From d2c324eeee5118c203218baf983a477aa8f53220 Mon Sep 17 00:00:00 2001
From: Normann Rion <normann@dynare.org>
Date: Sat, 1 Jul 2023 16:43:48 +0200
Subject: [PATCH] Amends the various filters to fit the fixed version of
local_state_space_iteration_3
See MR !2144 for more details
---
.../src/auxiliary_initialization.m | 4 ++-
.../src/auxiliary_particle_filter.m | 21 +++++++++-------
.../src/conditional_filter_proposal.m | 4 ++-
.../src/gaussian_filter_bank.m | 4 ++-
.../src/gaussian_mixture_filter_bank.m | 4 ++-
.../src/measurement_equations.m | 4 ++-
.../src/nonlinear_kalman_filter.m | 4 ++-
.../src/online_auxiliary_filter.m | 25 +++++++++++--------
.../sequential_importance_particle_filter.m | 19 ++++++++------
.../src/solve_model_for_online_filter.m | 1 +
10 files changed, 57 insertions(+), 33 deletions(-)
diff --git a/matlab/nonlinear-filters/src/auxiliary_initialization.m b/matlab/nonlinear-filters/src/auxiliary_initialization.m
index 3e279117b7..e05741052a 100644
--- a/matlab/nonlinear-filters/src/auxiliary_initialization.m
+++ b/matlab/nonlinear-filters/src/auxiliary_initialization.m
@@ -33,6 +33,7 @@ end
% Get steady state and mean.
%steadystate = ReducedForm.steadystate;
constant = ReducedForm.constant;
+ss = ReducedForm.ys;
state_variables_steady_state = ReducedForm.state_variables_steady_state;
% Set persistent variables.
@@ -54,6 +55,7 @@ ghu = ReducedForm.ghu;
ghxx = ReducedForm.ghxx;
ghuu = ReducedForm.ghuu;
ghxu = ReducedForm.ghxu;
+ghs2 = ReducedForm.ghs2;
if (order == 3)
ghxxx = ReducedForm.ghxxx;
ghuuu = ReducedForm.ghuuu;
@@ -100,7 +102,7 @@ yhat = bsxfun(@minus,StateVectors,state_variables_steady_state);
if (order == 2)
tmp = local_state_space_iteration_2(yhat,zeros(number_of_structural_innovations,number_of_particles),ghx,ghu,constant,ghxx,ghuu,ghxu,ThreadsOptions.local_state_space_iteration_2);
elseif (order == 3)
- tmp = local_state_space_iteration_3(yhat,zeros(number_of_structural_innovations,number_of_particles),ghx,ghu,constant,ghxx,ghuu,ghxu,ghxxx,ghuuu,ghxxu,ghxuu,ghxss,ghuss,ThreadsOptions.local_state_space_iteration_3);
+ tmp = local_state_space_iteration_3(yhat, zeros(number_of_structural_innovations,number_of_particles), ghx, ghu, ghxx, ghuu, ghxu, ghs2, ghxxx, ghuuu, ghxxu, ghxuu, ghxss, ghuss, ss, options_.threads.local_state_space_iteration_3, false);
else
error('Orders > 3 not allowed');
end
diff --git a/matlab/nonlinear-filters/src/auxiliary_particle_filter.m b/matlab/nonlinear-filters/src/auxiliary_particle_filter.m
index b84eca837a..21caa73bd1 100644
--- a/matlab/nonlinear-filters/src/auxiliary_particle_filter.m
+++ b/matlab/nonlinear-filters/src/auxiliary_particle_filter.m
@@ -54,6 +54,7 @@ else
ghxx = ReducedForm.ghxx;
ghuu = ReducedForm.ghuu;
ghxu = ReducedForm.ghxu;
+ ghs2 = ReducedForm.ghs2;
if (order == 3)
% Set local state space model (third order approximation).
