Running experiment `estimator` with ARX data fields

The experiment estimator::cpp can be run either on command line, or as a mex file in Matlab.

Command-line usage

In order to use it for estimation of an ARX model, we can define the following User Infos and their use structure:

//Data generating system
system = {
        type = "ArxDS";
        y = {type="rv"; names=["y", "u"];};
        u = {type="rv"; names=[]; };
        rgr = {type="rv";
                names = ["y","y","y","u"];
                times = [-1, -2, -3, -1];
        };
        //AR parameters
        theta = [0.8, -0.3, 0.4, 1.0,
                 0.0, 0.0, 0.0, 0.0];
        // offset
        offset = [0.0, 0.0];
        //variance
        r = [0.1, 0.0,
             0.0, 1.0];
        // log also theta
        opt="L_theta";
};

//store results
logger = {
        type= "dirfilelog";
        dirname = "exp/arx_ui";
        maxlen = 1000; //
};

//estimation
estimator = {
        type = "ARXest";
        y = {type="rv"; names=["y"]; };
        rgr = {type="rv";
                names = ["y","y","y","u"];
                times = [-1, -2, -3, -1];
        };

        //optional fields
        dV0 = [1e-3, 1e-5, 1e-5, 1e-5, 1e-5]; //default: 1e-3 for y, 1e-5 for rgr
        nu0 = 8.;      //default: rgrlen + 2
        frg = 1.0;    // forgetting, default frg=1.0
};

//experiment description
experiment:{
        ndat = 9000;
};

The structure is interpreted by application estimator, which looks for fields:

system: description of a Data Source generating Data. The structure must by UI with type="DS_offspring". In our example, it is of type "ArxDS" which is parsed by bdm::UIArxDS UIbuilder generating a Data Source simulating ARX process.
estimator: description of a Baysian model used to estimate parameters of the data model. In this case, it is of type "ARXest" which is parsed by bdm::UIARX UIbuilder generating Bayesian estimator of autoregressive processess.
logger: description of a way how to store results. UI is of type="logger_offspring". In this case, it is of class "dirfilelog" which is parsed by bdm::UIdirfilelog which generates object storing data in directory specified by dirname="" field in fileformat understood by program kst.

When the application estimator is run with the above code, it produces a directory of data files, which can be displayed by program kst. Expected results are:

The matlab mex file can be run with exactly the same configuration as above. However, when we wish to see the results in Matlab, we may wish to change the logger object to type="mexlog" which will store the results in a matlab structure.

The exact configuration file may look as follows:

//Data generating system
system = { type="external"; filename="arx_test.cfg"; path="system";};

//store results
logger = {
        type= "mexlog";
        maxlen = 90; //
    //dirname = "exp/ax";
};

//estimation
estimator = {
   type = "ARXest";
        y = {type="rv"; names=["y"]; };
        rgr = {type="rv";
                names = ["y","y","y","u"];
                times = [-1, -2, -3, -1];
        };

        //optional fields
        dV0 = [1e-3, 1e-5, 1e-5, 1e-5, 1e-5]; //default: 1e-3 for y, 1e-5 for rgr
        //nu0 = 8.;      //default: rgrlen + 2
        frg = .9991;    // forgetting, default frg=1.0
};

//experiment description
experiment:{
        ndat = 90;
};

The resulting structure can be displayed using matlab script arx_test_disp.m, typically producing the following results:

Running experiment estimator with ARX data fields

Command-line usage

Matlab mex file

Running experiment `estimator` with ARX data fields