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Use IntegratedWienerProcesses.jl? #257

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nathanaelbosch opened this issue Oct 26, 2023 · 0 comments · Fixed by #264
Closed

Use IntegratedWienerProcesses.jl? #257

nathanaelbosch opened this issue Oct 26, 2023 · 0 comments · Fixed by #264

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@nathanaelbosch
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https://github.com/filtron/IntegratedWienerProcesses.jl

It includes functionality to compute the cholesky factor of the transition noise covariance directly. So, we should probably use it!

Make sure to benchmark the change to check that there are no major regressions in performance.
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@nathanaelbosch