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Added test on the reciprocical condition number of PredictedObservedVariance.

time-shift
Stéphane Adjemian (Charybdis) 2013-06-24 10:01:17 +02:00
parent fbec03fe1c
commit b26b651403
1 changed files with 6 additions and 1 deletions
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7
matlab/particle/sequential_importance_particle_filter.m
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@ -148,7 +148,12 @@ for t=1:sample_size
PredictionError = bsxfun(@minus,Y(:,t),tmp(mf1,:));
dPredictedObservedMean = bsxfun(@minus,tmp(mf1,:),PredictedObservedMean);
PredictedObservedVariance = bsxfun(@times,dPredictedObservedMean,weights)*dPredictedObservedMean' + H;
lnw = -.5*(const_lik+log(det(PredictedObservedVariance))+sum(PredictionError.*(PredictedObservedVariance\PredictionError),1));
if rcond(PredictedObservedVariance) > 1e-16
lnw = -.5*(const_lik+log(det(PredictedObservedVariance))+sum(PredictionError.*(PredictedObservedVariance\PredictionError),1));
else
LIK = NaN;
return
end
dfac = max(lnw);
wtilde = weights.*exp(lnw-dfac);
lik(t) = log(sum(wtilde))+dfac;