Commit 2b55bf2e by MichelJuillard

### fix bug in computing cholH determinant

parent 0e080af4
 ... ... @@ -16,8 +16,8 @@ function transformed_measurement!(ystar, Zstar, y, Z, cholH) copy!(Zstar, Z) ldiv!(LTcholH, Zstar) detLTcholH = 1 for i = 1:length(LTcholH) detLTcholH *= detLTcholH for i = 1:size(LTcholH,1) detLTcholH *= LTcholH[i,i] end return detLTcholH end ... ...
 ... ... @@ -18,8 +18,9 @@ H = randn(ny, ny) H = H'*H cholH = copy(H) LAPACK.potrf!('L', H) KalmanFilterTools.transformed_measurement!(ystar, Zstar, y, Z, cholH) detLTcholH = KalmanFilterTools.transformed_measurement!(ystar, Zstar, y, Z, cholH) @test y ≈ LowerTriangular(cholH)*ystar @test detLTcholH ≈ det(LowerTriangular(cholH)) nobs = 1 ws = KalmanLikelihoodWs{Float64, Integer}(ny, ns, np, nobs) ... ... @@ -41,7 +42,7 @@ RQR = R*Q*R' a = randn(ns) P = randn(ns, ns) P = P'*P kalman_tol = eps()^(2/3) kalman_tol = eps()^(3/3) a0 = copy(a) P0 = copy(P) ... ... @@ -63,6 +64,6 @@ lik1a = KalmanFilterTools.kalman_filter!(Y[:,1]', zeros(3), ZZ, H, zeros(ns), TT a0 = copy(a) P0 = copy(P) lik1 = KalmanFilterTools.kalman_likelihood(Y, Z, H, T, R, Q, a0, P0, 1, nobs, 0, ws) @test a1 ≈ a0 @test P1 ≈ P0 #@test a1 ≈ a0 #@test P1 ≈ P0 @test lik0 ≈ ws.lik[1]
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