From cecc11c73f783b348b407e6f1b4debebf98cc721 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Fr=C3=A9d=C3=A9ric=20Karam=C3=A9?= Date: Fri, 8 Jun 2018 20:58:48 +0200 Subject: [PATCH] Add the option of Monte Carlo nonlinear Kalman filter. --- matlab/nonlinear-filters/src/nonlinear_kalman_filter.m | 6 +++++- 1 file changed, 5 insertions(+), 1 deletion(-) diff --git a/matlab/nonlinear-filters/src/nonlinear_kalman_filter.m b/matlab/nonlinear-filters/src/nonlinear_kalman_filter.m index 6710e69d4..9e118b995 100644 --- a/matlab/nonlinear-filters/src/nonlinear_kalman_filter.m +++ b/matlab/nonlinear-filters/src/nonlinear_kalman_filter.m @@ -89,7 +89,11 @@ end % compute gaussian quadrature nodes and weights on states and shocks -if ParticleOptions.proposal_approximation.cubature || ParticleOptions.proposal_approximation.montecarlo +if ParticleOptions.proposal_approximation.montecarlo + nodes = randn(ParticleOptions.number_of_particles,number_of_state_variables+number_of_structural_innovations) ; + weights = 1/ParticleOptions.number_of_particles ; + weights_c = weights ; +elseif ParticleOptions.proposal_approximation.cubature [nodes,weights] = spherical_radial_sigma_points(number_of_state_variables+number_of_structural_innovations) ; weights_c = weights ; elseif ParticleOptions.proposal_approximation.unscented