1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
|
function return_resample = residual_resampling(particles,weights,noise)
% Resamples particles.
%@info:
%! @deftypefn {Function File} {@var{indx} =} residual_resampling (@var{weights})
%! @anchor{particle/residual_resampling}
%! @sp 1
%! Resamples particles.
%! @sp 2
%! @strong{Inputs}
%! @sp 1
%! @table @ @var
%! @item weights
%! n*1 vector of doubles, particles' weights.
%! @end table
%! @sp 2
%! @strong{Outputs}
%! @sp 1
%! @table @ @var
%! @item indx
%! n*1 vector of intergers, indices.
%! @end table
%! @sp 2
%! @strong{This function is called by:}
%! @sp 1
%! @ref{particle/resample}
%! @sp 2
%! @strong{This function calls:}
%! @sp 2
%! @end deftypefn
%@eod:
% Copyright (C) 2011-2013 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
% AUTHOR(S) frederic DOT karame AT univ DASH evry DOT fr
% stephane DOT adjemian AT univ DASH lemans DOT fr
% What is the number of particles?
number_of_particles = length(weights);
switch length(noise)
case 1
kitagawa_resampling = 1;
case number_of_particles
kitagawa_resampling = 0;
otherwise
error(['particle::resampling: Unknown method! The size of the second argument (' inputname(3) ') is wrong.'])
end
% Set vectors of indices.
jndx = 1:number_of_particles;
indx = zeros(1,number_of_particles);
% Multiply the weights by the number of particles.
WEIGHTS = number_of_particles*weights;
% Compute the integer part of the normalized weights.
iWEIGHTS = fix(WEIGHTS);
% Compute the number of resample
number_of_trials = number_of_particles-sum(iWEIGHTS);
if number_of_trials
WEIGHTS = (WEIGHTS-iWEIGHTS)/number_of_trials;
EmpiricalCDF = cumsum(WEIGHTS);
if kitagawa_resampling
u = (transpose(1:number_of_trials)-1+noise(:))/number_of_trials;
else
u = fliplr(cumprod(noise(1:number_of_trials).^(1./(number_of_trials:-1:1))));
end
j=1;
for i=1:number_of_trials
while (u(i)>EmpiricalCDF(j))
j=j+1;
end
iWEIGHTS(j)=iWEIGHTS(j)+1;
if kitagawa_resampling==0
j=1;
end
end
end
k=1;
for i=1:number_of_particles
if (iWEIGHTS(i)>0)
for j=k:k+iWEIGHTS(i)-1
indx(j) = jndx(i);
end
end
k = k + iWEIGHTS(i);
end
if particles==0
return_resample = indx ;
else
return_resample = particles(indx,:) ;
end
%@test:1
%$ % Define the weights
%$ weights = randn(2000,1).^2;
%$ weights = weights/sum(weights);
%$ % Initialize t.
%$ t = ones(1,1);
%$
%$ try
%$ indx1 = residual_resampling(weights);
%$ catch
%$ t(1) = 0;
%$ end
%$
%$ T = all(t);
%@eof:1
%@test:2
%$ % Define the weights
%$ weights = exp(randn(2000,1));
%$ weights = weights/sum(weights);
%$ % Initialize t.
%$ t = ones(1,1);
%$
%$ try
%$ indx1 = residual_resampling(weights);
%$ catch
%$ t(1) = 0;
%$ end
%$
%$ T = all(t);
%@eof:2
|
