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Mark Song
particles
Commits
cdc7f6dd
Commit
cdc7f6dd
authored
Oct 02, 2015
by
Frédéric Karamé
Browse files
Modify the weights to prevent crash in the cholesky of the covariance.
parent
7235de43
Changes
1
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Inline
Side-by-side
src/gaussian_filter.m
View file @
cdc7f6dd
...
...
@@ -92,14 +92,14 @@ if isempty(H)
H
=
0
;
H_lower_triangular_cholesky
=
0
;
else
H_lower_triangular_cholesky
=
reduced_rank_cholesky
(
H
)
'
;
H_lower_triangular_cholesky
=
chol
(
H
)
' ; %
reduced_rank_cholesky(H)'
;
end
% Get initial condition for the state vector.
StateVectorMean
=
ReducedForm
.
StateVectorMean
;
StateVectorVarianceSquareRoot
=
reduced_rank_cholesky
(
ReducedForm
.
StateVectorVariance
)
'
;
StateVectorVarianceSquareRoot
=
chol
(
ReducedForm
.
StateVectorVariance
)
';%
reduced_rank_cholesky(ReducedForm.StateVectorVariance)'
;
state_variance_rank
=
size
(
StateVectorVarianceSquareRoot
,
2
);
Q_lower_triangular_cholesky
=
reduced_rank_cholesky
(
Q
)
'
;
Q_lower_triangular_cholesky
=
chol
(
Q
)
'; %
reduced_rank_cholesky(Q)'
;
% Initialization of the likelihood.
const_lik
=
(
2
*
pi
)
^
(
number_of_observed_variables
/
2
)
;
...
...
@@ -126,12 +126,16 @@ for t=1:sample_size
1
/
number_of_particles
,
1
/
number_of_particles
,
ReducedForm
,
ThreadsOptions
)
;
SampleWeights
=
IncrementalWeights
/
number_of_particles
;
end
SampleWeights
=
SampleWeights
+
1e-6
*
ones
(
size
(
SampleWeights
,
1
),
1
)
;
SumSampleWeights
=
sum
(
SampleWeights
)
;
lik
(
t
)
=
log
(
SumSampleWeights
)
;
SampleWeights
=
SampleWeights
.
/
SumSampleWeights
;
StateVectorMean
=
StateParticles
*
SampleWeights
;
temp
=
bsxfun
(
@
minus
,
StateParticles
,
StateVectorMean
)
;
StateVectorVarianceSquareRoot
=
reduced_rank_cholesky
(
bsxfun
(
@
times
,
SampleWeights
',temp)*temp'
)
'
;
%disp(SampleWeights)
%disp(StateParticles)
%disp(StateVectorMean)
StateVectorVarianceSquareRoot
=
chol
(
bsxfun
(
@
times
,
SampleWeights
',temp)*temp'
)
';%reduced_rank_cholesky( bsxfun(@times,SampleWeights'
,
temp
)
*
temp
' )'
;
end
LIK
=
-
sum
(
lik
(
start
:
end
));
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