43 lines
1.4 KiB
Matlab
43 lines
1.4 KiB
Matlab
function [nodes,W_m,W_c] = unscented_sigma_points(n,DynareOptions)
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%
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% Computes nodes and weigths for a scaled unscented transform cubature
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% INPUTS
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% n [integer] scalar, number of variables.
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%
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% OUTPUTS
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% nodes [double] nodes of the cubature
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% weigths [double] associated weigths
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%
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% REFERENCES
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%
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%
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%
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% NOTES
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%
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% Copyright (C) 2009-2012 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 <http://www.gnu.org/licenses/>.
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lambda = (DynareOptions.particle.unscented.alpha^2)*(n+DynareOptions.particle.unscented.kappa) - n ;
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nodes = [ zeros(n,1) ( sqrt(n+lambda).*([ eye(n) -eye(n)]) ) ]' ;
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W_m = lambda/(n+lambda) ;
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W_c = W_m + (1-DynareOptions.particle.unscented.alpha^2+DynareOptions.particle.unscented.beta) ;
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temp = ones(2*n,1)/(2*(n+lambda)) ;
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W_m = [W_m ; temp] ;
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W_c = [W_c ; temp] ;
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