examp.m

这是在网上下的一个东东

clear;
rand('state',0);
randn('state',0);

%
% The code that generated the data.
%
%beta0 = 10;
%beta1 = 100;
%beta2 = 9.8;
%for t=1:40
%x(t,1)=t;
%sigma(t,1)=8;
%y(t,1)=beta0+beta1*t-(1/2*beta2)*t^2+sigma(t,1)*randn;
%end

%precomputed data
load data1
x=data1(:,1);
y=data1(:,2);
sigma=data1(:,3);

%set data length
%N = length(x);
N = 10;
x=x(1:N);
y=y(1:N);
sigma=sigma(1:N);

%outlier
y(4)=y(4)-200;

[x , y , sigma ]

%build the parabolic system matrix

G = [ ones(N,1) , x , -1/2*x.*x ];

%apply the weighting

yw = y./sigma;

Gw = G./[sigma,sigma,sigma];

%solve for the least-squares solution

disp(['Least-squares solution'])
m2 = Gw\yw

disp(['1-norm solution'])
m1 = irls(Gw,yw,1.0e-5,1.0e-5,1,25)

m=m1;

%get the covariance matrix

ginv = inv(Gw'*Gw)*Gw';

disp(['Covariance matrix'])
covm = ginv*eye(N).^2*ginv'


%get the 1.96-sigma (95%) conf intervals

disp(['95% parameter confidence intervals on 2-norm solution'])
del = 1.96*sqrt(diag(covm));
[m-del , m2 , m+del]

disp(['Chi-square misfit'])

chi2 = norm((y - G*m2)./sigma)^2

%find the p-value for this data set
%degrees of freedom
dof = N-3;
disp(['Chi-square p-value'])
p = 1-chi2cdf(chi2,dof)


%find the parameter correlations
s=sqrt(diag(covm))
disp(['Parameter correlations'])
r = covm./(s*s')

%Plot the predicted data from the two models

i=1;
for k = min(x)-1:.05:max(x)+1
  xx(i)=k;
  mm1(i) = m1(1)+k*m1(2)-1/2*k^2*m1(3);
  mm2(i)=m2(1)+k*m2(2)-1/2*k^2*m2(3);
  i=i+1;
end

figure(1)
bookfonts;
plot(xx,mm1,xx,mm2,'k');
hold on
errorbar(x,y,sigma,'ok');
%title(['Data and Model'])
xlabel('Time (s)');
ylabel('Elevation (m)');       
%print -deps l1example.eps
hold off

%Monte Carlo Section, L1
y0 = G*m1; 

nreal=10000;

for j = 1:nreal
%
%generate a trial data set of perturbed, weighted data
%
  ytrial = y0+sigma.*randn(N,1);
  ywtrial=ytrial./sigma;
  
%L1
  mmc(j,:)=irls(Gw,ywtrial,1.0e-5,1.0e-5,1,25)';

%L2
%mmc(j,:)=(Gw\ywtrial)';

  chimc(j)= norm((ytrial-y0)./sigma)^2;

end

figure(2)
bookfonts;
hist(chimc);
%title(['1000 Monte-Carlo Chi-square Values'])
%print -deps parabfig2.eps

figure(3)
bookfonts;

subplot(1,3,1)
bookfonts;
hist(mmc(:,1))
title(['m_1'])

subplot(1,3,2)
bookfonts;
hist(mmc(:,2))
title(['m_2'])

subplot(1,3,3)
bookfonts;
hist(mmc(:,3))
title(['m_3'])
%print -deps parabfig3.eps


%empirical covariance estimation 
covmemp=mmc-[mean(mmc(:,1))*ones(nreal,1),mean(mmc(:,2))*ones(nreal,1),mean(mmc(:,3))*ones(nreal,1)];
covmemp=(covmemp'*covmemp)/nreal

figure(4)
bookfonts;
subplot(1,3,1)
bookfonts;
plot(mmc(:,1),mmc(:,2),'b*')
hold on
xlabel('M_1')
ylabel('M_2')
subplot(1,3,2)
bookfonts;
plot(mmc(:,1),mmc(:,3),'b*')
hold on
xlabel('M_1')
ylabel('M_3')
subplot(1,3,3)
bookfonts;
plot(mmc(:,2),mmc(:,3),'b*')
xlabel('M_2')
ylabel('M_3')
hold on

