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Fix bug in missing_DiffuseKalmanSmootherH3_Z.m 

Closes #1339 by properly factorizing computations
time-shift
Johannes Pfeifer 2016-11-19 10:07:16 +01:00
parent 2f9dc09285
commit 1a978e42df
1 changed files with 6 additions and 6 deletions
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12
matlab/missing_DiffuseKalmanSmootherH3_Z.m
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@ -293,14 +293,14 @@ if d
for i = di
if Finf(i,t) > diffuse_kalman_tol
% recursions need to be from highest to lowest term in order to not
% overwrite lower terms still needed in thisstep
% overwrite lower terms still needed in this step
Linf = eye(mm) - Kinf(:,i,t)*Z(i,:)/Finf(i,t);
L0 = (Kinf(:,i,t)*(Fstar(i,t)/Finf(i,t))-Kstar(:,i,t))*Z(i,:)/Finf(i,t);
r1(:,t) = Z(i,:)'*v(i,t)/Finf(i,t) + ...
(Kinf(:,i,t)'*Fstar(i,t)/Finf(i,t)-Kstar(:,i,t)')*r0(:,t)/Finf(i,t)*Z(i,:)' + ...
r1(:,t)-Kinf(:,i,t)'*r1(:,t)/Finf(i,t)*Z(i,:)'; % KD (2000), eq. (25) for r_1
r0(:,t) = r0(:,t)-Kinf(:,i,t)'*r0(:,t)/Finf(i,t)*Z(i,:)'; % KD (2000), eq. (25) for r_0
L0'*r0(:,t) + ...
Linf'*r1(:,t); % KD (2000), eq. (25) for r_1
r0(:,t) = Linf'*r0(:,t); % KD (2000), eq. (25) for r_0
if state_uncertainty_flag
Linf = eye(mm) - Kinf(:,i,t)'/Finf(i,t);
L0 = (Kinf(:,i,t)*(Fstar(i,t)/Finf(i,t))-Kstar(:,i,t))*Z(i,:)/Finf(i,t);
N_2(:,:,t)=Z(i,:)'/Finf(i,t)^2*Z(i,:)*Fstar(i,t) ...
+ Linf'*N_2(:,:,t)*Linf...
+ Linf'*N_1(:,:,t)*L0...