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fix bugs in the univariate smooth resampling approach.

time-shift
Frédéric Karamé 2012-11-16 11:17:57 +01:00
parent c6e5368a9d
commit f0fcfa3b62
1 changed files with 14 additions and 11 deletions
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25
matlab/particle/univariate_smooth_resampling.m
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@ -51,29 +51,32 @@ function new_particles = univariate_smooth_resampling(weights,particles,number_o
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
% AUTHOR(S) frederic DOT karame AT univ DASH evry DOT fr
% AUTHOR(S) frederic DOT karame AT univ DASH lemans DOT fr
% stephane DOT adjemian AT univ DASH lemans DOT fr
M = length(particles) ;
lambda_tilde = [ (.5*(2*weights(1)+weights(2))) ;
(.5*(weights(2:M-1)+weights(3:M))) ;
(.5*(weights(M-1)+2*weights(M))) ] ;
lambda_tilde = [ (.5*weights(1)) ;
(.5*(weights(1:M-1)+weights(2:M))) ;
(.5*weights(M)) ] ;
lambda_bar = cumsum(lambda_tilde) ;
lambda_bar = lambda_bar(1:M-1) ;
u = rand(1,1) ;
new_particles = zeros(number_of_new_particles,1) ;
rj = 0 ;
i = 1 ;
j = 1 ;
while i<=number_of_new_particles
u_j = ( i-1 + u)/number_of_new_particles ;
while u_j>lambda_bar(j)
rj = j ;
j = j+1 ;
if j==M
j = M-1 ;
break ;
end
end
u_star = (u_j - (lambda_bar(j)-lambda_tilde(j)))./lambda_tilde(j) ;
new_particles(i) = (particles(j+1) - particles(j))*u_star + particles(j) ;
if rj==0
new_particles(i) = particles(1) ;
elseif rj==M
new_particles(i) = particles(M) ;
else
u_star = (u_j - lambda_bar(rj))./lambda_tilde(rj+1) ;
new_particles(i) = (particles(rj+1) - particles(rj))*u_star + particles(rj) ;
end
i = i+1 ;
end