ghxxx = ReducedForm.ghxxx;
@@ -93,11 +94,13 @@ if pruning
state_variables_steady_state_ = state_variables_steady_state;
mf0_ = mf0;
elseif order == 3
- StateVectors_ = repmat(StateVectors,2,1);
- state_variables_steady_state_ = repmat(state_variables_steady_state,2,1);
- mf0_ = repmat(mf0,1,2);
- mask = number_of_state_variables+1:2*number_of_state_variables;
- mf0_(mask) = mf0_(mask)+size(ghx,1);
+ StateVectors_ = repmat(StateVectors,3,1);
+ state_variables_steady_state_ = repmat(state_variables_steady_state,3,1);
+ mf0_ = repmat(mf0,1,3);
+ mask2 = number_of_state_variables+1:2*number_of_state_variables;
+ mask3 = 2*number_of_state_variables+1:3*number_of_state_variables;
+ mf0_(mask2) = mf0_(mask2)+size(ghx,1);
+ mf0_(mask3) = mf0_(mask3)+2*size(ghx,1);
else
error('Pruning is not available for orders > 3');
end
@@ -110,7 +113,7 @@ for t=1:sample_size
if order == 2
[tmp, tmp_] = local_state_space_iteration_2(yhat,zeros(number_of_structural_innovations,number_of_particles),ghx,ghu,constant,ghxx,ghuu,ghxu,yhat_,steadystate,ThreadsOptions.local_state_space_iteration_2);
elseif order == 3
- [tmp, tmp_] = local_state_space_iteration_3(yhat,zeros(number_of_structural_innovations,number_of_particles),ghx,ghu,constant,ghxx,ghuu,ghxu,ghxxx,ghuuu,ghxxu,ghxuu,ghxss,ghuss,yhat_,steadystate,ThreadsOptions.local_state_space_iteration_3);
+ [tmp, tmp_] = local_state_space_iteration_3(yhat_, zeros(number_of_structural_innovations,number_of_particles), ghx, ghu, ghxx, ghuu, ghxu, ghs2, ghxxx, ghuuu, ghxxu, ghxuu, ghxss, ghuss, steadystate, ThreadsOptions.local_state_space_iteration_3, pruning);
else
error('Pruning is not available for orders > 3');
end
@@ -121,7 +124,7 @@ for t=1:sample_size
if order == 2
tmp = local_state_space_iteration_2(yhat,zeros(number_of_structural_innovations,number_of_particles),ghx,ghu,constant,ghxx,ghuu,ghxu,ThreadsOptions.local_state_space_iteration_2);
elseif order == 3
- tmp = local_state_space_iteration_3(yhat,zeros(number_of_structural_innovations,number_of_particles),ghx,ghu,constant,ghxx,ghuu,ghxu,ghxxx,ghuuu,ghxxu,ghxuu,ghxss,ghuss,ThreadsOptions.local_state_space_iteration_3);
+ tmp = local_state_space_iteration_3(yhat, zeros(number_of_structural_innovations,number_of_particles), ghx, ghu, ghxx, ghuu, ghxu, ghs2, ghxxx, ghuuu, ghxxu, ghxuu, ghxss, ghuss, steadystate, ThreadsOptions.local_state_space_iteration_3, pruning);
else
error('Order > 3: use_k_order_solver should be set to true');
end
@@ -142,7 +145,7 @@ for t=1:sample_size
if order == 2
[tmp, tmp_] = local_state_space_iteration_2(yhat,epsilon,ghx,ghu,constant,ghxx,ghuu,ghxu,yhat_,steadystate,ThreadsOptions.local_state_space_iteration_2);
elseif order == 3
- [tmp, tmp_] = local_state_space_iteration_3(yhat,epsilon,ghx,ghu,constant,ghxx,ghuu,ghxu,ghxxx,ghuuu,ghxxu,ghxuu,ghxss,ghuss,yhat_,steadystate,ThreadsOptions.local_state_space_iteration_3);
