Changeset 639

Timestamp:

09/27/09 00:58:06 (15 years ago)

Author:

smidl

Message:

ARX stabilized forgetting + condirional model ARXfrg

Location:

library/bdm/estim

Files:

• arx.cpp (modified) (1 diff)
• arx.h (modified) (2 diffs)

library/bdm/estim/arx.cpp

@@ -4 +4 @@
 void ARX::bayes ( const vec &dt, const double w ) {
         double lnc;
-
                 
         if ( frg < 1.0 ) {
                 est.pow ( frg );
+                
+                //stabilize
+                ldmat V0(eye(V.rows()));
+                V0*=(1-frg)*1e-3;
+                V += V0; //stabilization
+                nu +=(1-frg)*(0.1 + V.rows() + 1* dimx + 2);
+                
+                // recompute loglikelihood of "prior"
                 if ( evalll ) {
                         last_lognc = est.lognc();

library/bdm/estim/arx.h

@@ -60 +60 @@
         //! cached value of data vector for have_constant =true
         vec _dt;
+        //! Alternative estimate of parameters, used in stabilized forgetting, see [Kulhavy]
+        egiw alter_est;
 public:
         //! \name Constructors
         //!@{
-        ARX ( const double frg0 = 1.0 ) : BMEF ( frg0 ), est (), V ( est._V() ), nu ( est._nu() ) {};
-        ARX ( const ARX &A0 ) : BMEF (), est (), V ( est._V() ), nu ( est._nu() ) {
-                set_statistics ( A0.dimx, A0.V, A0.nu );
-                set_parameters ( A0.frg );
+        ARX ( const double frg0 = 1.0 ) : BMEF ( frg0 ), est (), V ( est._V() ), nu ( est._nu() ), have_constant(true), _dt() {};
+        ARX ( const ARX &A0 ) : BMEF (A0.frg), est (A0.est), V ( est._V() ), nu ( est._nu() ), have_constant(A0.have_constant), _dt(A0._dt) {
+                dimx = A0.dimx;
+                _yrv = A0._yrv;
+                rgrrv = A0.rgrrv;
+                set_drv(A0._drv());
         };
         ARX* _copy_() const;
@@ -176 +180 @@
 SHAREDPTR ( ARX );
 
-}
-
+/*! ARX model conditined by knowledge of the forgetting factor
+\f[ f(\theta| d_1 \ldots d_t , \phi_t) \f]
+*/
+class ARXfrg : public ARX{
+        public:
+                ARXfrg():ARX(){};
+                ARXfrg(const ARXfrg &A0):ARX(A0){};
+                ARXfrg* _copy_() const {ARXfrg *A = new ARXfrg(*this); return A;}
+        void condition(const vec &val){
+                frg = val(0);
+        }
+};
+UIREGISTER(ARXfrg);
+};
 #endif // AR_H