Changeset 639 for library/bdm/estim/arx.cpp

Timestamp:

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

Author:

smidl

Message:

ARX stabilized forgetting + condirional model ARXfrg

Files:

• library/bdm/estim/arx.cpp (modified) (1 diff)

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();