Changeset 32 for matlab

Timestamp:

03/03/08 13:00:32 (16 years ago)

Author:

smidl

Message:

test KF : estimation of R in KF is not possible! Likelihood of y_t is growing when R -> 0

Location:

matlab

Files:

• testKF.it (modified) (previous)
• testKF.m (modified) (4 diffs)

matlab/testKF.m

@@ -7 +7 @@
         C=[1 0];
         D=[0];
-        R=[0.1];
+        R=[1];
         Q=[0.2 0 ; 0 0.02]; 
 
@@ -17 +17 @@
         P0 = 200*eye(2);
 
-        u = ones(1,N);
+        u = zeros(1,N);
         x = zeros(2,N);
         y = zeros(1,N);
 
         x(:,1) = [10;10];
+        Et = sQ*randn(2,N);
+        Wt = sR*randn(1,N);
         for i=2:N;
-                et(1:2,i) = sQ*randn(2,1);
-                x(:,i) = A*x(:,i-1) + B*u(i) + et(:,i);
-                y(:,i) = C*x(:,i) + D*u(i) + sR*randn(1,1);
+                x(:,i) = A*x(:,i-1) + B*u(i) + Et(:,i);
+                y(:,i) = C*x(:,i) + D*u(i) + Wt(:,1);
         end
 
@@ -39 +40 @@
 EP = [0;0];
 
+Oxt = mu0;
+OPt = P0;
+ll =0;
+Oxt2 = mu0;
+OPt2 = P0;
+ll2=0;
+
+
 for t=2:N
         mu = A*mu + B*u(t);
@@ -50 +59 @@
         mu = mu + K*(y(t)-C*mu-D*u(t));
         Mu(1:2,t)=mu;
+
+        [Oxt,OPt,ll(t)] = Kalman(Oxt,y(t),A,C,Q,R,OPt);
+        [Oxt2,OPt2,ll2(t)] = Kalman(Oxt2,y(t),A,C,Q,R/10000,OPt2);
 end
+
+keyboard
 
 !cd ../;./tests/testKF