29 lines
1.1 KiB
Matlab
29 lines
1.1 KiB
Matlab
function State_Particles = importance_sampling(StateMuPost,StateSqrtPPost,StateWeightsPost,numP)
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% Copyright © 2013-2017 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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[Xdim,Gsecond] = size(StateMuPost) ;
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u = rand(numP,1);
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[Nc,comp] = histc(u, cumsum([0; StateWeightsPost]));
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State_Particles = zeros(Xdim,numP);
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for k=1:Gsecond
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idx = bsxfun(@eq,comp,k*ones(size(comp))) ;
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State_Particles(:,idx) = StateSqrtPPost(:,:,k)*randn(Xdim,Nc(k));
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end
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State_Particles= State_Particles + StateMuPost(:,comp);
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