added Laplace approx. Splitted filter and samples into diff files.

Author: mattiasvillani

Manifest.toml

@@ -4,23 +4,33 @@ authors = ["Mattias Villani"]
 version = "1.0.0-DEV"
 
 [deps]
+CSV = "336ed68f-0bac-5ca0-87d4-7b16caf5d00b"
 Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
+ForwardDiff = "f6369f11-7733-5829-9624-2563aa707210"
 LaTeXStrings = "b964fa9f-0449-5b57-a5c2-d3ea65f4040f"
+LineSearches = "d3d80556-e9d4-5f37-9878-2ab0fcc64255"
 LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
+Literate = "98b081ad-f1c9-55d3-8b20-4c87d4299306"
 Measures = "442fdcdd-2543-5da2-b0f3-8c86c306513e"
 PDMats = "90014a1f-27ba-587c-ab20-58faa44d9150"
 Plots = "91a5bcdd-55d7-5caf-9e0b-520d859cae80"
 Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
+Revise = "295af30f-e4ad-537b-8983-00126c2a3abe"
 Statistics = "10745b16-79ce-11e8-11f9-7d13ad32a3b2"
 
 [compat]
+CSV = "0.10.15"
 Distributions = "0.25.113"
+ForwardDiff = "1.0.1"
 LaTeXStrings = "1.4.0"
+LineSearches = "7.4.0"
 LinearAlgebra = "1.11.0"
+Literate = "2.20.1"
 Measures = "0.3.2"
 PDMats = "0.11.31"
 Plots = "1.40.9"
 Random = "1.11.0"
+Revise = "3.8.1"
 Statistics = "1.11.1"
 julia = "1.10"
 

Project.toml

@@ -52,7 +52,7 @@ makedocs(;
         canonical="https://mattiasvillani.github.io/SMCsamplers.jl",
         edit_link="main",
         assets=String[],
-        size_threshold = 1000 * 2^10, # 1000 KiB determines the maximal html size in KiB
+        size_threshold = 2000 * 2^10, # 1000 KiB determines the maximal html size in KiB
     ),
 
 

docs/make.jl

@@ -2,4 +2,5 @@
 FFBS
 FFBSx
 FFBS_unscented
+FFBS_laplace
 ```

docs/src/FFBS.md

@@ -1,5 +1,8 @@
 ```@docs
 SMCsamplers.kalmanfilter_update
 SMCsamplers.kalmanfilter_update_extended
+SMCsamplers.kalmanfilter_update_extended_iter
+SMCsamplers.kalmanfilter_update_extended_iter_line
 SMCsamplers.kalmanfilter_update_unscented
+SMCsamplers.laplace_kalmanfilter_update
 ```