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Revision 981, 1.3 kB
(checked in by smidl, 14 years ago)
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arx mpf experiment
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| 1 | clear all; |
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| 2 | x = RV('x',2); |
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| 3 | y = RV('y',2); |
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| 4 | |
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| 5 | g.class = 'mexFnc'; |
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| 6 | g.dim = 2; |
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| 7 | g.dimc = 2; |
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| 8 | g.function = 'test_function'; |
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| 9 | |
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| 10 | % g.class = 'linfn'; |
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| 11 | % g.A = eye(2); |
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| 12 | % g.B = [1;0]; |
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| 13 | |
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| 14 | h.class = 'linfn'; |
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| 15 | h.A = eye(2); |
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| 16 | h.B = [1;0]; |
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| 17 | |
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| 18 | fx.class = 'mgnorm<chmat>'; |
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| 19 | fx.R = [0.03 -0.02; -0.02 0.05]; |
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| 20 | fx.g = g; |
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| 21 | fx.rv = x; |
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| 22 | fx.rvc = RVtimes(x,-1); |
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| 23 | |
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| 24 | fy.class = 'mgnorm<chmat>'; |
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| 25 | fy.R = 0.01*eye(2); |
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| 26 | fy.g = h; |
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| 27 | fy.rv = y; |
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| 28 | fy.rvc = x; |
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| 29 | |
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| 30 | |
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| 31 | %%%%%% Data generator |
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| 32 | DS.class = 'PdfDS'; |
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| 33 | DS.pdf.class = 'mprod'; |
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| 34 | DS.pdf.pdfs = {fy,fx}; |
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| 35 | DS.init_rv = RVtimes(x,-1); |
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| 36 | DS.init_values = [.2,.3]'; |
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| 37 | |
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| 38 | %%%%% Estimator |
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| 39 | A.class = 'ARX'; |
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| 40 | A.yrv = RV('vw',4); |
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| 41 | A.rv = RV('R',16); |
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| 42 | A.rgr = RV({}); |
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| 43 | A.dimx=4; |
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| 44 | A.constant = 0; |
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| 45 | A.frg=1.0; |
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| 46 | A.prior.class='egiw'; |
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| 47 | A.prior.dimx=4; |
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| 48 | A.prior.V =1e-3*eye(4); |
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| 49 | %A.prior.nu = 10; |
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| 50 | |
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| 51 | |
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| 52 | M.class = 'NoiseParticle'; |
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| 53 | M.g = g; |
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| 54 | M.h = h; |
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| 55 | M.yrv = y; |
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| 56 | M.rvx = x; |
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| 57 | M.rvxc = RVtimes(x,-1); |
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| 58 | M.rvyc = x; |
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| 59 | M.bm = A; |
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| 60 | |
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| 61 | PF.class='PF'; |
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| 62 | PF.particle = M; |
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| 63 | PF.n = 100; |
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| 64 | PF.res_threshold = 0.9; |
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| 65 | PF.prior.class = 'enorm<ldmat>'; |
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| 66 | PF.prior.mu = [0.2;0.3]; |
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| 67 | PF.prior.R = 0.1*eye(2); |
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| 68 | |
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| 69 | |
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| 70 | exper.ndat = 200; |
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| 71 | O = estimator(DS,{PF},exper); |
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| 72 | %%%%%% ARX estimator conditioned on frg |
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| 73 | |
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| 74 | % plot |
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| 75 | |
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| 76 | figure(1); |
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| 77 | hold off |
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| 78 | plot(O.Est0_apost_mean_R); |
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| 79 | |
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| 80 | figure(2) |
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| 81 | hold off |
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| 82 | plot(O.Est0_apost_mean_x); |
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| 83 | hold on |
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| 84 | plot(O.DS_dt_x,'--'); |
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| 85 | |
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