Commit 558d878d authored by Allen Lavoie's avatar Allen Lavoie Committed by TensorFlower Gardener
Browse files

TFTS: Move normalization to the base class, start using it for state space models

Preivously, state space models adjusted their priors based on the data
(e.g. setting initial variances to match sample variance) but did not normalize
the data itself. When the data has a rather extreme scale, this runs into
precision issues. After this CL, state space models will first normalize, then
use adjusted statistics on top of that normalization to estimate initial
observation/transition noise.

Also fixes an issue where start-of-series statistics were incorrect for the first
batch (which only shows up with large input scales).

PiperOrigin-RevId: 171044863
parent 266f7715
Loading
Loading
Loading
Loading
0% Loading or .
You are about to add 0 people to the discussion. Proceed with caution.
Please to comment