Revision 811, 1.1 kB
(checked in by smidl, 14 years ago)
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extensions and stuff for MPF
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[811] | 1 | x = RV('x',2); |
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| 2 | y = RV('y',2); |
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| 3 | |
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| 4 | g.class = 'mexFnc'; |
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| 5 | g.dim = 2; |
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| 6 | g.dimc = 2; |
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| 7 | g.function = 'test_function'; |
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| 8 | |
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| 9 | h.class = 'linfn'; |
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| 10 | h.A = eye(2); |
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| 11 | h.B = [1;0]; |
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| 12 | |
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| 13 | fx.class = 'mgnorm<chmat>'; |
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| 14 | fx.R = [0.3 -0.2; -0.2 0.5]; |
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| 15 | fx.g = g; |
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| 16 | fx.rv = x; |
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| 17 | fx.rvc = RVtimes(x,-1); |
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| 18 | |
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| 19 | fy.class = 'mgnorm<chmat>'; |
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| 20 | fy.R = 0.1*eye(2); |
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| 21 | fy.g = h; |
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| 22 | fy.rv = y; |
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| 23 | fy.rvc = x; |
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| 24 | |
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| 25 | |
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| 26 | %%%%%% Data generator |
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| 27 | DS.class = 'PdfDS'; |
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| 28 | DS.pdf.class = 'mprod'; |
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| 29 | DS.pdf.pdfs = {fy,fx}; |
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| 30 | DS.init_rv = RVtimes(x,-1); |
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| 31 | DS.init_values = [.2,.3]'; |
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| 32 | |
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| 33 | %%%%% Estimator |
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| 34 | A.class = 'ARX'; |
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| 35 | A.rv = y; |
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| 36 | A.rgr = RV({}); |
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| 37 | A.rv_param = RV('R',4); |
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| 38 | A.dimx=2; |
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| 39 | A.constant = 0; |
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| 40 | A.frg=0.99; |
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| 41 | |
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| 42 | A2=A; |
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| 43 | A2.rv_param = RV('Q',4); |
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| 44 | A2.rv=x; |
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| 45 | |
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| 46 | E.class = 'MPF_ARXg'; |
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| 47 | E.g = g; |
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| 48 | E.h = h; |
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| 49 | E.rvc = x; |
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| 50 | E.arxo = A; |
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| 51 | E.arxp = A2; |
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| 52 | E.prior.class = 'enorm<ldmat>'; |
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| 53 | E.prior.mu = [0.2;0.3]; |
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| 54 | E.prior.R = 0.1*eye(2); |
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| 55 | E.n = 100; |
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| 56 | E.res_threshold = 1.0; |
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| 57 | |
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| 58 | |
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| 59 | exper.ndat = 2000; |
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| 60 | M = estimator(DS,{E},exper); |
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| 61 | %%%%%% ARX estimator conditioned on frg |
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| 62 | |
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| 63 | % plot |
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| 64 | |
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| 65 | figure(1); |
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| 66 | hold off |
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| 67 | plot(M.Est0_Q_Q); |
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| 68 | hold on |
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| 69 | plot(ones(size(M.Est0_Q_Q,1),1)* DS.pdf.pdfs{2}.R(:)','--'); |
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| 70 | |
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| 71 | figure(2) |
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| 72 | hold off |
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| 73 | plot(M.Est0_apost_mean_); |
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| 74 | hold on |
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| 75 | plot(M.DS_x,'--'); |
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| 76 | |
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