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77 Commits (967eb63bbb468cec092cab25d2c3f27dd3de88e9)

Author SHA1 Message Date
Stéphane Adjemian (Charybdis) db2615a4c7 Use economy-size decomposition option of qr2 routine. 2012-11-20 14:39:45 +01:00
Frédéric Karamé 6139af89d5 add pruning in the auxiliary particle filter. 2012-11-16 17:27:54 +01:00
Frédéric Karamé 35c77c2e46 typo fixed. 2012-11-16 13:25:41 +01:00
Frédéric Karamé 915a203add bug fixed. 2012-11-16 13:12:21 +01:00
Frédéric Karamé 919bd97682 add minor modifications. 2012-11-16 12:35:11 +01:00
Frédéric Karamé 202d8a2bd2 minor modifications 2012-11-16 12:35:11 +01:00
Frédéric Karamé c8c7b9faf6 minor modifications. 2012-11-16 12:35:11 +01:00
Frédéric Karamé eb9bc512d7 fixed bug in calculation of observed mean and variance + add the possibility for smooth resampling 2012-11-16 12:35:11 +01:00
Frédéric Karamé 3a9eed00df fixed bugs for estimating a gaussian-mixture distribution. 2012-11-16 12:25:46 +01:00
Frédéric Karamé 186de044f4 fix bugs for sampling in a gaussian-mixture distributions. 2012-11-16 12:25:46 +01:00
Frédéric Karamé f7e3ad7b25 fix bugs in k-means code. 2012-11-16 12:25:45 +01:00
Frédéric Karamé f41e969dbe computes the weights and the nodes for approximating gaussian distributions using the scaled unscented approach. 2012-11-16 12:25:45 +01:00
Frédéric Karamé a184e80a89 computes the nodes and weights for approximating a gaussian distribution. 2012-11-16 12:25:45 +01:00
Frédéric Karamé d5666529af computes the density of particles in a gaussian-mixture distribution. 2012-11-16 12:25:45 +01:00
Frédéric Karamé 2fb1065b4f computes the density of particles in a gaussian distribution. 2012-11-16 12:25:45 +01:00
Frédéric Karamé 56e723c08e Computes the density of observables as a function of states. 2012-11-16 12:25:45 +01:00
Frédéric Karamé eb72df7bc6 computes the proposal distribution during the importance sampling step for gaussian-mixture filters. Fix many bugs. 2012-11-16 12:25:45 +01:00
Frédéric Karamé ab2ae38e8f computes incremental weights for gaussian-mixture filters. 2012-11-16 12:25:45 +01:00
Frédéric Karamé 7dcdd20f6e gaussian mixture nonlinear filters: uses gaussian-mixture approximations for particles. Fix bugs and normalize the way likelihood is calculated. 2012-11-16 12:25:45 +01:00
Frédéric Karamé b0788fae50 computes the proposal distribution during the importance sampling step in gaussian nonlinear filters. Uses a nonlinear Kalman filter and several gaussian approximations. 2012-11-16 12:25:45 +01:00
Frédéric Karamé 553c26e0b3 gaussian nonlinear filter : uses a gaussian approximation for particles. 
fix bugs and normalize the way we write the likelihood.
 2012-11-16 12:25:45 +01:00
Frédéric Karamé 4725a2054d compute incremental weights for gaussian filters. 2012-11-16 12:25:44 +01:00
Frédéric Karamé a96850a090 fix bugs on sorting variables. 
test different cases before doing resampling
 2012-11-16 12:25:44 +01:00
Frédéric Karamé f0fcfa3b62 fix bugs in the univariate smooth resampling approach. 2012-11-16 12:25:44 +01:00
Frédéric Karamé c6e5368a9d fix bug for weights initialization. 
fix bug for calculating observed predicted mean and variance with the correct weights.
