Commit f41e969d authored by Frédéric Karamé's avatar Frédéric Karamé
Browse files

computes the weights and the nodes for approximating gaussian distributions...

computes the weights and the nodes for approximating gaussian distributions using the scaled unscented approach.
parent a184e80a
function [nodes,W_m,W_c] = unscented_sigma_points(n,DynareOptions)
%
% 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 (C) 2009-2012 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 <http://www.gnu.org/licenses/>.
lambda = (DynareOptions.particle.unscented.alpha^2)*(n+DynareOptions.particle.unscented.kappa) - n ;
nodes = [ zeros(n,1) ( sqrt(n+lambda).*([ eye(n) -eye(n)]) ) ]' ;
W_m = lambda/(n+lambda) ;
W_c = W_m + (1-DynareOptions.particle.unscented.alpha^2+DynareOptions.particle.unscented.beta) ;
temp = ones(2*n,1)/(2*(n+lambda)) ;
W_m = [W_m ; temp] ;
W_c = [W_c ; temp] ;
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