+ [tmp, tmp_] = local_state_space_iteration_3(yhat_, epsilon, ghx, ghu, ghxx, ghuu, ghxu, ghs2, ghxxx, ghuuu, ghxxu, ghxuu, ghxss, ghuss, steadystate, ThreadsOptions.local_state_space_iteration_3, pruning);
else
error('Pruning is not available for orders > 3');
end
@@ -154,7 +157,7 @@ for t=1:sample_size
if order == 2
tmp = local_state_space_iteration_2(yhat, epsilon, ghx, ghu, constant, ghxx, ghuu, ghxu, ThreadsOptions.local_state_space_iteration_2);
elseif order == 3
- tmp = local_state_space_iteration_3(yhat, epsilon, ghx, ghu, constant, ghxx, ghuu, ghxu, ghxxx, ghuuu, ghxxu, ghxuu, ghxss, ghuss, ThreadsOptions.local_state_space_iteration_3);
+ tmp = local_state_space_iteration_3(yhat, epsilon, ghx, ghu, ghxx, ghuu, ghxu, ghs2, ghxxx, ghuuu, ghxxu, ghxuu, ghxss, ghuss, steadystate, ThreadsOptions.local_state_space_iteration_3, pruning);
else
error('Order > 3: use_k_order_solver should be set to true');
end
diff --git a/matlab/nonlinear-filters/src/conditional_filter_proposal.m b/matlab/nonlinear-filters/src/conditional_filter_proposal.m
index 45d7886ae2..4d60a44358 100644
--- a/matlab/nonlinear-filters/src/conditional_filter_proposal.m
+++ b/matlab/nonlinear-filters/src/conditional_filter_proposal.m
@@ -54,6 +54,7 @@ else
ghxx = ReducedForm.ghxx;
ghuu = ReducedForm.ghuu;
ghxu = ReducedForm.ghxu;
+ ghs2 = ReducedForm.ghs2;
if order == 3
% Set local state space model (third order approximation).
ghxxx = ReducedForm.ghxxx;
@@ -66,6 +67,7 @@ else
end
constant = ReducedForm.constant;
+steadystate = ReducedForm.steadystate;
state_variables_steady_state = ReducedForm.state_variables_steady_state;
mf0 = ReducedForm.mf0;
@@ -96,7 +98,7 @@ else
if order == 2
tmp = local_state_space_iteration_2(yhat, epsilon, ghx, ghu, constant, ghxx, ghuu, ghxu, ThreadsOptions.local_state_space_iteration_2);
elseif order == 3
- tmp = local_state_space_iteration_3(yhat, epsilon, ghx, ghu, constant, ghxx, ghuu, ghxu, ghxxx, ghuuu, ghxxu, ghxuu, ghxss, ghuss, ThreadsOptions.local_state_space_iteration_3);
+ tmp = local_state_space_iteration_3(yhat, epsilon, ghx, ghu, ghxx, ghuu, ghxu, ghs2, ghxxx, ghuuu, ghxxu, ghxuu, ghxss, ghuss, steadystate, ThreadsOptions.local_state_space_iteration_3, false);
else
error('Order > 3: use_k_order_solver should be set to true');
end
diff --git a/matlab/nonlinear-filters/src/gaussian_filter_bank.m b/matlab/nonlinear-filters/src/gaussian_filter_bank.m
index d7a649fa41..17ae110cc6 100644
--- a/matlab/nonlinear-filters/src/gaussian_filter_bank.m
+++ b/matlab/nonlinear-filters/src/gaussian_filter_bank.m
@@ -52,6 +52,7 @@ else
ghxx = ReducedForm.ghxx;
ghuu = ReducedForm.ghuu;
ghxu = ReducedForm.ghxu;
+ ghs2 = ReducedForm.ghs2;
if order == 3
% Set local state space model (third order approximation).