 2012-11-16 12:25:44 +01:00
Frédéric Karamé 6350962186 Fixed copyright. 2012-11-16 12:18:55 +01:00
Stéphane Adjemian (Charybdis) 4604148d2f Put back pruning in particle filter (implemented in sequential_importance_particle_filter). 2012-11-07 15:58:56 +01:00
Stéphane Adjemian (Charybdis) c7bd05224f Fixed issue with weights when computing first and second order moments. 2012-11-07 10:48:05 +01:00
Sébastien Villemot 1f9cea669a Update copyright notices 2012-06-08 18:22:34 +02:00
Stéphane Adjemian (Charybdis) ac2fa68b86 Fixed bug related to the resampling of the particles. 2012-05-04 11:22:17 +02:00
Stéphane Adjemian (Charybdis) be33621ca5 Fixed texinfo header + Cosmetic changes. 2012-03-30 12:08:13 +02:00
Stéphane Adjemian (Charybdis) 9bfc3f6ec6 Fixed bugs and typos. 2012-03-30 12:00:08 +02:00
Stéphane Adjemian (Charybdis) 2db0c98b9b Fixed texinfo header. 2012-03-30 11:55:01 +02:00
Stéphane Adjemian (Charybdis) 795d0fce16 Cosmetic changes. 2012-03-30 11:48:23 +02:00
Stéphane Adjemian (Charybdis) 6c6b62937f Added smooth resampling. 2012-03-30 11:47:24 +02:00
Stéphane Adjemian (Charybdis) 294dbdc52c Fixed bug in the evaluation of the likelihood. 2012-03-30 11:21:24 +02:00
Stéphane Adjemian (Charybdis) 4aedf7e9c0 Added a commented line to print the effective number of particles if needed. 2012-03-12 10:29:25 +01:00
Stéphane Adjemian (Charybdis) 1ac55d8be8 Fixed bug. 2012-03-09 12:57:58 +01:00
Stéphane Adjemian (Charybdis) ec9b47426a Added an option for the threshold level of neff in the generic case of the resampling routines. 2012-03-09 12:44:25 +01:00
Stéphane Adjemian (Charybdis) f12e8a3754 Force the weights to sum up to one, and not to the number of particles as in WK (Econometrica 2010). 2012-03-08 16:36:31 +01:00
Stéphane Adjemian (Charybdis) 8184ff3fdd Fixed bug (wrong calling to the resample routine: missing inputs). 2012-03-08 15:53:20 +01:00
Stéphane Adjemian (Charybdis) 7f1ab166f5 Fixed bug. 2012-03-08 15:44:14 +01:00
Stéphane Adjemian (Charybdis) a2f3a53634 Parallelization of local_state_space_iteration_2 (used in non linear filters). 2012-03-05 23:11:49 +01:00
Stéphane Adjemian (Charybdis) 0d58e1855d Fixed compatibility issue with octave (use set_dynare_seed routine instead of the matlab's commands 
to set the seed of the random number generators).
 2012-03-05 14:37:55 +01:00
Stéphane Adjemian (Charybdis) cc281897e0 Added new routine for non linear filter (auxiliary particle filter). 2012-03-04 22:13:00 +01:00
Stéphane Adjemian (Charybdis) 724b99412f Added option for kitagawa/stratified approach in traditional resampling. 2012-03-04 22:12:59 +01:00
Stéphane Adjemian (Charybdis) 3b471e3a99 Bug fix. Added missing input (method specification) to the resampling routine. 2012-03-04 22:12:59 +01:00
Stéphane Adjemian (Charybdis) 13f1e62de8 Deleted trailing white spaces. 2012-03-04 22:12:58 +01:00
Stéphane Adjemian (Charybdis) e882a2ea36 Added unitary test. 2012-03-04 22:09:18 +01:00
Stéphane Adjemian (Charybdis) 0aaa7a8a13 Fixed bug in internal tests of local_state_space_iteration_2 routine. 2012-03-04 22:07:27 +01:00