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RoyCCWang · Mar 2, 2022 · cb14465 · cb14465
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 # GaussianParticleFlow
+An implementaion of the Gaussian flow method of importance sampling via optimal transport/SDE approximation. Used only for conditional non-linear Gaussian systems with known observational variance and non-linear transformation function. The original paper is: Pete Bunch, Simon Godsill, "Approximations of the Optimal Importance Density Using Gaussian Particle Flow Importance Sampling", Journal of American Statistical Association 2016,  https://doi.org/10.1080/01621459.2015.1038387
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+Future work: clean up and documentation is required.