From 9702b42f6f8d66f478e564bec37d05d157b4172e Mon Sep 17 00:00:00 2001
From: Fredrik Bagge Carlson <cont-frb@ulund.org>
Date: Tue, 13 Sep 2016 15:52:07 +0200
Subject: [PATCH] updates
---
src/SystemIdentification.jl | 6 +++---
src/kalman.jl | 18 ++++++++++++++++--
src/least_squares.jl | 2 +-
src/particle_filters/pf_bootstrap.jl | 2 +-
4 files changed, 21 insertions(+), 7 deletions(-)
diff --git a/src/SystemIdentification.jl b/src/SystemIdentification.jl
index c74e368..7841796 100644
--- a/src/SystemIdentification.jl
+++ b/src/SystemIdentification.jl
@@ -13,7 +13,7 @@ FitResult,
IdData,
# Functions
ar,arx,getARregressor,getARXregressor,find_na,
-toeplitz, kalman, kalman_smoother, forward_kalman
+toeplitz, kalman, kalman_smoother, forward_kalman, PCA
## Fit Methods =================
:LS
@@ -26,8 +26,8 @@ abstract Model
abstract LinearModel <: Model
abstract NonLinearModel <: Model
abstract Network <: NonLinearModel
-typealias Polynom{T<:Real} Union(Array{T,1} , T)
-typealias PolynomMatrix{T} Union(Array{Polynom{T},1},Polynom{T}, T)
+typealias Polynom{T<:Real} Union{Array{T,1} , T}
+typealias PolynomMatrix{T} Union{Array{Polynom{T},1},Polynom{T}, T}
diff --git a/src/kalman.jl b/src/kalman.jl
index b78b88b..345fa13 100644
--- a/src/kalman.jl
+++ b/src/kalman.jl
@@ -1,8 +1,8 @@
"""
+ `kalman(R1,R2,theta, y, A, P)`
One dimensional Kalman filter for parameter estimates
-`kalman(R1,R2,theta, y, A, P)`
"""
-function kalman(R1,R2,theta, y, A, P)
+function kalman1(R1,R2,theta, y, A, P)
ATP = A'P
K = (P*A)/(R2+ATP*A)
P = P - (P*A*ATP)./(R2 + ATP*A) + R1
@@ -12,6 +12,20 @@ function kalman(R1,R2,theta, y, A, P)
return theta, P, e, yp
end
+"""
+ `kalman(R1,R2,R12,theta, y, A, P)`
+General Kalman filter for parameter estimates
+"""
+function kalman(R1,R2,R12,theta, y, A, P)
+ ATP = A'P
+ K = (P*A+R12)/(R2+ATP*A)
+ P = P - (P*A+R12)/(R2 + ATP*A)*(ATP+R12') + R1
+ yp = (A'theta)[1]
+ e = y-yp
+ theta = theta + K*e
+ return theta, P, e, yp
+end
+
function forward_kalman(y,A,R1,R2, P0)
diff --git a/src/least_squares.jl b/src/least_squares.jl
index 23cf705..4a0395d 100644
--- a/src/least_squares.jl
+++ b/src/least_squares.jl
@@ -38,7 +38,7 @@ end
function Lcurve(normE, normX, λ)
plot(normE,normX,xscale=:log10,yscale=:log10,m=:o)
- annotations = [(normE[i],normX[i],"λ=$(round(λ[i],4))") for i in 1:length(λ)]
+ annotations = [(normE[i],normX[i],"λ=$(round(λ[i],8))") for i in 1:length(λ)]
annotate!(annotations)
xlabel!("RMSE"); ylabel!("||k||"); title!("L-curve")
end
diff --git a/src/particle_filters/pf_bootstrap.jl b/src/particle_filters/pf_bootstrap.jl
index 931280d..4caacc8 100644
--- a/src/particle_filters/pf_bootstrap.jl
+++ b/src/particle_filters/pf_bootstrap.jl
@@ -130,7 +130,7 @@ function pf_aux_nn(xp, w, wnn, y, N, g_density, f)
for t = 2:T
xpT = xp[:,t-1]
- f(xpT,t-1)
+ f(xpT,t-1) # This is now incorrect. particles should be propagated without noise in this step.
wT = copy(w[:,t-1])
lambda = g_density(y[t],xpT)
--
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