%?PURPOSE?:?Demonstrate?the?differences?between?the?following
%?filters?on?an?options?pricing?problem.
%???????????
%???????????1）?Extended?Kalman?Filter??（EKF）
%???????????2）?Unscented?Kalman?Filter?（UKF）
%???????????3）?Particle?Filter?????????（PF）
%???????????4）?PF?with?EKF?proposal????（PFEKF）
%???????????5）?PF?with?UKF?proposal????（PFUKF）


%?For?more?details?refer?to:

%?AUTHORS??:?Nando?de?Freitas??????（jfgf@cs.berkeley.edu）
%????????????Rudolph?van?der?Merwe?（rvdmerwe@ece.ogi.edu）
%????????????+?We?re-used?a?bit?of?code?by?Mahesan?Niranjan.?????????????
%?DATE?????:?17?August?2000

clear?all;
echo?off;
path（‘./ukf‘path）;
path（‘./data‘path）;


%?INITIALISATION?AND?PARAMETERS:
%?==============================
doPlot?=?0;?????????????????%?1?plot?online.?0?=?only?plot?at?the?end.
g1?=?3;?????????????????????%?Paramater?of?Gamma?transition?prior.
g2?=?2;?????????????????????%?Parameter?of?Gamman?transition?prior.
????????????????????????????%?Thus?mean?=?3/2?and?var?=?3/4.
T?=?204;????????????????????%?Number?of?time?steps.
R?=?diag（[1e-5?1e-5]）;??????%?EKF‘s?measurement?noise?variance.?
Q?=?diag（[1e-7?1e-5]）;??????%?EKF‘s?process?noise?variance.
P01?=?0.1;??????????????????%?EKF‘s?initial?variance?of?the
????????????????????????????%?interest?rate.
P02?=?0.1;??????????????????%?EKF‘s?initial?variance?of?the?volatility.

N?=?10;?????????????????????%?Number?of?particles.
optionNumber?=?1;???????????%?There?are?5?pairs?of?options.
resamplingScheme?=?1;???????%?The?possible?choices?are
????????????????????????????%?systematic?sampling?（2）
????????????????????????????%?residual?（1）
????????????????????????????%?and?multinomial?（3）.?
????????????????????????????%?They‘re?all?O（N）?algorithms.?

P01_ukf?=?0.1;
P02_ukf?=?0.1;
			????
Q_ukf?=?Q;
R_ukf?=?R;
			????
initr?=?.01;
initsig?=?.15;

Q_pfekf?=?10*1e-5*eye（2）;
R_pfekf?=?1e-6*eye（2）;

Q_pfukf?=?Q_pfekf;
R_pfukf?=?R_pfekf;
			????
alpha?=?1;?????????????????????%?UKF?:?point?scaling?parameter
beta??=?2;?????????????????????%?UKF?:?scaling?parameter?for?higher?order?terms?of?Taylor?series?expansion?
kappa?=?1;?????????????????????%?UKF?:?sigma?point?selection?scaling?parameter?（best?to?leave?this?=?0）

no_of_experiments?=?1;?????????%?Number?of?times?the?experiment?is
???????????????????????????????%?repeated?（for?statistical?purposes）.

%?DATA?STRUCTURES?FOR?RESULTS
%?===========================

errorcTrivial?=?zeros（no_of_experiments1）;
errorpTrivial?=?errorcTrivial;
errorcEKF?????=?errorcTrivial;
errorpEKF?????=?errorcTrivial;
errorcUKF?????=?errorcTrivial;
errorpUKF?????=?errorcTrivial;
errorcPF??????=?errorcTrivial;
errorpPF??????=?errorcTrivial;
errorcPFEKF???=?errorcTrivial;
errorpPFEKF???=?errorcTrivial;
errorcPFUKF???=?errorcTrivial;
errorpPFUKF???=?errorcTrivial;


%?LOAD?THE?DATA:
%?=============
fprintf（‘\n‘）
fprintf（‘Loading?the?data‘）
fprintf（‘\n‘）
load?c2925.prn;?????????load?p2925.prn;
load?c3025.prn;?????????load?p3025.prn;
load?c3125.prn;?????????load?p3125.prn;
load?c3225.p

?屬性????????????大小?????日期????時間???名稱
-----------?---------??----------?-----??----

?????文件?????598253??2004-01-27?19:22??upf_demos\The?Unscented?Particle?Filter.pdf

?????文件??????26806??2001-05-24?02:06??upf_demos\upf_demos\blackscholes.m

?????文件????????386??2001-05-24?02:06??upf_demos\upf_demos\bsffun.m

?????文件????????790??2001-05-24?02:06??upf_demos\upf_demos\bshfun.m

?????文件???????5600??2000-08-16?09:12??upf_demos\upf_demos\data\c2925.prn

?????文件???????3560??2000-08-16?09:12??upf_demos\upf_demos\data\c3025.prn

?????文件???????5600??2000-08-16?09:12??upf_demos\upf_demos\data\c3125.prn

?????文件???????5600??2000-08-16?09:12??upf_demos\upf_demos\data\c3225.prn

?????文件???????5600??2000-08-16?09:12??upf_demos\upf_demos\data\c3325.prn

?????文件???????5600??2000-08-16?09:12??upf_demos\upf_demos\data\p2925.prn

?????文件???????3448??2000-08-16?09:12??upf_demos\upf_demos\data\p3025.prn

?????文件???????3526??2000-08-16?09:12??upf_demos\upf_demos\data\p3125.prn

?????文件???????5600??2000-08-16?09:12??upf_demos\upf_demos\data\p3225.prn

?????文件???????5600??2000-08-16?09:12??upf_demos\upf_demos\data\p3325.prn

?????目錄??????????0??2009-03-30?17:38??upf_demos\upf_demos\data

?????文件??????37799??2001-05-24?02:06??upf_demos\upf_demos\demo_MC.m

?????文件????????373??2001-05-24?02:06??upf_demos\upf_demos\ffun.m

?????文件????????610??2001-05-24?02:06??upf_demos\upf_demos\gengamma.m

?????文件????????319??2001-05-24?02:06??upf_demos\upf_demos\hfun.m

?????文件???????1134??2001-05-24?02:06??upf_demos\upf_demos\multinomialR.m

?????文件???????1401??2001-05-24?02:06??upf_demos\upf_demos\residualR.m

?????文件???????1577??2001-05-24?02:06??upf_demos\upf_demos\systematicR.m

?????文件???????1295??2000-08-15?03:13??upf_demos\upf_demos\ukf\scaledSymmetricSigmaPoints.m

?????文件???????4991??2000-08-18?06:10??upf_demos\upf_demos\ukf\ukf.m

?????目錄??????????0??2009-03-30?17:38??upf_demos\upf_demos\ukf

?????文件????????516??2001-05-24?02:06??upf_demos\upf_demos\ukf_bsffun.m

?????文件????????521??2001-05-24?02:06??upf_demos\upf_demos\ukf_bshfun.m

?????文件????????366??2001-05-24?02:06??upf_demos\upf_demos\ukf_ffun.m

?????文件????????391??2001-05-24?02:06??upf_demos\upf_demos\ukf_hfun.m

?????目錄??????????0??2009-03-30?17:38??upf_demos\upf_demos

............此處省略4個文件信息