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Dynare
particles
Commits
ee6eaa84
Commit
ee6eaa84
authored
Jun 08, 2018
by
Frédéric Karamé
1
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Add the possibility of proposal approximated with Monte Carlo.
parent
427e88e6
Changes
1
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7 additions
and
3 deletions
+7
-3
src/gaussian_filter_bank.m
src/gaussian_filter_bank.m
+7
-3
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src/gaussian_filter_bank.m
View file @
ee6eaa84
...
...
@@ -71,7 +71,11 @@ if isempty(init_flag2)
init_flag2
=
1
;
end
if
ParticleOptions
.
proposal_approximation
.
cubature
||
ParticleOptions
.
proposal_approximation
.
montecarlo
if
ParticleOptions
.
proposal_approximation
.
montecarlo
nodes
=
randn
(
ParticleOptions
.
number_of_particles
,
number_of_state_variables
+
number_of_structural_innovations
)
;
weights
=
1
/
ParticleOptions
.
number_of_particles
;
weights_c
=
weights
;
elseif
ParticleOptions
.
proposal_approximation
.
cubature
[
nodes
,
weights
]
=
spherical_radial_sigma_points
(
number_of_state_variables
+
number_of_structural_innovations
)
;
weights_c
=
weights
;
elseif
ParticleOptions
.
proposal_approximation
.
unscented
...
...
@@ -118,5 +122,5 @@ else
StateVectorMean
=
PredictedStateMean
+
KalmanFilterGain
*
PredictionError
;
StateVectorVariance
=
PredictedStateVariance
-
KalmanFilterGain
*
PredictedObservedVariance
*
KalmanFilterGain
'
;
StateVectorVariance
=
.
5
*
(
StateVectorVariance
+
StateVectorVariance
'
);
StateVectorVarianceSquareRoot
=
chol
(
StateVectorVariance
)
'; %reduced_rank_cholesky(StateVectorVariance)'
;
end
\ No newline at end of file
StateVectorVarianceSquareRoot
=
reduced_rank_cholesky
(
StateVectorVariance
)
'
;
end
Sébastien Villemot
@sebastien
mentioned in commit
b63e4e7e
·
Jun 18, 2020
mentioned in commit
b63e4e7e
mentioned in commit b63e4e7e347348d313891947391343e5fef2e6ca
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