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Changed interface and calibration (cubature & unscented transform).

time-shift
Stéphane Adjemian (Charybdis) 2013-04-03 18:39:50 +02:00
parent 3efe8b5232
commit cd3a5b8f32
1 changed files with 11 additions and 17 deletions
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28
matlab/cubature_with_gaussian_weight.m
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@ -65,19 +65,17 @@ if strcmp(method,'Stroud') && isequal(n,3)
return
end
if strcmp(method,'Unscented') && isequal(n,3)
info = 1;
alpha = .01;
beta = 2;
kappa = 0;
if strcmp(method,'ScaledUnscentedTransform') && isequal(n,3)
% For alpha=1 and beta=kappa=0 we obtain the same weights and nodes than the 'Stroud' method (with n=3).
% For alpha=1, beta=0 and kappa=.5 we obtain sigma points with equal weights.
alpha = 1;
beta = 0;
kappa = 0.5;
lambda = (alpha^2)*(d+kappa) - d;
nodes = [ zeros(d,1) ( sqrt(d+lambda).*([ eye(d), -eye(d)]) ) ];
w0 = lambda/(d+lambda);
if info
w0 = w0 + (1-alpha^2+beta);
end
weights = [w0 ; ones(2*d,1)/(2*(d+lambda))];
w0_m = lambda/(d+lambda);
w0_c = w0_m + (1-alpha^2+beta);
weights = [w0_c; .5/(d+lambda)*ones(2*d,1)];
return
end
@ -331,11 +329,11 @@ function m = ee(n,i,j)
%$ % Set problem
%$ d = 3;
%$
%$ t = zeros(5,1);
%$ t = zeros(4,1);
%$
%$ % Call the tested routine
%$ try
%$ [nodes,weights] = cubature_with_gaussian_weight(d,3,'Unscented');
%$ [nodes,weights] = cubature_with_gaussian_weight(d,3,'ScaledUnscentedTransform');
%$ nodes
%$ weights
%$ t(1) = 1;
@ -357,12 +355,8 @@ function m = ee(n,i,j)
%$ % Compute (approximated) third order moments.
%$ m3 = nodes.^3*weights;
%$
%$ % Compute (approximated) fourth order moments.
%$ m4 = nodes.^4*weights;
%$
%$ t(2) = dyn_assert(m1,zeros(d,1),1e-12);
%$ t(3) = dyn_assert(m2,ones(d,1),1e-12);
%$ t(4) = dyn_assert(m3,zeros(d,1),1e-12);
%$ t(5) = dyn_assert(m4,d*ones(d,1),1e-10);
%$ T = all(t);
%@eof:6