From 4a92614e102e57ade20b63dcf40c5e7ea04cbfe7 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?Fr=C3=A9d=C3=A9ric=20Karam=C3=A9?=
<frederic.karame@univ-lemans.fr>
Date: Thu, 3 Apr 2025 10:47:03 +0200
Subject: [PATCH] Bug fix for options montecarlo and cubature.
---
matlab/nonlinear-filters/nonlinear_kalman_filter.m | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
diff --git a/matlab/nonlinear-filters/nonlinear_kalman_filter.m b/matlab/nonlinear-filters/nonlinear_kalman_filter.m
index 551345c1a..27dbae5c6 100644
--- a/matlab/nonlinear-filters/nonlinear_kalman_filter.m
+++ b/matlab/nonlinear-filters/nonlinear_kalman_filter.m
@@ -187,8 +187,8 @@ for t=1:sample_size
lik(t)=-Inf;
return
end
+ PredictedObservedVarianceSquareRoot = chol(PredictedObservedVariance);
end
- PredictedObservedVarianceSquareRoot = chol(PredictedObservedVariance);
PredictedObservedInverseVarianceSquareRoot = PredictedObservedVarianceSquareRoot\eye(n); % Inverse of the Cholesky -> inv(PredictedObservedVariance) = A*A'
StandardPredictionError = PredictedObservedInverseVarianceSquareRoot'*PredictionError;
lik(t) = -.5*n*log(2*pi) + sum(log(diag(PredictedObservedInverseVarianceSquareRoot))) - .5*dot(StandardPredictionError, StandardPredictionError);
--
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