ghxxx = ReducedForm.ghxxx;
@@ -64,6 +65,7 @@ else
end
constant = ReducedForm.constant;
+steadystate = ReducedForm.steadystate;
state_variables_steady_state = ReducedForm.state_variables_steady_state;
mf0 = ReducedForm.mf0;
@@ -98,7 +100,7 @@ else
if order == 2
tmp = local_state_space_iteration_2(yhat, epsilon, ghx, ghu, constant, ghxx, ghuu, ghxu, ThreadsOptions.local_state_space_iteration_2);
elseif order == 3
- tmp = local_state_space_iteration_3(yhat, epsilon, ghx, ghu, constant, ghxx, ghuu, ghxu, ghxxx, ghuuu, ghxxu, ghxuu, ghxss, ghuss, ThreadsOptions.local_state_space_iteration_3);
+ tmp = local_state_space_iteration_3(yhat, epsilon, ghx, ghu, ghxx, ghuu, ghxu, ghs2, ghxxx, ghuuu, ghxxu, ghxuu, ghxss, ghuss, steadystate, ThreadsOptions.local_state_space_iteration_3, false);
else
error('Order > 3: use_k_order_solver should be set to true');
end
diff --git a/matlab/nonlinear-filters/src/gaussian_mixture_filter_bank.m b/matlab/nonlinear-filters/src/gaussian_mixture_filter_bank.m
index 69e3eb6137..acbe77f2b0 100644
--- a/matlab/nonlinear-filters/src/gaussian_mixture_filter_bank.m
+++ b/matlab/nonlinear-filters/src/gaussian_mixture_filter_bank.m
@@ -54,6 +54,7 @@ else
ghxx = ReducedForm.ghxx;
ghuu = ReducedForm.ghuu;
ghxu = ReducedForm.ghxu;
+ ghs2 = ReducedForm.ghs2;
if order == 3
% Set local state space model (third order approximation).
ghxxx = ReducedForm.ghxxx;
@@ -66,6 +67,7 @@ else
end
constant = ReducedForm.constant;
+steadystate = ReducedForm.steadystate;
state_variables_steady_state = ReducedForm.state_variables_steady_state;
mf0 = ReducedForm.mf0;
@@ -94,7 +96,7 @@ else
if order == 2
tmp = local_state_space_iteration_2(yhat, epsilon, ghx, ghu, constant, ghxx, ghuu, ghxu, ThreadsOptions.local_state_space_iteration_2);
elseif order == 3
- tmp = local_state_space_iteration_3(yhat, epsilon, ghx, ghu, constant, ghxx, ghuu, ghxu, ghxxx, ghuuu, ghxxu, ghxuu, ghxss, ghuss, ThreadsOptions.local_state_space_iteration_3);
+ tmp = local_state_space_iteration_3(yhat, epsilon, ghx, ghu, ghxx, ghuu, ghxu, ghs2, ghxxx, ghuuu, ghxxu, ghxuu, ghxss, ghuss, steadystate, ThreadsOptions.local_state_space_iteration_3, false);
else
error('Order > 3: use_k_order_solver should be set to true');
end
diff --git a/matlab/nonlinear-filters/src/measurement_equations.m b/matlab/nonlinear-filters/src/measurement_equations.m
index 477cc1782c..8ed06349d9 100644
--- a/matlab/nonlinear-filters/src/measurement_equations.m
+++ b/matlab/nonlinear-filters/src/measurement_equations.m
@@ -28,6 +28,7 @@ else
ghxx = ReducedForm.ghxx(mf1,:);
ghuu = ReducedForm.ghuu(mf1,:);
ghxu = ReducedForm.ghxu(mf1,:);
+ ghs2 = ReducedForm.ghs2(mf1,:);
if order == 3
ghxxx = ReducedForm.ghxxx(mf1,:);
ghuuu = ReducedForm.ghuuu(mf1,:);
@@ -37,6 +38,7 @@ else
ghuss = ReducedForm.ghuss(mf1,:);
end
end
+steadystate = ReducedForm.steadystate(mf1,:);
constant = ReducedForm.constant(mf1,:);
state_variables_steady_state = ReducedForm.state_variables_steady_state;
