From 1c9024d1f968f510ba78eb6b464091671e785a69 Mon Sep 17 00:00:00 2001
From: Willi Mutschler <willi@mutschler.eu>
Date: Wed, 17 Jun 2020 21:13:09 +0200
Subject: [PATCH] :bug: wrong setting of small values to zeros in
identification
(cherry picked from commit 926a54388e6807868b1d6c274ab56d523ab060e6)
---
matlab/pruned_state_space_system.m | 9 +++++----
1 file changed, 5 insertions(+), 4 deletions(-)
diff --git a/matlab/pruned_state_space_system.m b/matlab/pruned_state_space_system.m
index df5cf5ab46..fefb3ee509 100644
--- a/matlab/pruned_state_space_system.m
+++ b/matlab/pruned_state_space_system.m
@@ -1048,16 +1048,17 @@ if compute_derivs
end
for jpV=1:totparam_nbr
if order < 3
- dVar_y(stationary_vars,stationary_vars,jpV) = dC(stationary_vars,:,jpV)*Var_z*C(stationary_vars,:)' + C(stationary_vars,:)*dVar_z(:,:,jpV)*C(stationary_vars,:)' + C(stationary_vars,:)*Var_z*dC(stationary_vars,:,jpV)'...
+ dVar_y_tmp = dC(stationary_vars,:,jpV)*Var_z*C(stationary_vars,:)' + C(stationary_vars,:)*dVar_z(:,:,jpV)*C(stationary_vars,:)' + C(stationary_vars,:)*Var_z*dC(stationary_vars,:,jpV)'...
+ dD(stationary_vars,:,jpV)*Varinov*D(stationary_vars,:)' + D(stationary_vars,:)*dVarinov(:,:,jpV)*D(stationary_vars,:)' + D(stationary_vars,:)*Varinov*dD(stationary_vars,:,jpV)';
else
- dVar_y(stationary_vars,stationary_vars,jpV) = dC(stationary_vars,:,jpV)*Var_z*C(stationary_vars,:)' + C(stationary_vars,:)*dVar_z(:,:,jpV)*C(stationary_vars,:)' + C(stationary_vars,:)*Var_z*dC(stationary_vars,:,jpV)'...
+ dVar_y_tmp = dC(stationary_vars,:,jpV)*Var_z*C(stationary_vars,:)' + C(stationary_vars,:)*dVar_z(:,:,jpV)*C(stationary_vars,:)' + C(stationary_vars,:)*Var_z*dC(stationary_vars,:,jpV)'...
+ dD(stationary_vars,:,jpV)*E_inovzlag1*C(stationary_vars,:)' + D(stationary_vars,:)*dE_inovzlag1(:,:,jpV)*C(stationary_vars,:)' + D(stationary_vars,:)*E_inovzlag1*dC(stationary_vars,:,jpV)'...
+ dC(stationary_vars,:,jpV)*transpose(E_inovzlag1)*D(stationary_vars,:)' + C(stationary_vars,:)*transpose(dE_inovzlag1(:,:,jpV))*D(stationary_vars,:)' + C(stationary_vars,:)*transpose(E_inovzlag1)*dD(stationary_vars,:,jpV)'...
+ dD(stationary_vars,:,jpV)*Varinov*D(stationary_vars,:)' + D(stationary_vars,:)*dVarinov(:,:,jpV)*D(stationary_vars,:)' + D(stationary_vars,:)*Varinov*dD(stationary_vars,:,jpV)';
end
- [indzerosrow,indzeroscol] = find(abs(dVar_y(:,:,jpV)) < 1e-12); %find values that are numerical zero
- dVar_y(indzerosrow,indzeroscol,jpV) = 0;
+ indzeros = find(abs(dVar_y_tmp) < 1e-12); %find values that are numerical zero
+ dVar_y_tmp(indzeros) = 0;
+ dVar_y(stationary_vars,stationary_vars,jpV) = dVar_y_tmp;
if useautocorr
%is this correct?[@wmutschl]
dsy = 1/2./sy.*diag(dVar_y(:,:,jpV));
--
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