%plot the error ellipsoid
%get the sub-axes of the ellipsoid for plotting
n1=[0;0;1];
n2=[0;1;0];
n3=[1;0;0];
vp1=(eye(3)-n1*n1')*covmemp*(eye(3)-n1*n1');
vp2=(eye(3)-n2*n2')*covmemp*(eye(3)-n2*n2');
vp3=(eye(3)-n3*n3')*covmemp*(eye(3)-n3*n3');

vp1=vp1(1:2,1:2);
vp2=[vp2(1,1),vp2(1,3);vp2(3,1),vp2(3,3)];
vp3=vp3(2:3,2:3);

[u1,lam1]=eig(vp1);
[u2,lam2]=eig(vp2);
[u3,lam3]=eig(vp3);

l1=sqrt(diag(lam1));
l2=sqrt(diag(lam2));
l3=sqrt(diag(lam3));
dtheta=0.01;
theta=0:dtheta:2*pi;
for i=1:length(theta)
  v1=2.79*(l1(1)*u1(:,1)*cos(theta(i))+l1(2)*u1(:,2)*sin(theta(i)));
  v2=2.79*(l2(1)*u2(:,1)*cos(theta(i))+l2(2)*u2(:,2)*sin(theta(i)));
  v3=2.79*(l3(1)*u3(:,1)*cos(theta(i))+l3(2)*u3(:,2)*sin(theta(i)));
  x1(i)=m(1)+v1(1);
  y1(i)=m(2)+v1(2);
  x2(i)=m(1)+v2(1);
  z2(i)=m(3)+v2(2);
  y3(i)=m(2)+v3(1);
  z3(i)=m(3)+v3(2);
end
subplot(1,3,1)
bookfonts;
plot(x1,y1,'k')
hold off
subplot(1,3,2)
bookfonts;
plot(x2,z2,'k')
hold off
subplot(1,3,3)
bookfonts;
plot(y3,z3,'k')
hold off

%check confidence intervals

[u,lam]=eig(covm);

%rotate model estimates into the principal coordinate system
mmcrot = mmc*u;
%subtract the (rotated) parameter means
mmcrotmean=mean(mmcrot);
mmcrot=mmcrot- ...
[mmcrotmean(1)*ones(nreal,1),mmcrotmean(2)*ones(nreal,1),mmcrotmean(3)*ones(nreal,1)];

%counting of model estimates within the ellipsoid
count=0;
for i=1:nreal
  if ((mmcrot(i,1)^2/lam(1,1)+mmcrot(i,2)^2/lam(2,2)+mmcrot(i,3)^2/lam(3,3)) <= 3.35^2)
    count=count+1;
  end
end
disp(['confidence interval inclusion:']) 
count/nreal

%generate confidence ellipsoids to plot on top of the model distribution
theta=(0:.01:2*pi);
elrot1=2.79*[lam(1,1)^0.5*cos(theta)',lam(2,2)^0.5*sin(theta)'];
elrot2=2.79*[lam(1,1)^0.5*cos(theta)',lam(3,3)^0.5*sin(theta)'];
elrot3=2.79*[lam(2,2)^0.5*cos(theta)',lam(3,3)^0.5*sin(theta)'];

figure(5)
bookfonts;
subplot(1,3,1)
bookfonts;
plot(mmcrot(:,1),mmcrot(:,2),'*',elrot1(:,1),elrot1(:,2),'k')
xlabel('M_1')
ylabel('M_2')
subplot(1,3,2)
bookfonts;
plot(mmcrot(:,1),mmcrot(:,3),'*',elrot2(:,1),elrot2(:,2),'k')
xlabel('M_1')
ylabel('M_3')
subplot(1,3,3)
bookfonts;
plot(mmcrot(:,2),mmcrot(:,3),'*',elrot3(:,1),elrot3(:,2),'k')
xlabel('M_2')
ylabel('M_3')