From 62456129d6514937ee5863613c103ead8c1208f0 Mon Sep 17 00:00:00 2001
From: baggepinnen <cont-frb@ulund.org>
Date: Wed, 11 Oct 2017 09:58:34 +0200
Subject: [PATCH] update
---
src/LTVModelsBase.jl | 44 +++++++++++++++++---------------------------
1 file changed, 17 insertions(+), 27 deletions(-)
diff --git a/src/LTVModelsBase.jl b/src/LTVModelsBase.jl
index 8cfcf69..6e2d3e3 100644
--- a/src/LTVModelsBase.jl
+++ b/src/LTVModelsBase.jl
@@ -1,10 +1,12 @@
module LTVModelsBase
# Interface exports
-export AbstractModel, AbstractCost, ModelAndCost, cost,
-cost_final, dc,calculate_cost,calculate_final_cost,
-fit_model, predict, df,costfun, covariance, LTVStateSpaceModel,
-SimpleLTVModel, KalmanModel, GMMModel
+export AbstractModel, AbstractCost, ModelAndCost,f,
+dc,calculate_cost,calculate_final_cost,
+fit_model, predict, df,costfun, LTVStateSpaceModel,
+SimpleLTVModel, covariance
+
+export rms, sse, nrmse
rms(x) = sqrt(mean(x.^2))
@@ -46,28 +48,6 @@ end
SimpleLTVModel(At,Bt,extend::Bool) = SimpleLTVModel{eltype(At)}(At,Bt,extend)
-mutable struct KalmanModel{T} <: LTVStateSpaceModel
- At::Array{T,3}
- Bt::Array{T,3}
- Pt::Array{T,3}
- extended::Bool
- function KalmanModel{T}(At::Array{T,3},Bt::Array{T,3},Pt::Array{T,3},extend::Bool)
- if extend
- At = cat(3,At,At[:,:,end])
- Bt = cat(3,Bt,Bt[:,:,end])
- Pt = cat(3,Pt,Pt[:,:,end])
- end
- return new(At,Bt,Pt,extend)
- end
-end
-
-KalmanModel(At,Bt,Pt,extend::Bool=false) = KalmanModel{eltype(At)}(At,Bt,Pt,extend)
-
-mutable struct GMMModel <: AbstractModel
- M
- dynamics
- T
-end
"""
model = fit_model(::Type{AbstractModel}, x,u)::AbstractModel
@@ -172,7 +152,7 @@ function f(modelcost::ModelAndCost, x, u, i)
predict(modelcost.model, x, u, i)
end
-function constfun(modelcost::ModelAndCost, x, u)
+function costfun(modelcost::ModelAndCost, x, u)
calculate_cost(modelcost.cost, x, u)
end
@@ -188,4 +168,14 @@ function df(modelcost::ModelAndCost, x, u)
end
+
+function covariance(model::AbstractModel, x, u)
+ xhat = similar(x)
+ xhat[:,1] = x[:,1]
+ for i = 1:size(x,2)-1
+ xhat[:,i+1] = model.At[:,:,i]*x[:,i] + model.Bt[:,:,i]*u[:,i]
+ end
+ return cov(x-xhat, 2)
+end
+
end # module
--
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