function [nodes,W_m,W_c] = unscented_sigma_points(n,ParticleOptions) % % Computes nodes and weigths for a scaled unscented transform cubature % INPUTS % n [integer] scalar, number of variables. % % OUTPUTS % nodes [double] nodes of the cubature % weigths [double] associated weigths % % REFERENCES % % % % NOTES % % Copyright © 2009-2017 Dynare Team % % This file is part of Dynare. % % Dynare is free software: you can redistribute it and/or modify % it under the terms of the GNU General Public License as published by % the Free Software Foundation, either version 3 of the License, or % (at your option) any later version. % % Dynare is distributed in the hope that it will be useful, % but WITHOUT ANY WARRANTY; without even the implied warranty of % MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the % GNU General Public License for more details. % % You should have received a copy of the GNU General Public License % along with Dynare. If not, see . lambda = (ParticleOptions.unscented.alpha^2)*(n+ParticleOptions.unscented.kappa) - n ; nodes = [ zeros(n,1) ( sqrt(n+lambda).*([ eye(n) -eye(n)]) ) ]' ; W_m = lambda/(n+lambda) ; W_c = W_m + (1-ParticleOptions.unscented.alpha^2+ParticleOptions.unscented.beta) ; temp = ones(2*n,1)/(2*(n+lambda)) ; W_m = [W_m ; temp] ; W_c = [W_c ; temp] ;