From bf7fb86355bad1c7bd424dff3d6c0119f10e2bf9 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?St=C3=A9phane=20Adjemian=20=28Argos=29?=
<stepan@adjemian.eu>
Date: Wed, 9 Apr 2025 16:26:57 +0200
Subject: [PATCH] Bug fix (computation of PredictedObservedVarianceSquareRoot).
---
matlab/nonlinear-filters/nonlinear_kalman_filter.m | 3 +--
1 file changed, 1 insertion(+), 2 deletions(-)
diff --git a/matlab/nonlinear-filters/nonlinear_kalman_filter.m b/matlab/nonlinear-filters/nonlinear_kalman_filter.m
index 551345c1ac..f103ceff2c 100644
--- a/matlab/nonlinear-filters/nonlinear_kalman_filter.m
+++ b/matlab/nonlinear-filters/nonlinear_kalman_filter.m
@@ -181,14 +181,13 @@ for t=1:sample_size
lik(t)=-Inf;
return
end
- [~, p]= chol(PredictedObservedVariance,'lower');
+ [PredictedObservedVarianceSquareRoot, p]= chol(PredictedObservedVariance,'lower');
if p
LIK=-Inf;
lik(t)=-Inf;
return
end
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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