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correction of weights calculation in the auxiliary particle filter

rm-particles^2
Frédéric Karamé 2015-01-07 11:26:30 +01:00
parent 25abaf2f14
commit 3b04e52667
1 changed files with 4 additions and 2 deletions
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6
src/auxiliary_particle_filter.m
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@ -120,7 +120,8 @@ for t=1:sample_size
yhat_ = yhat_(:,indx) ;
end
yhat = yhat(:,indx) ;
wtilde = wtilde(indx) ;
%wtilde = wtilde(indx) ;
factor = 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);
@ -134,7 +135,8 @@ for t=1:sample_size
dPredictedObservedMean = bsxfun(@minus,tmp(mf1,:),PredictedObservedMean);
PredictedObservedVariance = (dPredictedObservedMean*dPredictedObservedMean')/number_of_particles + H;
lnw = exp(-.5*(const_lik+log(det(PredictedObservedVariance))+sum(PredictionError.*(PredictedObservedVariance\PredictionError),1)));
wtilde = lnw./wtilde;
%wtilde = lnw./wtilde;
wtilde = lnw.*factor ;
weights = wtilde/sum(wtilde);
end