number_of_structural_innovations = length(ReducedForm.Q);
@@ -48,7 +50,7 @@ else
if order == 2
measure = local_state_space_iteration_2(yhat, zeros(number_of_structural_innovations, size(yhat,2)), ghx, ghu, constant, ghxx, ghuu, ghxu, ThreadsOptions.local_state_space_iteration_2);
elseif order == 3
- measure = local_state_space_iteration_3(yhat, zeros(number_of_structural_innovations, size(yhat,2)), ghx, ghu, constant, ghxx, ghuu, ghxu, ghxxx, ghuuu, ghxxu, ghxuu, ghxss, ghuss, ThreadsOptions.local_state_space_iteration_3);
+ measure = local_state_space_iteration_3(yhat, zeros(number_of_structural_innovations, size(yhat,2)), ghx, ghu, ghxx, ghuu, ghxu, ghs2, ghxxx, ghuuu, ghxxu, ghxuu, ghxss, ghuss, steadystate, ThreadsOptions.local_state_space_iteration_3, false);
else
error('Order > 3: use_k_order_solver should be set to true');
end
diff --git a/matlab/nonlinear-filters/src/nonlinear_kalman_filter.m b/matlab/nonlinear-filters/src/nonlinear_kalman_filter.m
index d46c0cd7ea..ccae0731db 100644
--- a/matlab/nonlinear-filters/src/nonlinear_kalman_filter.m
+++ b/matlab/nonlinear-filters/src/nonlinear_kalman_filter.m
@@ -67,6 +67,7 @@ else
ghxx = ReducedForm.ghxx;
ghuu = ReducedForm.ghuu;
ghxu = ReducedForm.ghxu;
+ ghs2 = ReducedForm.ghs2;
if (order == 3)
% Set local state space model (third order approximation).
ghxxx = ReducedForm.ghxxx;
@@ -79,6 +80,7 @@ else
end
constant = ReducedForm.constant;
+steadystate = ReducedForm.steadystate;
state_variables_steady_state = ReducedForm.state_variables_steady_state;
mf0 = ReducedForm.mf0;
@@ -133,7 +135,7 @@ for t=1:sample_size
if order == 2
tmp = local_state_space_iteration_2(yhat, epsilon, ghx, ghu, constant, ghxx, ghuu, ghxu, ThreadsOptions.local_state_space_iteration_2);
elseif order == 3
- tmp = local_state_space_iteration_3(yhat, epsilon, ghx, ghu, constant, ghxx, ghuu, ghxu, ghxxx, ghuuu, ghxxu, ghxuu, ghxss, ghuss, ThreadsOptions.local_state_space_iteration_3);
+ tmp = local_state_space_iteration_3(yhat, epsilon, ghx, ghu, ghxx, ghuu, ghxu, ghs2, ghxxx, ghuuu, ghxxu, ghxuu, ghxss, ghuss, steadystate, ThreadsOptions.local_state_space_iteration_3, false);
end
end
PredictedStateMean = tmp(mf0,:)*weights ;
diff --git a/matlab/nonlinear-filters/src/online_auxiliary_filter.m b/matlab/nonlinear-filters/src/online_auxiliary_filter.m
index 16bf903e99..bbfb21e3e5 100644
--- a/matlab/nonlinear-filters/src/online_auxiliary_filter.m
+++ b/matlab/nonlinear-filters/src/online_auxiliary_filter.m
@@ -69,7 +69,7 @@ if pruning
if order == 2
StateVectors_ = StateVectors;
elseif order == 3
- StateVectors_ = repmat(StateVectors,2,1);
+ StateVectors_ = repmat(StateVectors,3,1);
else
error('Pruning is not available for orders > 3');
end
@@ -134,6 +134,7 @@ for t=1:sample_size
dr = ReducedForm.dr;
udr = ReducedForm.udr;
else
+ steadystate = ReducedForm.steadystate;
constant = ReducedForm.constant;
% Set local state space model (first-order approximation).
