatrix{S,<:BlockDiagonal},
+    };
+    C_DxD::AbstractMatrix,
+    C_3DxD::AbstractMatrix,
+) where {T,S}
+    for i in eachindex(blocks(Σ_out.R))
+        _Σ_out = PSDMatrix(Σ_out.R.blocks[i])
+        _Σ_curr = PSDMatrix(Σ_curr.R.blocks[i])
+        _K = AffineNormalKernel(K.A.blocks[i], K.b, PSDMatrix(K.C.R.blocks[i]))
+        _C_DxD = C_DxD.blocks[i]
+        _C_3DxD = C_3DxD.blocks[i]
+        marginalize_cov!(_Σ_out, _Σ_curr, _K; C_DxD=_C_DxD, C_3DxD=_C_3DxD)
+    end
+    return Σ_out
+end
+
 """
     compute_backward_kernel!(Kout, xpred, x, K; C_DxD[, diffusion=1])
 
@@ -243,3 +265,52 @@ function compute_backward_kernel!(
     return compute_backward_kernel!(
         _Kout, _x_pred, _x, _K; C_DxD=_C_DxD, diffusion=diffusion)
 end
+
+function compute_backward_kernel!(
+    Kout::KT1,
+    xpred::SRGaussian{T,<:BlockDiagonal},
+    x::SRGaussian{T,<:BlockDiagonal},
+    K::KT2;
+    C_DxD::AbstractMatrix,
+    diffusion=1,
+) where {
+    T,
+    KT1<:AffineNormalKernel{
+        <:BlockDiagonal,
+        <:AbstractVector,
+        <:PSDMatrix{T,<:BlockDiagonal},
+    },
+    KT2<:AffineNormalKernel{
+        <:BlockDiagonal,
+        <:Any,
+        <:PSDMatrix{T,<:BlockDiagonal},
+    },
+}
+    d = length(blocks(xpred.Σ.R))
+    q = size(blocks(xpred.Σ.R)[1], 1) - 1
+    for i in eachindex(blocks(xpred.Σ.R))
+        _Kout = AffineNormalKernel(
+            Kout.A.blocks[i],
+            view(Kout.b, (i-1)*(q+1)+1:i*(q+1)),
+            PSDMatrix(Kout.C.R.blocks[i])
+        )
+        _xpred = Gaussian(
+            view(xpred.μ, (i-1)*(q+1)+1:i*(q+1)),
+            PSDMatrix(xpred.Σ.R.blocks[i])
+        )
+        _x = Gaussian(
+            view(x.μ, (i-1)*(q+1)+1:i*(q+1)),
+            PSDMatrix(x.Σ.R.blocks[i])
+        )
+        _K = AffineNormalKernel(
+            K.A.blocks[i],
+            ismissing(K.b) ? missing : view(K.b, (i-1)*(q+1)+1:i*(q+1)),
+            PSDMatrix(K.C.R.blocks[i])
+        )
+        _C_DxD = C_DxD.blocks[i]
+        compute_backward_kernel!(
+            _Kout, _xpred, _x, _K, C_DxD=_C_DxD, diffusion=diffusion
+        )
+    end
+    return Kout
+end

src/filtering/predict.jl

@@ -135,4 +135,5 @@ function predict_cov!(
             diffusion,
         )
     end
+    return Σ_out
 end