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🐛 wrong setting of small values to zeros in identification

time-shift
Willi Mutschler 2020-06-17 21:13:09 +02:00
parent db01f54357
commit 926a54388e
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GPG Key ID: 91E724BF17A73F6D
1 changed files with 5 additions and 4 deletions
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9
matlab/pruned_state_space_system.m
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@ -1048,16 +1048,17 @@ if compute_derivs
end
for jpV=1:totparam_nbr
if order < 3
dVar_y(stationary_vars,stationary_vars,jpV) = dC(stationary_vars,:,jpV)*Var_z*C(stationary_vars,:)' + C(stationary_vars,:)*dVar_z(:,:,jpV)*C(stationary_vars,:)' + C(stationary_vars,:)*Var_z*dC(stationary_vars,:,jpV)'...
dVar_y_tmp = dC(stationary_vars,:,jpV)*Var_z*C(stationary_vars,:)' + C(stationary_vars,:)*dVar_z(:,:,jpV)*C(stationary_vars,:)' + C(stationary_vars,:)*Var_z*dC(stationary_vars,:,jpV)'...
+ dD(stationary_vars,:,jpV)*Varinov*D(stationary_vars,:)' + D(stationary_vars,:)*dVarinov(:,:,jpV)*D(stationary_vars,:)' + D(stationary_vars,:)*Varinov*dD(stationary_vars,:,jpV)';
else
dVar_y(stationary_vars,stationary_vars,jpV) = dC(stationary_vars,:,jpV)*Var_z*C(stationary_vars,:)' + C(stationary_vars,:)*dVar_z(:,:,jpV)*C(stationary_vars,:)' + C(stationary_vars,:)*Var_z*dC(stationary_vars,:,jpV)'...
dVar_y_tmp = dC(stationary_vars,:,jpV)*Var_z*C(stationary_vars,:)' + C(stationary_vars,:)*dVar_z(:,:,jpV)*C(stationary_vars,:)' + C(stationary_vars,:)*Var_z*dC(stationary_vars,:,jpV)'...
+ dD(stationary_vars,:,jpV)*E_inovzlag1*C(stationary_vars,:)' + D(stationary_vars,:)*dE_inovzlag1(:,:,jpV)*C(stationary_vars,:)' + D(stationary_vars,:)*E_inovzlag1*dC(stationary_vars,:,jpV)'...
+ dC(stationary_vars,:,jpV)*transpose(E_inovzlag1)*D(stationary_vars,:)' + C(stationary_vars,:)*transpose(dE_inovzlag1(:,:,jpV))*D(stationary_vars,:)' + C(stationary_vars,:)*transpose(E_inovzlag1)*dD(stationary_vars,:,jpV)'...
+ dD(stationary_vars,:,jpV)*Varinov*D(stationary_vars,:)' + D(stationary_vars,:)*dVarinov(:,:,jpV)*D(stationary_vars,:)' + D(stationary_vars,:)*Varinov*dD(stationary_vars,:,jpV)';
end
[indzerosrow,indzeroscol] = find(abs(dVar_y(:,:,jpV)) < 1e-12); %find values that are numerical zero
dVar_y(indzerosrow,indzeroscol,jpV) = 0;
indzeros = find(abs(dVar_y_tmp) < 1e-12); %find values that are numerical zero
dVar_y_tmp(indzeros) = 0;
dVar_y(stationary_vars,stationary_vars,jpV) = dVar_y_tmp;
if useautocorr
%is this correct?[@wmutschl]
dsy = 1/2./sy.*diag(dVar_y(:,:,jpV));