ghx = ReducedForm.ghx;
@@ -142,6 +143,7 @@ for t=1:sample_size
ghxx = ReducedForm.ghxx;
ghuu = ReducedForm.ghuu;
ghxu = ReducedForm.ghxu;
+ ghs2 = ReducedForm.ghs2;
if (order == 3)
% Set local state space model (third order approximation).
ghxxx = ReducedForm.ghxxx;
@@ -155,7 +157,7 @@ for t=1:sample_size
if order == 2
state_variables_steady_state_ = state_variables_steady_state;
elseif order == 3
- state_variables_steady_state_ = repmat(state_variables_steady_state,2,1);
+ state_variables_steady_state_ = repmat(state_variables_steady_state,3,1);
else
error('Pruning is not available for orders > 3');
end
@@ -172,7 +174,7 @@ for t=1:sample_size
if order == 2
[tmp, ~] = local_state_space_iteration_2(yhat, zeros(number_of_structural_innovations, 1), ghx, ghu, constant, ghxx, ghuu, ghxu, yhat_, steadystate, DynareOptions.threads.local_state_space_iteration_2);
elseif order == 3
- [tmp, ~] = local_state_space_iteration_3(yhat, zeros(number_of_structural_innovations, 1), ghx, ghu, constant, ghxx, ghuu, ghxu, ghxxx, ghuuu, ghxxu, ghxuu, ghxss, ghuss, yhat_, steadystate, DynareOptions.threads.local_state_space_iteration_3);
+ [tmp, tmp_] = local_state_space_iteration_3(yhat_, zeros(number_of_structural_innovations, 1), ghx, ghu, ghxx, ghuu, ghxu, ghs2, ghxxx, ghuuu, ghxxu, ghxuu, ghxss, ghuss, steadystate, DynareOptions.threads.local_state_space_iteration_3, pruning);
else
error('Pruning is not available for orders > 3');
end
@@ -180,7 +182,7 @@ for t=1:sample_size
if order == 2
tmp = local_state_space_iteration_2(yhat, zeros(number_of_structural_innovations, 1), ghx, ghu, constant, ghxx, ghuu, ghxu, DynareOptions.threads.local_state_space_iteration_2);
elseif order == 3
- tmp = local_state_space_iteration_3(yhat, zeros(number_of_structural_innovations, 1), ghx, ghu, constant, ghxx, ghuu, ghxu, ghxxx, ghuuu, ghxxu, ghxuu, ghxss, ghuss, DynareOptions.threads.local_state_space_iteration_3);
+ tmp = local_state_space_iteration_3(yhat, zeros(number_of_structural_innovations, 1), ghx, ghu, ghxx, ghuu, ghxu, ghs2, ghxxx, ghuuu, ghxxu, ghxuu, ghxss, ghuss, steadystate, DynareOptions.threads.local_state_space_iteration_3, pruning);
else
error('Order > 3: use_k_order_solver should be set to true');
end
@@ -230,6 +232,7 @@ for t=1:sample_size
ghxx = ReducedForm.ghxx;
ghuu = ReducedForm.ghuu;
ghxu = ReducedForm.ghxu;
+ ghs2 = ReducedForm.ghs2;
if (order == 3)
% Set local state space model (third order approximation).
