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Parsimonious initialisation of matrices used only in diffuse steps. 

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1108 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
ratto 2006-11-27 14:44:03 +00:00
parent 2141998a93
commit f19b66c4b2
1 changed files with 14 additions and 7 deletions
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21
matlab/DiffuseKalmanSmoother3.m
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@ -27,17 +27,24 @@ v = zeros(pp,smpl);
a = zeros(mm,smpl+1);
a1 = a;
aK = zeros(nk,mm,smpl+nk);
Fstar = zeros(pp,smpl);
Finf = zeros(pp,smpl);
if isempty(options_.diffuse_d),
smpl_diff = 1;
else
smpl_diff=rank(Pinf1);
end
Fstar = zeros(pp,smpl_diff);
Finf = zeros(pp,smpl_diff);
Ki = zeros(mm,pp,smpl);
Li = zeros(mm,mm,pp,smpl);
Linf = zeros(mm,mm,pp,smpl);
L0 = zeros(mm,mm,pp,smpl);
Kstar = zeros(mm,pp,smpl);
Linf = zeros(mm,mm,pp,smpl_diff);
L0 = zeros(mm,mm,pp,smpl_diff);
Kstar = zeros(mm,pp,smpl_diff);
P = zeros(mm,mm,smpl+1);
P1 = P;
Pstar = zeros(spstar(1),spstar(2),smpl+1); Pstar(:,:,1) = Pstar1;
Pinf = zeros(spinf(1),spinf(2),smpl+1); Pinf(:,:,1) = Pinf1;
Pstar = zeros(spstar(1),spstar(2),smpl_diff+1); Pstar(:,:,1) = Pstar1;
Pinf = zeros(spinf(1),spinf(2),smpl_diff+1); Pinf(:,:,1) = Pinf1;
Pstar1 = Pstar;
Pinf1 = Pinf;
crit = options_.kalman_tol;