diff --git a/matlab/DiffuseKalmanSmoother3_Z.m b/matlab/DiffuseKalmanSmoother3_Z.m
index a977b2ab1705d9fe99202257f21568fe6bfb685d..b30e3b3b7582349dc13758bbf1ee8b693aac6704 100644
--- a/matlab/DiffuseKalmanSmoother3_Z.m
+++ b/matlab/DiffuseKalmanSmoother3_Z.m
@@ -83,11 +83,11 @@ end
Fstar = zeros(pp,smpl_diff);
Finf = zeros(pp,smpl_diff);
-Fi = zeros(pp,smpl_diff);
+Fi = zeros(pp,smpl);
Ki = zeros(mm,pp,smpl);
-Li = zeros(mm,mm,pp,smpl);
-Linf = zeros(mm,mm,pp,smpl_diff);
-L0 = zeros(mm,mm,pp,smpl_diff);
+%Li = zeros(mm,mm,pp,smpl);
+%Linf = zeros(mm,mm,pp,smpl_diff);
+%L0 = zeros(mm,mm,pp,smpl_diff);
Kstar = zeros(mm,pp,smpl_diff);
P = zeros(mm,mm,smpl+1);
P1 = P;
@@ -126,8 +126,8 @@ while newRank & t < smpl
if Finf(i,t) > crit & newRank
icc=icc+1;
Kinf(:,i,t) = Pinf(:,:,t)*Zi';
- Linf(:,:,i,t) = eye(mm) - Kinf(:,i,t)*Z(i,:)/Finf(i,t);
- L0(:,:,i,t) = (Kinf(:,i,t)*Fstar(i,t)/Finf(i,t) - Kstar(:,i,t))*Zi/Finf(i,t);
+ % Linf(:,:,i,t) = eye(mm) - Kinf(:,i,t)*Z(i,:)/Finf(i,t);
+ % L0(:,:,i,t) = (Kinf(:,i,t)*Fstar(i,t)/Finf(i,t) - Kstar(:,i,t))*Zi/Finf(i,t);
a(:,t) = a(:,t) + Kinf(:,i,t)*v(i,t)/Finf(i,t);
Pstar(:,:,t) = Pstar(:,:,t) + ...
Kinf(:,i,t)*Kinf(:,i,t)'*Fstar(i,t)/(Finf(i,t)*Finf(i,t)) - ...
@@ -156,7 +156,7 @@ while newRank & t < smpl
%% Note that : (1) rank(Pinf)=0 implies that Finf = 0, (2) outside this loop (when for some i and t the condition
%% rank(Pinf)=0 is satisfied we have P = Pstar and F = Fstar and (3) Finf = 0 does not imply that
%% rank(Pinf)=0. [st�phane,11-03-2004].
- Li(:,:,i,t) = eye(mm)-Kstar(:,i,t)*Z(i,:)/Fstar(i,t); % we need to store Li for DKF smoother
+ % Li(:,:,i,t) = eye(mm)-Kstar(:,i,t)*Z(i,:)/Fstar(i,t); % we need to store Li for DKF smoother
a(:,t) = a(:,t) + Kstar(:,i,t)*v(i,t)/Fstar(i,t);
Pstar(:,:,t) = Pstar(:,:,t) - Kstar(:,i,t)*Kstar(:,i,t)'/Fstar(i,t);
Pstar(:,:,t)=tril(Pstar(:,:,t))+tril(Pstar(:,:,t),-1)';
@@ -177,8 +177,8 @@ end
d = t;
P(:,:,d+1) = Pstar(:,:,d+1);
-Linf = Linf(:,:,:,1:d);
-L0 = L0(:,:,:,1:d);
+%Linf = Linf(:,:,:,1:d);
+%L0 = L0(:,:,:,1:d);
Fstar = Fstar(:,1:d);
Finf = Finf(:,1:d);
Kstar = Kstar(:,:,1:d);
@@ -198,7 +198,7 @@ while notsteady & t<smpl
Fi(i,t) = Zi*P(:,:,t)*Zi';
Ki(:,i,t) = P(:,:,t)*Zi';
if Fi(i,t) > crit
- Li(:,:,i,t) = eye(mm)-Ki(:,i,t)*Z(i,:)/Fi(i,t);
+ % Li(:,:,i,t) = eye(mm)-Ki(:,i,t)*Z(i,:)/Fi(i,t);
a(:,t) = a(:,t) + Ki(:,i,t)*v(i,t)/Fi(i,t);
P(:,:,t) = P(:,:,t) - Ki(:,i,t)*Ki(:,i,t)'/Fi(i,t);
P(:,:,t)=tril(P(:,:,t))+tril(P(:,:,t),-1)';
@@ -212,45 +212,45 @@ while notsteady & t<smpl
PK(jnk,:,:,t+jnk) = Pf;
end
P(:,:,t+1) = T*P(:,:,t)*T' + QQ;
- notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit);
-end
-P_s=tril(P(:,:,t))+tril(P(:,:,t),-1)';
-P1_s=tril(P1(:,:,t))+tril(P1(:,:,t),-1)';
-Fi_s = Fi(:,t);
-Ki_s = Ki(:,:,t);
-L_s =Li(:,:,:,t);
-if t<smpl
- P = cat(3,P(:,:,1:t),repmat(P_s,[1 1 smpl-t]));
- P1 = cat(3,P1(:,:,1:t),repmat(P1_s,[1 1 smpl-t]));
- Fi = cat(2,Fi(:,1:t),repmat(Fi_s,[1 1 smpl-t]));
