diff toolboxes/FullBNT-1.0.7/Kalman/kalman_smoother.m @ 0:e9a9cd732c1e tip

first hg version after svn

--- /dev/null	Thu Jan 01 00:00:00 1970 +0000
+++ b/toolboxes/FullBNT-1.0.7/Kalman/kalman_smoother.m	Tue Feb 10 15:05:51 2015 +0000
@@ -0,0 +1,55 @@
+function [xsmooth, Vsmooth, VVsmooth, loglik] = kalman_smoother(y, A, C, Q, R, init_x, init_V, varargin)
+% Kalman/RTS smoother.
+% [xsmooth, Vsmooth, VVsmooth, loglik] = kalman_smoother(y, A, C, Q, R, init_x, init_V, ...)
+%
+% The inputs are the same as for kalman_filter.
+% The outputs are almost the same, except we condition on y(:, 1:T) (and u(:, 1:T) if specified),
+% instead of on y(:, 1:t).
+
+[os T] = size(y);
+ss = length(A);
+
+% set default params
+model = ones(1,T);
+u = [];
+B = [];
+
+args = varargin;
+nargs = length(args);
+for i=1:2:nargs
+  switch args{i}
+   case 'model', model = args{i+1};
+   case 'u', u = args{i+1};
+   case 'B', B = args{i+1};
+   otherwise, error(['unrecognized argument ' args{i}])
+  end
+end
+
+xsmooth = zeros(ss, T);
+Vsmooth = zeros(ss, ss, T);
+VVsmooth = zeros(ss, ss, T);
+
+% Forward pass
+[xfilt, Vfilt, VVfilt, loglik] = kalman_filter(y, A, C, Q, R, init_x, init_V, ...
+					       'model', model, 'u', u, 'B', B);
+
+% Backward pass
+xsmooth(:,T) = xfilt(:,T);
+Vsmooth(:,:,T) = Vfilt(:,:,T);
+%VVsmooth(:,:,T) = VVfilt(:,:,T);
+
+for t=T-1:-1:1
+  m = model(t+1);
+  if isempty(B)
+    [xsmooth(:,t), Vsmooth(:,:,t), VVsmooth(:,:,t+1)] = ...
+	smooth_update(xsmooth(:,t+1), Vsmooth(:,:,t+1), xfilt(:,t), Vfilt(:,:,t), ...
+		      Vfilt(:,:,t+1), VVfilt(:,:,t+1), A(:,:,m), Q(:,:,m), [], []);
+  else
+    [xsmooth(:,t), Vsmooth(:,:,t), VVsmooth(:,:,t+1)] = ...
+	smooth_update(xsmooth(:,t+1), Vsmooth(:,:,t+1), xfilt(:,t), Vfilt(:,:,t), ...
+		      Vfilt(:,:,t+1), VVfilt(:,:,t+1), A(:,:,m), Q(:,:,m), B(:,:,m), u(:,t+1));
+  end
+end
+
+VVsmooth(:,:,1) = zeros(ss,ss);
+