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Fix auxiliary_particle_filter.m: strange iteration range `for i=1:size(nodes)` 

All hunks depending on this loop amended
remove-submodule^2
Normann Rion 2022-09-19 15:16:29 +02:00
parent bb4bf5fcd6
commit 3127476494
1 changed files with 32 additions and 23 deletions
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55
nonlinear-filters/src/auxiliary_particle_filter.m
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@ -24,6 +24,8 @@ function [LIK,lik] = auxiliary_particle_filter(ReducedForm,Y,start,ParticleOptio
if isempty(start)
start = 1;
end
% Get perturbation order
order = DynareOptions.order;
% Set flag for prunning
pruning = ParticleOptions.pruning;
@ -36,6 +38,7 @@ state_variables_steady_state = ReducedForm.state_variables_steady_state;
mf0 = ReducedForm.mf0;
mf1 = ReducedForm.mf1;
sample_size = size(Y,2);
number_of_state_variables = length(mf0);
number_of_observed_variables = length(mf1);
number_of_structural_innovations = length(ReducedForm.Q);
number_of_particles = ParticleOptions.number_of_particles;
@ -76,33 +79,32 @@ weights = ones(1,number_of_particles)/number_of_particles ;
StateVectors = bsxfun(@plus,StateVectorVarianceSquareRoot*randn(state_variance_rank,number_of_particles),StateVectorMean);
%StateVectors = bsxfun(@plus,zeros(state_variance_rank,number_of_particles),StateVectorMean);
if pruning
StateVectors_ = StateVectors;
if order == 2
StateVectors_ = StateVectors;
state_variables_steady_state_ = state_variables_steady_state;
mf0_ = mf0;
else
error('Pruning is not available for orders > 2');
end
end
nodes = zeros(1,number_of_structural_innovations) ;
nodes_weights = ones(number_of_structural_innovations,1) ;
for t=1:sample_size
yhat = bsxfun(@minus,StateVectors,state_variables_steady_state);
if pruning
yhat_ = bsxfun(@minus,StateVectors_,state_variables_steady_state);
tmp = 0 ;
tmp_ = 0 ;
for i=1:size(nodes)
[tmp1, tmp1_] = local_state_space_iteration_2(yhat,nodes(i,:)'*ones(1,number_of_particles),ghx,ghu,constant,ghxx,ghuu,ghxu,yhat_,steadystate,ThreadsOptions.local_state_space_iteration_2);
tmp = tmp + nodes_weights(i)*tmp1 ;
tmp_ = tmp_ + nodes_weights(i)*tmp1_ ;
yhat_ = bsxfun(@minus,StateVectors_,state_variables_steady_state_);
if order == 2
[tmp, tmp_] = local_state_space_iteration_2(yhat,zeros(number_of_structural_innovations,number_of_particles),ghx,ghu,constant,ghxx,ghuu,ghxu,yhat_,steadystate,ThreadsOptions.local_state_space_iteration_2);
else
error('Pruning is not available for orders > 2');
end
else
if ReducedForm.use_k_order_solver
tmp = 0;
for i=1:size(nodes)
tmp = tmp + nodes_weights(i)*local_state_space_iteration_k(yhat, nodes(i,:)'*ones(1,number_of_particles), dr, Model, DynareOptions, udr);
end
tmp = local_state_space_iteration_k(yhat, zeros(number_of_structural_innovations,number_of_particles), dr, Model, DynareOptions, udr);
else
tmp = 0;
for i=1:size(nodes)
tmp = tmp + nodes_weights(i)*local_state_space_iteration_2(yhat,nodes(i,:)'*ones(1,number_of_particles),ghx,ghu,constant,ghxx,ghuu,ghxu,ThreadsOptions.local_state_space_iteration_2);
if order == 2
tmp = local_state_space_iteration_2(yhat,zeros(number_of_structural_innovations,number_of_particles),ghx,ghu,constant,ghxx,ghuu,ghxu,ThreadsOptions.local_state_space_iteration_2);
else
error('Order > 2: use_k_order_solver should be set to true');
end
end
end
@ -118,13 +120,21 @@ for t=1:sample_size
weights_stage_1 = weights(indx)./tau_tilde(indx) ;
epsilon = Q_lower_triangular_cholesky*randn(number_of_structural_innovations,number_of_particles);
if pruning
[tmp, tmp_] = local_state_space_iteration_2(yhat,epsilon,ghx,ghu,constant,ghxx,ghuu,ghxu,yhat_,steadystate,ThreadsOptions.local_state_space_iteration_2);
StateVectors_ = tmp_(mf0,:);
if order == 2
[tmp, tmp_] = local_state_space_iteration_2(yhat,epsilon,ghx,ghu,constant,ghxx,ghuu,ghxu,yhat_,steadystate,ThreadsOptions.local_state_space_iteration_2);
else
error('Pruning is not available for orders > 2');
end
StateVectors_ = tmp_(mf0_,:);
else
if ReducedForm.use_k_order_solver
tmp = local_state_space_iteration_k(yhat, epsilon, dr, Model, DynareOptions, udr);
else
tmp = local_state_space_iteration_2(yhat, epsilon, ghx, ghu, constant, ghxx, ghuu, ghxu, ThreadsOptions.local_state_space_iteration_2);
if order == 2
tmp = local_state_space_iteration_2(yhat, epsilon, ghx, ghu, constant, ghxx, ghuu, ghxu, ThreadsOptions.local_state_space_iteration_2);
else
error('Order > 2: use_k_order_solver should be set to true');
end
end
end
StateVectors = tmp(mf0,:);
@ -135,9 +145,8 @@ for t=1:sample_size
if (ParticleOptions.resampling.status.generic && neff(weights)<ParticleOptions.resampling.threshold*sample_size) || ParticleOptions.resampling.status.systematic
if pruning
temp = resample([StateVectors' StateVectors_'],weights',ParticleOptions);
number_of_state_variables=size(StateVectors,1);
StateVectors = temp(:,1:number_of_state_variables)';
StateVectors_ = temp(:,number_of_state_variables+1:2*number_of_state_variables)';
StateVectors_ = temp(:,number_of_state_variables+1:end)';
else
StateVectors = resample(StateVectors',weights',ParticleOptions)';
end