stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Modify the weights to prevent crash in the cholesky of the covariance.

remove-submodule^2
Frédéric Karamé 2015-10-02 16:02:49 +02:00
parent fc7114d255
commit 78bb829899
1 changed files with 8 additions and 4 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

12
nonlinear-filters/src/gaussian_filter.m
View File

@ -92,14 +92,14 @@ if isempty(H)
H = 0;
H_lower_triangular_cholesky = 0;
else
H_lower_triangular_cholesky = reduced_rank_cholesky(H)';
H_lower_triangular_cholesky = chol(H)' ; %reduced_rank_cholesky(H)';
end
% Get initial condition for the state vector.
StateVectorMean = ReducedForm.StateVectorMean;
StateVectorVarianceSquareRoot = reduced_rank_cholesky(ReducedForm.StateVectorVariance)';
StateVectorVarianceSquareRoot = chol(ReducedForm.StateVectorVariance)';%reduced_rank_cholesky(ReducedForm.StateVectorVariance)';
state_variance_rank = size(StateVectorVarianceSquareRoot,2);
Q_lower_triangular_cholesky = reduced_rank_cholesky(Q)';
Q_lower_triangular_cholesky = chol(Q)'; %reduced_rank_cholesky(Q)';
% Initialization of the likelihood.
const_lik = (2*pi)^(number_of_observed_variables/2) ;
@ -126,12 +126,16 @@ for t=1:sample_size
1/number_of_particles,1/number_of_particles,ReducedForm,ThreadsOptions) ;
SampleWeights = IncrementalWeights/number_of_particles ;
end
SampleWeights = SampleWeights + 1e-6*ones(size(SampleWeights,1),1) ;
SumSampleWeights = sum(SampleWeights) ;
lik(t) = log(SumSampleWeights) ;
SampleWeights = SampleWeights./SumSampleWeights ;
StateVectorMean = StateParticles*SampleWeights ;
temp = bsxfun(@minus,StateParticles,StateVectorMean) ;
StateVectorVarianceSquareRoot = reduced_rank_cholesky( bsxfun(@times,SampleWeights',temp)*temp' )';
%disp(SampleWeights)
%disp(StateParticles)
%disp(StateVectorMean)
StateVectorVarianceSquareRoot = chol( bsxfun(@times,SampleWeights',temp)*temp' )';%reduced_rank_cholesky( bsxfun(@times,SampleWeights',temp)*temp' )';
end
LIK = -sum(lik(start:end));