Commit 1b1f7f33 authored by Michel Juillard's avatar Michel Juillard
Browse files

adding PZi to some workspaces

parent d1b98e15
......@@ -399,6 +399,7 @@ struct FastKalmanLikelihoodWs{T, U} <: KalmanWs{T, U}
ystar::Vector{T}
Zstar::Matrix{T}
Hstar::Matrix{T}
PZi::Vector{T}
lik::Vector{T}
kalman_tol::T
......@@ -427,10 +428,11 @@ struct FastKalmanLikelihoodWs{T, U} <: KalmanWs{T, U}
ystar = Vector{T}(undef, ny)
Zstar = Matrix{T}(undef, ny, ns)
Hstar = Matrix{T}(undef, ny, ny)
PZi = Vector{T}(undef, ns)
lik = Vector{T}(undef, nobs)
kalman_tol = 1e-12
new(csmall, Zsmall, iZsmall, QQ, v, F, cholF, iFv, a1, K, RQ, ZP, M, W,
ZW, ZWM, iFZWM, TW, iFZW, KtiFZW, ystar, Ztar, Hstar, lik, kalman_tol)
ZW, ZWM, iFZWM, TW, iFZW, KtiFZW, ystar, Ztar, Hstar, PZi, lik, kalman_tol)
end
end
......@@ -596,6 +598,7 @@ struct DiffuseKalmanLikelihoodWs{T, U} <: KalmanWs{T, U}
ystar::Vector{T}
Zstar::Matrix{T}
Hstar::Matrix{T}
PZi::Vector{T}
lik::Vector{T}
kalman_tol::T
function DiffuseKalmanLikelihoodWs{T, U}(ny::U, ns::U, np::U, nobs::U) where {T <: AbstractFloat, U <: Integer}
......@@ -623,11 +626,12 @@ struct DiffuseKalmanLikelihoodWs{T, U} <: KalmanWs{T, U}
ystar = Vector{T}(undef, ny)
Zstar = Matrix{T}(undef, ny, ns)
Hstar = Matrix{T}(undef, ny, ny)
PZi = Vector{T}(undef, ns)
lik = zeros(T, nobs)
kalman_tol = 1e-12
new(csmall, Zsmall, iZsmall, QQ, RQ, v, F, iF, iFv, a1, cholF, ZP, Fstar,
ZPstar, K, iFZ, Kstar, PTmp, uKinf, uKstar, Kinf_Finf, ystar, Zstar, Hstar,
lik, kalman_tol)
PZI, lik, kalman_tol)
end
end
......@@ -990,6 +994,7 @@ struct KalmanSmootherWs{T, U} <: KalmanWs{T, U}
ystar::Vector{T}
Zstar::Matrix{T}
Hstar::Matrix{T}
PZi::Vector{T}
tmp_np::Vector{T}
tmp_ns::Vector{T}
tmp_ny::Vector{T}
......@@ -1030,6 +1035,7 @@ struct KalmanSmootherWs{T, U} <: KalmanWs{T, U}
ystar = Vector{T}(undef, ny)
Zstar = Matrix{T}(undef, ny, ns)
Hstar = Matrix{T}(undef, ny, ny)
PZi = Vector{T}(undef, ns)
tmp_np = Vector{T}(undef, np)
tmp_ns = Vector{T}(undef, ns)
tmp_ny = Vector{T}(undef, ny)
......@@ -1039,8 +1045,8 @@ struct KalmanSmootherWs{T, U} <: KalmanWs{T, U}
new(csmall, Zsmall, iZsmall, RQ, QQ, v, F, cholF, cholH, iF,
iFv, r, r1, at_t, K, KDK, L, L1, N, N1, ZP, Pt_t, Kv,
iFZ, PTmp, oldP, lik, KT, D, ystar, Zstar, Hstar, tmp_np,
tmp_ns, tmp_ny, tmp_ns_np, tmp_ny_ny, kalman_tol)
iFZ, PTmp, oldP, lik, KT, D, ystar, Zstar, Hstar, PZi,
tmp_np, tmp_ns, tmp_ny, tmp_ns_np, tmp_ny_ny, kalman_tol)
end
end
......
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