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Add the possibility of proposal approximated with Monte Carlo.

rm-particles^2
Frédéric Karamé 2018-06-08 20:57:38 +02:00
parent 427e88e6b4
commit ee6eaa8449
1 changed files with 7 additions and 3 deletions
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10
src/gaussian_filter_bank.m
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@ -71,7 +71,11 @@ if isempty(init_flag2)
init_flag2 = 1;
end
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
@ -118,5 +122,5 @@ else
StateVectorMean = PredictedStateMean + KalmanFilterGain*PredictionError;
StateVectorVariance = PredictedStateVariance - KalmanFilterGain*PredictedObservedVariance*KalmanFilterGain';
StateVectorVariance = .5*(StateVectorVariance+StateVectorVariance');
StateVectorVarianceSquareRoot = chol(StateVectorVariance)'; %reduced_rank_cholesky(StateVectorVariance)';
end
StateVectorVarianceSquareRoot = reduced_rank_cholesky(StateVectorVariance)';
end