From a46a531bda42d72f8273ba1f2c99fe1dd1460550 Mon Sep 17 00:00:00 2001 From: Michel Juillard <michel.juillard@ens.fr> Date: Fri, 16 Apr 2010 12:19:09 +0200 Subject: [PATCH] Kalman filters: fixing initialization of oldK to Inf instead of 0 (cherry picked from commit 4bde063669ece882c7f6a5e9f841e910f2a5c5d3) --- matlab/kalman/likelihood/diffuse_kalman_filter.m | 2 +- matlab/kalman/likelihood/kalman_filter.m | 2 +- .../likelihood/missing_observations_diffuse_kalman_filter.m | 2 +- matlab/kalman/likelihood/missing_observations_kalman_filter.m | 2 +- 4 files changed, 4 insertions(+), 4 deletions(-) diff --git a/matlab/kalman/likelihood/diffuse_kalman_filter.m b/matlab/kalman/likelihood/diffuse_kalman_filter.m index e6464cbe31..cdebb49fc9 100644 --- a/matlab/kalman/likelihood/diffuse_kalman_filter.m +++ b/matlab/kalman/likelihood/diffuse_kalman_filter.m @@ -46,7 +46,7 @@ a = zeros(mm,1); dF = 1; QQ = R*Q*transpose(R); t = 0; -oldK = 0; +oldK = Inf; lik = zeros(smpl,1); LIK = Inf; % lik(smpl+1) = smpl*pp*log(2*pi); diff --git a/matlab/kalman/likelihood/kalman_filter.m b/matlab/kalman/likelihood/kalman_filter.m index cfdaeee915..88d8c935aa 100644 --- a/matlab/kalman/likelihood/kalman_filter.m +++ b/matlab/kalman/likelihood/kalman_filter.m @@ -51,7 +51,7 @@ QQ = R*Q*transpose(R); % Variance of R times the vector t = 0; % Initialization of the time index. lik = zeros(smpl,1); % Initialization of the vector gathering the densities. LIK = Inf; % Default value of the log likelihood. -oldK = 0; +oldK = Inf; notsteady = 1; % Steady state flag. F_singular = 1; diff --git a/matlab/kalman/likelihood/missing_observations_diffuse_kalman_filter.m b/matlab/kalman/likelihood/missing_observations_diffuse_kalman_filter.m index ae578d3a21..84de42d0ff 100644 --- a/matlab/kalman/likelihood/missing_observations_diffuse_kalman_filter.m +++ b/matlab/kalman/likelihood/missing_observations_diffuse_kalman_filter.m @@ -50,7 +50,7 @@ a = zeros(mm,1); dF = 1; QQ = R*Q*transpose(R); t = 0; -oldK = 0; +oldK = Inf; lik = zeros(smpl,1); LIK = Inf; notsteady = 1; diff --git a/matlab/kalman/likelihood/missing_observations_kalman_filter.m b/matlab/kalman/likelihood/missing_observations_kalman_filter.m index 97a22839fa..bdf4e91d53 100644 --- a/matlab/kalman/likelihood/missing_observations_kalman_filter.m +++ b/matlab/kalman/likelihood/missing_observations_kalman_filter.m @@ -55,7 +55,7 @@ QQ = R*Q*transpose(R); % Variance of R times the vector t = 0; % Initialization of the time index. lik = zeros(smpl,1); % Initialization of the vector gathering the densities. LIK = Inf; % Default value of the log likelihood. -oldK = 0; +oldK = Inf; notsteady = 1; % Steady state flag. F_singular = 1; -- GitLab