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Corrects bugs in case of singular covariance matrix of the forecast error

time-shift
Ferhat Mihoubi 2011-11-25 14:44:23 +01:00
parent bae787c5a1
commit 715e528462
1 changed files with 35 additions and 5 deletions
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40
mex/sources/block_kalman_filter/block_kalman_filter.cc
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@ -403,18 +403,48 @@ mexFunction(int nlhs, mxArray *plhs[], int nrhs, const mxArray *prhs[])
{
mexPrintf("error: F singular\n");
double LIK = Inf;
if (nlhs >= 1)
// info = 0
plhs[0] = mxCreateDoubleScalar(0);
if (nlhs >= 2)
{
plhs[0] = mxCreateDoubleMatrix(1, 1, mxREAL);
double* pind = mxGetPr(plhs[0]);
plhs[1] = mxCreateDoubleMatrix(1, 1, mxREAL);
double* pind = mxGetPr(plhs[1]);
pind[0] = LIK;
}
if (nlhs == 2)
if (nlhs == 3)
{
for (int i = t; i < smpl; i++)
lik[i] = Inf;
plhs[1] = plik;
plhs[2] = plik;
}
else
mxDestroyArray(plik);
mxFree(w);
#ifdef DIRECT
mxFree(i_nz_state_var);
#else
mxFree(Var);
mxFree(Var_2);
#endif
mxFree(tmp_a);
mxFree(v_pp);
mxFree(v_n);
mxFree(mf);
mxFree(w);
mxFree(iw);
mxFree(ipiv);
mxFree(oldK);
mxFree(P_mf);
mxDestroyArray(pa);
mxDestroyArray(p_tmp);
mxDestroyArray(pQQ);
mxDestroyArray(pv);
mxDestroyArray(pF);
mxDestroyArray(piF);
mxDestroyArray(p_P_t_t1);
mxDestroyArray(pK);
mxDestroyArray(p_K_P);
return;
}
else