82 lines
2.4 KiB
Matlab
82 lines
2.4 KiB
Matlab
function new_particles = univariate_smooth_resampling(weights,particles,number_of_new_particles)
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% Smooth Resampling of the particles.
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%@info:
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%! @deftypefn {Function File} {@var{new_particles} =} univariate_smooth_resampling (@var{weights}, @var{number_of_new_particles})
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%! @anchor{particle/univariate_smooth_resampling}
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%! @sp 1
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%! Smooth Resampling of the particles (univariate version).
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%! @sp 2
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%! @strong{Inputs}
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%! @sp 1
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%! @table @ @var
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%! @item weights
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%! n*1 vector of doubles, particles' weights.
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%! @item particles
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%! n*1 vector of doubles, particles.
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%! @item number_of_new_particles
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%! Integer scalar.
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%! @end table
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%! @sp 2
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%! @strong{Outputs}
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%! @sp 1
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%! @table @ @var
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%! @item indx
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%! number_of_new_particles*1 vector of doubles, new particles.
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%! @end table
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%! @sp 2
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%! @strong{This function is called by:}
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%! @sp 1
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%! @ref{particle/sequantial_importance_particle_filter}
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%! @sp 2
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%! @strong{This function calls:}
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%! @sp 2
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%! @end deftypefn
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%@eod:
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% Copyright © 2012-2017 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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% AUTHOR(S) frederic DOT karame AT univ DASH lemans DOT fr
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% stephane DOT adjemian AT univ DASH lemans DOT fr
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M = length(particles) ;
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lambda_tilde = [ (.5*weights(1)) ;
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(.5*(weights(1:M-1)+weights(2:M))) ;
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(.5*weights(M)) ] ;
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lambda_bar = cumsum(lambda_tilde) ;
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u = rand(1,1) ;
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new_particles = zeros(number_of_new_particles,1) ;
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rj = 0 ;
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i = 1 ;
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j = 1 ;
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while i<=number_of_new_particles
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u_j = ( i-1 + u)/number_of_new_particles ;
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while u_j>lambda_bar(j)
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rj = j ;
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j = j+1 ;
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end
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if rj==0
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new_particles(i) = particles(1) ;
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elseif rj==M
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new_particles(i) = particles(M) ;
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else
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u_star = (u_j - lambda_bar(rj))./lambda_tilde(rj+1) ;
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new_particles(i) = (particles(rj+1) - particles(rj))*u_star + particles(rj) ;
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end
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i = i+1 ;
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end |