ghxxx = ReducedForm.ghxxx;
@@ -244,10 +247,12 @@ for t=1:sample_size
state_variables_steady_state_ = state_variables_steady_state;
mf0_ = mf0;
elseif order == 3
- state_variables_steady_state_ = repmat(state_variables_steady_state,2,1);
- mf0_ = repmat(mf0,1,2);
- mask = number_of_state_variables+1:2*number_of_state_variables;
- mf0_(mask) = mf0_(mask)+size(ghx,1);
+ state_variables_steady_state_ = repmat(state_variables_steady_state,3,1);
+ mf0_ = repmat(mf0,1,3);
+ mask2 = number_of_state_variables+1:2*number_of_state_variables;
+ mask3 = 2*number_of_state_variables+1:number_of_state_variables;
+ mf0_(mask2) = mf0_(mask2)+size(ghx,1);
+ mf0_(mask3) = mf0_(mask3)+2*size(ghx,1);
else
error('Pruning is not available for orders > 3');
end
@@ -265,7 +270,7 @@ for t=1:sample_size
if order == 2
[tmp, tmp_] = local_state_space_iteration_2(yhat, epsilon, ghx, ghu, constant, ghxx, ghuu, ghxu, yhat_, steadystate, DynareOptions.threads.local_state_space_iteration_2);
elseif order == 3
- [tmp, tmp_] = local_state_space_iteration_3(yhat, epsilon, ghx, ghu, constant, ghxx, ghuu, ghxu, ghxxx, ghuuu, ghxxu, ghxuu, ghxss, ghuss, yhat_, steadystate, DynareOptions.threads.local_state_space_iteration_3);
+ [tmp, tmp_] = local_state_space_iteration_3(yhat_, epsilon, ghx, ghu, ghxx, ghuu, ghxu, ghs2, ghxxx, ghuuu, ghxxu, ghxuu, ghxss, ghuss, steadystate, DynareOptions.threads.local_state_space_iteration_3, pruning);
else
error('Pruning is not available for orders > 3');
end
@@ -274,7 +279,7 @@ for t=1:sample_size
if order == 2
tmp = local_state_space_iteration_2(yhat, epsilon, ghx, ghu, constant, ghxx, ghuu, ghxu, DynareOptions.threads.local_state_space_iteration_2);
elseif order == 3
- tmp = local_state_space_iteration_3(yhat, epsilon, ghx, ghu, constant, ghxx, ghuu, ghxu, ghxxx, ghuuu, ghxxu, ghxuu, ghxss, ghuss, DynareOptions.threads.local_state_space_iteration_3);
+ tmp = local_state_space_iteration_3(yhat, epsilon, ghx, ghu, ghxx, ghuu, ghxu, ghs2, ghxxx, ghuuu, ghxxu, ghxuu, ghxss, ghuss, steadystate, DynareOptions.threads.local_state_space_iteration_3, pruning);
else
error('Order > 3: use_k_order_solver should be set to true');
end
diff --git a/matlab/nonlinear-filters/src/sequential_importance_particle_filter.m b/matlab/nonlinear-filters/src/sequential_importance_particle_filter.m
index 4c9c8313e6..c69ded02f2 100644
--- a/matlab/nonlinear-filters/src/sequential_importance_particle_filter.m
+++ b/matlab/nonlinear-filters/src/sequential_importance_particle_filter.m
@@ -63,6 +63,7 @@ else
ghxx = ReducedForm.ghxx;
ghuu = ReducedForm.ghuu;
ghxu = ReducedForm.ghxu;
+ ghs2 = ReducedForm.ghs2;
if order == 3
% Set local state space model (third order approximation).