- Li = cat(4,Li(:,:,:,1:t),repmat(L_s,[1 1 smpl-t]));
- Ki = cat(3,Ki(:,:,1:t),repmat(Ki_s,[1 1 smpl-t]));
-end
-while t<smpl
- t=t+1;
- a(:,t) = a1(:,t);
- for i=1:pp
- Zi = Z(i,:);
- v(i,t) = Y(i,t) - Zi*a(:,t);
- if Fi_s(i) > crit
- a(:,t) = a(:,t) + Ki_s(:,i)*v(i,t)/Fi_s(i);
- end
- end
- a1(:,t+1) = T*a(:,t);
- Pf = P(:,:,t);
- for jnk=1:nk,
- Pf = T*Pf*T' + QQ;
- aK(jnk,:,t+jnk) = T^jnk*a(:,t);
- PK(jnk,:,:,t+jnk) = Pf;
- end
+ % notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit);
end
+% $$$ P_s=tril(P(:,:,t))+tril(P(:,:,t),-1)';
+% $$$ P1_s=tril(P1(:,:,t))+tril(P1(:,:,t),-1)';
+% $$$ Fi_s = Fi(:,t);
+% $$$ Ki_s = Ki(:,:,t);
+% $$$ L_s =Li(:,:,:,t);
+% $$$ if t<smpl
+% $$$ P = cat(3,P(:,:,1:t),repmat(P_s,[1 1 smpl-t]));
+% $$$ P1 = cat(3,P1(:,:,1:t),repmat(P1_s,[1 1 smpl-t]));
+% $$$ Fi = cat(2,Fi(:,1:t),repmat(Fi_s,[1 1 smpl-t]));
+% $$$ Li = cat(4,Li(:,:,:,1:t),repmat(L_s,[1 1 smpl-t]));
+% $$$ Ki = cat(3,Ki(:,:,1:t),repmat(Ki_s,[1 1 smpl-t]));
+% $$$ end
+% $$$ while t<smpl
+% $$$ t=t+1;
+% $$$ a(:,t) = a1(:,t);
+% $$$ for i=1:pp
+% $$$ Zi = Z(i,:);
+% $$$ v(i,t) = Y(i,t) - Zi*a(:,t);
+% $$$ if Fi_s(i) > crit
+% $$$ a(:,t) = a(:,t) + Ki_s(:,i)*v(i,t)/Fi_s(i);
+% $$$ end
+% $$$ end
+% $$$ a1(:,t+1) = T*a(:,t);
+% $$$ Pf = P(:,:,t);
+% $$$ for jnk=1:nk,
+% $$$ Pf = T*Pf*T' + QQ;
+% $$$ aK(jnk,:,t+jnk) = T^jnk*a(:,t);
+% $$$ PK(jnk,:,:,t+jnk) = Pf;
+% $$$ end
+% $$$ end
ri=zeros(mm,1);
t = smpl+1;
while t > d+1
t = t-1;
for i=pp:-1:1
if Fi(i,t) > crit
- ri = Z(i,:)'/Fi(i,t)*v(i,t)+Li(:,:,i,t)'*ri;
+ ri = Z(i,:)'/Fi(i,t)*v(i,t)+ri-Ki(:,i,t)'*ri/Fi(i,t)*Z(i,:)';
end
end
r(:,t) = ri;
@@ -267,10 +267,11 @@ if d
% if Finf(i,t) > crit & ~(t==d & i>options_.diffuse_d), % use of options_.diffuse_d to be sure of DKF termination
if Finf(i,t) > crit
r1(:,t) = Z(i,:)'*v(i,t)/Finf(i,t) + ...
- L0(:,:,i,t)'*r0(:,t) + Linf(:,:,i,t)'*r1(:,t);
- r0(:,t) = Linf(:,:,i,t)'*r0(:,t);
+ (Kinf(:,i,t)'*Fstar(i,t)/Finf(i,t)-Kstar(:,i,t)')*r0(:,t)/Finf(i,t)*Z(i,:)' + ...
+ r1(:,t)-Kinf(:,i,t)'*r1(:,t)/Finf(i,t)*Z(i,:)';
+ r0(:,t) = r0(:,t)-Kinf(:,i,t)'*r0(:,t)/Finf(i,t)*Z(i,:)';
elseif Fstar(i,t) > crit % step needed whe Finf == 0
- r0(:,t) = Z(i,:)'/Fstar(i,t)*v(i,t)+Li(:,:,i,t)'*r0(:,t);
+ r0(:,t) = Z(i,:)'/Fstar(i,t)*v(i,t)+r0(:,t)-(Kstar(:,i,t)'*r0(:,t))/Fstar(i,t)*Z(i,:)';
end
end
alphahat(:,t) = a1(:,t) + Pstar1(:,:,t)*r0(:,t) + Pinf1(:,:,t)*r1(:,t);
@@ -290,7 +291,7 @@ if nargout > 7
ri_d = zeros(mm,1);
for i=pp:-1:1
if Fi(i,t) > crit
- ri_d = Z(i,:)'/Fi(i,t)*v(i,t)+Li(:,:,i,t)'*ri_d;
+ ri_d = Z(i,:)'/Fi(i,t)*v(i,t)+ri_d-Ki(:,i,t)'*ri_d/Fi(i,t)*Z(i,:)';
end
end
@@ -298,11 +299,11 @@ if nargout > 7
eta_tm1t = QRt*ri_d;
% calculate decomposition
Ttok = eye(mm,mm);
+ AAA = P1(:,:,t)*Z'*ZRQinv*Z*R;
for h = 1:nk
+ BBB = Ttok*AAA;
for j=1:rr
- eta=zeros(rr,1);
- eta(j) = eta_tm1t(j);
- decomp(h,:,j,t+h) = Ttok*P1(:,:,t)*Z'*ZRQinv*Z*R*eta;
+ decomp(h,:,j,t+h) = eta_tm1t(j)*BBB(:,j);
end
Ttok = T*Ttok;
end