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6d1036b7
Commit
6d1036b7
authored
Jun 30, 2016
by
Frédéric Karamé
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Modifications to facilitate Cholesky of states variances.
parent
0fbab3d4
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1
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src/conditional_filter_proposal.m
src/conditional_filter_proposal.m
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src/conditional_filter_proposal.m
View file @
6d1036b7
...
...
@@ -118,17 +118,17 @@ else
Error
=
obs
-
PredictedObservedMean
;
StateVectorMean
=
PredictedStateMean
+
KalmanFilterGain
*
Error
;
StateVectorVariance
=
PredictedStateVariance
-
KalmanFilterGain
*
PredictedObservedVariance
*
KalmanFilterGain
'
;
StateVectorVarianceSquareRoot
=
chol
(
StateVectorVariance
+
1e-6
)
'
;
StateVectorVarianceSquareRoot
=
chol
(
StateVectorVariance
+
eye
(
number_of_state_variables
)
*
1e-6
)
'
;
if
ParticleOptions
.
cpf_weights_method
.
amisanotristani
Weights
=
SampleWeights
.*
probability2
(
zeros
(
number_of_observed_variables
,
1
),
chol
(
PredictedObservedVariance
)
'
,
Error
)
;
end
end
PredictedStateVarianceSquareRoot
=
chol
(
PredictedStateVariance
+
1e-6
)
'
;
PredictedStateVarianceSquareRoot
=
chol
(
PredictedStateVariance
+
eye
(
number_of_state_variables
)
*
1e-6
)
'
;
ProposalStateVector
=
StateVectorVarianceSquareRoot
*
randn
(
size
(
StateVectorVarianceSquareRoot
,
2
),
1
)
+
StateVectorMean
;
if
ParticleOptions
.
cpf_weights_method
.
murrayjonesparslow
Prior
=
probability2
(
PredictedStateMean
,
PredictedStateVarianceSquareRoot
,
ProposalStateVector
)
;
Posterior
=
probability2
(
StateVectorMean
,
StateVectorVarianceSquareRoot
,
ProposalStateVector
)
;
Likelihood
=
probability2
(
obs
,
H_lower_triangular_cholesky
,
measurement_equations
(
ProposalStateVector
,
ReducedForm
,
ThreadsOptions
))
;
Weights
=
SampleWeights
.*
Likelihood
.*
(
Prior
.
/
Posterior
)
;
end
\ No newline at end of file
end
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