residual_resampling.m 3.37 KB
Newer Older
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
function return_resample = residual_resampling(particles,weights,noise)
% Resamples particles.

%@info:
%! @deftypefn {Function File} {@var{indx} =} residual_resampling (@var{weights})
%! @anchor{particle/residual_resampling}
%! @sp 1
%! Resamples particles.
%! @sp 2
%! @strong{Inputs}
%! @sp 1
%! @table @ @var
%! @item weights
%! n*1 vector of doubles, particles' weights.
%! @end table
%! @sp 2
%! @strong{Outputs}
%! @sp 1
%! @table @ @var
%! @item indx
%! n*1 vector of intergers, indices.
%! @end table
%! @sp 2
%! @strong{This function is called by:}
%! @sp 1
%! @ref{particle/resample}
%! @sp 2
%! @strong{This function calls:}
%! @sp 2
%! @end deftypefn
%@eod:

Stéphane Adjemian's avatar
Stéphane Adjemian committed
33
% Copyright (C) 2011-2017 Dynare Team
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
%
% 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/>.

% AUTHOR(S) frederic DOT karame AT univ DASH evry DOT fr
%           stephane DOT adjemian AT univ DASH lemans DOT fr

% What is the number of particles?
number_of_particles = length(weights);

switch length(noise)
  case 1
    kitagawa_resampling = 1;
  case number_of_particles
    kitagawa_resampling = 0;
  otherwise
    error(['particle::resampling: Unknown method! The size of the second argument (' inputname(3) ') is wrong.'])
end

% Set vectors of indices.
jndx = 1:number_of_particles;
indx = zeros(1,number_of_particles);

% Multiply the weights by the number of particles.
WEIGHTS = number_of_particles*weights;

% Compute the integer part of the normalized weights.
iWEIGHTS = fix(WEIGHTS);

% Compute the number of resample
number_of_trials = number_of_particles-sum(iWEIGHTS);

if number_of_trials
Stéphane Adjemian's avatar
Stéphane Adjemian committed
79
80
81
82
83
84
    WEIGHTS = (WEIGHTS-iWEIGHTS)/number_of_trials;
    EmpiricalCDF = cumsum(WEIGHTS);
    if kitagawa_resampling
        u = (transpose(1:number_of_trials)-1+noise(:))/number_of_trials;
    else
        u = fliplr(cumprod(noise(1:number_of_trials).^(1./(number_of_trials:-1:1))));
85
    end
Stéphane Adjemian's avatar
Stéphane Adjemian committed
86
87
88
89
90
91
92
93
94
    j=1;
    for i=1:number_of_trials
        while (u(i)>EmpiricalCDF(j))
            j=j+1;
        end
        iWEIGHTS(j)=iWEIGHTS(j)+1;
        if kitagawa_resampling==0
            j=1;
        end
95
96
97
98
99
    end
end

k=1;
for i=1:number_of_particles
Stéphane Adjemian's avatar
Stéphane Adjemian committed
100
101
102
103
    if (iWEIGHTS(i)>0)
        for j=k:k+iWEIGHTS(i)-1
            indx(j) = jndx(i);
        end
104
    end
Stéphane Adjemian's avatar
Stéphane Adjemian committed
105
    k = k + iWEIGHTS(i);
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
end

if particles==0
    return_resample = indx ;
else
    return_resample = particles(indx,:) ;
end
%@test:1
%$ % Define the weights
%$ weights = randn(2000,1).^2;
%$ weights = weights/sum(weights);
%$ % Initialize t.
%$ t = ones(1,1);
%$
%$ try
%$     indx1 = residual_resampling(weights);
%$ catch
%$     t(1) = 0;
%$ end
%$
%$ T = all(t);
%@eof:1

%@test:2
%$ % Define the weights
%$ weights = exp(randn(2000,1));
%$ weights = weights/sum(weights);
%$ % Initialize t.
%$ t = ones(1,1);
%$
%$ try
%$     indx1 = residual_resampling(weights);
%$ catch
%$     t(1) = 0;
%$ end
%$
%$ T = all(t);
%@eof:2