ghxxx = ReducedForm.ghxxx;
@@ -111,11 +112,13 @@ if pruning
state_variables_steady_state_ = state_variables_steady_state;
mf0_ = mf0;
elseif order == 3
- StateVectors_ = repmat(StateVectors,2,1);
- state_variables_steady_state_ = repmat(state_variables_steady_state,2,1);
- mf0_ = repmat(mf0,1,2);
- mask = number_of_state_variables+1:2*number_of_state_variables;
- mf0_(mask) = mf0_(mask)+size(ghx,1);
+ StateVectors_ = repmat(StateVectors,3,1);
+ state_variables_steady_state_ = repmat(state_variables_steady_state,3,1);
+ mf0_ = repmat(mf0,1,3);
+ mask2 = number_of_state_variables+1:2*number_of_state_variables;
+ mask3 = 2*number_of_state_variables+1:3*number_of_state_variables;
+ mf0_(mask2) = mf0_(mask2)+size(ghx,1);
+ mf0_(mask3) = mf0_(mask3)+2*size(ghx,1);
else
error('Pruning is not available for orders > 3');
end
@@ -130,7 +133,7 @@ for t=1:sample_size
if order == 2
[tmp, tmp_] = local_state_space_iteration_2(yhat,epsilon,ghx,ghu,constant,ghxx,ghuu,ghxu,yhat_,steadystate,ThreadsOptions.local_state_space_iteration_2);
elseif order == 3
- [tmp, tmp_] = local_state_space_iteration_3(yhat,epsilon,ghx,ghu,constant,ghxx,ghuu,ghxu,ghxxx,ghuuu,ghxxu,ghxuu,ghxss,ghuss,yhat_,steadystate,ThreadsOptions.local_state_space_iteration_3);
+ [tmp, tmp_] = local_state_space_iteration_3(yhat_, epsilon, ghx, ghu, ghxx, ghuu, ghxu, ghs2, ghxxx, ghuuu, ghxxu, ghxuu, ghxss, ghuss, steadystate, ThreadsOptions.local_state_space_iteration_3, pruning);
else
error('Pruning is not available for orders > 3');
end
@@ -141,7 +144,7 @@ for t=1:sample_size
if order == 2
tmp = local_state_space_iteration_2(yhat,epsilon,ghx,ghu,constant,ghxx,ghuu,ghxu,ThreadsOptions.local_state_space_iteration_2);
elseif order == 3
- tmp = local_state_space_iteration_3(yhat,epsilon,ghx,ghu,constant,ghxx,ghuu,ghxu,ghxxx,ghuuu,ghxxu,ghxuu,ghxss,ghuss,ThreadsOptions.local_state_space_iteration_3);
+ tmp = local_state_space_iteration_3(yhat, epsilon, ghx, ghu, ghxx, ghuu, ghxu, ghs2, ghxxx, ghuuu, ghxxu, ghxuu, ghxss, ghuss, steadystate, ThreadsOptions.local_state_space_iteration_3, pruning);
else
error('Order > 3: use_k_order_solver should be set to true');
end
@@ -166,7 +169,7 @@ for t=1:sample_size
if pruning
temp = resample([tmp(mf0,:)' tmp_(mf0_,:)'],weights',ParticleOptions);
StateVectors = temp(:,1:number_of_state_variables)';
- StateVectors_ = temp(:,number_of_state_variables+1:2*number_of_state_variables)';
+ StateVectors_ = temp(:,number_of_state_variables+1:end)';
else
StateVectors = resample(tmp(mf0,:)',weights',ParticleOptions)';
end
diff --git a/matlab/nonlinear-filters/src/solve_model_for_online_filter.m b/matlab/nonlinear-filters/src/solve_model_for_online_filter.m
index 7f65649bc2..92cbf4c740 100644
--- a/matlab/nonlinear-filters/src/solve_model_for_online_filter.m
+++ b/matlab/nonlinear-filters/src/solve_model_for_online_filter.m
@@ -161,6 +161,7 @@ if nargout>4
ReducedForm.ghuu = dr.ghuu(restrict_variables_idx,:);
ReducedForm.ghxu = dr.ghxu(restrict_variables_idx,:);
ReducedForm.constant = ReducedForm.steadystate + .5*dr.ghs2(restrict_variables_idx);
+ ReducedForm.ghs2 = dr.ghs2(restrict_variables_idx,:);
elseif DynareOptions.order>=3
ReducedForm.use_k_order_solver = true;
ReducedForm.dr = dr;
--
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