From cdc7f6ddf9e3c69a0c01215724cf370b9f81d176 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?Fr=C3=A9d=C3=A9ric=20Karam=C3=A9?=
<frederic.karame@univ-lemans.fr>
Date: Fri, 2 Oct 2015 16:02:49 +0200
Subject: [PATCH] Modify the weights to prevent crash in the cholesky of the
covariance.
---
src/gaussian_filter.m | 12 ++++++++----
1 file changed, 8 insertions(+), 4 deletions(-)
diff --git a/src/gaussian_filter.m b/src/gaussian_filter.m
index 5500ea8..9ec83a0 100644
--- a/src/gaussian_filter.m
+++ b/src/gaussian_filter.m
@@ -92,14 +92,14 @@ if isempty(H)
H = 0;
H_lower_triangular_cholesky = 0;
else
- H_lower_triangular_cholesky = reduced_rank_cholesky(H)';
+ H_lower_triangular_cholesky = chol(H)' ; %reduced_rank_cholesky(H)';
end
% Get initial condition for the state vector.
StateVectorMean = ReducedForm.StateVectorMean;
-StateVectorVarianceSquareRoot = reduced_rank_cholesky(ReducedForm.StateVectorVariance)';
+StateVectorVarianceSquareRoot = chol(ReducedForm.StateVectorVariance)';%reduced_rank_cholesky(ReducedForm.StateVectorVariance)';
state_variance_rank = size(StateVectorVarianceSquareRoot,2);
-Q_lower_triangular_cholesky = reduced_rank_cholesky(Q)';
+Q_lower_triangular_cholesky = chol(Q)'; %reduced_rank_cholesky(Q)';
% Initialization of the likelihood.
const_lik = (2*pi)^(number_of_observed_variables/2) ;
@@ -126,12 +126,16 @@ for t=1:sample_size
1/number_of_particles,1/number_of_particles,ReducedForm,ThreadsOptions) ;
SampleWeights = IncrementalWeights/number_of_particles ;
end
+ SampleWeights = SampleWeights + 1e-6*ones(size(SampleWeights,1),1) ;
SumSampleWeights = sum(SampleWeights) ;
lik(t) = log(SumSampleWeights) ;
SampleWeights = SampleWeights./SumSampleWeights ;
StateVectorMean = StateParticles*SampleWeights ;
temp = bsxfun(@minus,StateParticles,StateVectorMean) ;
- StateVectorVarianceSquareRoot = reduced_rank_cholesky( bsxfun(@times,SampleWeights',temp)*temp' )';
+ %disp(SampleWeights)
+ %disp(StateParticles)
+ %disp(StateVectorMean)
+ StateVectorVarianceSquareRoot = chol( bsxfun(@times,SampleWeights',temp)*temp' )';%reduced_rank_cholesky( bsxfun(@times,SampleWeights',temp)*temp' )';
end
LIK = -sum(lik(start:end));
--
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