judd.m

代码用于估计关联维数。包括G-P算法(corrint.m)

function [m,dcm,eps0,cim]=judd(y,de,tau,nbins,nt,dt);

% function [m,dc,eps0,ci] = judd(y,de,tau,nbins,nt,dt);
%                    = judd(y,de,tau,eps,nt);
%
% compute correlation dimension (dc) using Judd's algorithm
%
% de range of embedding dimensions (default 2:20)
% tau embedding lag (default 1)
% nbins number of bins of interpoint distances (default 200)
% nt is the number of temporal neighbours to excluse (default 0)
% dt is the topological dimension of the set (default, 2)
% eps is the range of eps_0 values to estimate dc at (optional).
%
% dc is a cell array of the same size as m (the list of embedding
% dimensions). For embedding in m(i) dimensions dc{i}(1,:) are the eps0
% values, dc{i}(2,:) is the correlation dimension estimates (for the
% corresponding eps0) and dc{i}(3,:) is the estimated fitting error.
%
% Michael Small
% [e-mail]
% 25/4/02

nout=nargout;

if nargin<6,
  dt=2;
end;
if nargin<5,
    nt=0;
end;
if nargin<4,
    nbins=200;
end;
if nargin<3,
    tau=1;
end;
if nargin<2,
    de=2:20;
end;

if dt<1,
  dt=1; %dt can't be less than one
end;

nde=length(de);

%parameters
maxn=1000; %maximum number of points to use
pretty=0;  %pictures?
noccup=20; % minimum number of occupied bins to fit to.
maxci=0.9; % upperbound on correlation integral
errorbound=0.01; %maximum fitting error to blindly accept

%data
y=y(:);
n=length(y);

%rescale to mean=0 & std=1
y=y-mean(y);
y=y./std(y);

%init
m=[];
d=[];
k=[];
s=[];
b=[];
cim=[];

%get bins : distributed logarithmically
if max(size(nbins))==1,
  binl=log(min(diff(unique(y))));   %smallest diff 
  binh=log(max(de)*(max(y)-min(y)));%seems to work
  binstep=(binh-binl)./(nbins-1);
  bins=binl:binstep:binh;
  bins=exp(bins);
else
  bins=nbins;
  nbins=length(bins);
end;

%disp
disp(['Judd''s Algorithm (n=',int2str(n),'; tau=',int2str(tau),'; nbins=',int2str(nbins),'; nt=',int2str(nt),'; dt=',int2str(dt),')']);

%get distributions of interpoint distances
if n>2*maxn, %why sample with replacement when you could without?
  %distribution of interpoint distances
  %compute distrib. from maxn ref. pairs of points
  np=interpoint(y,de,tau,bins(1:(end-1)),maxn.^2,nt);  
  %number of interpoint distances      
  ntot=maxn.^2;
  disp(['Using ',int2str(maxn),'^2 reference points (ntot=',int2str(ntot),')']);
else,
  %distribution of interpoint distances
  %compute distrib. using all points
  np=interpoint(y,de,tau,bins(1:(end-1)),nt);
  %number of interpoint distances      
  nx=length(y)-(max(de)-1)*tau;
  ntot=nx*(nx-(1+2*nt));
  disp(['Using all points (ntot=',int2str(ntot),')']);
end;

%loop on de
for mi=1:nde,
    
    disp(['Fitting for m=',int2str(de(mi))]);
    
    %compute correlation integral
    ci=cumsum(np(:,mi)'./ntot);
    ind=find(ci<maxci);

    dc=[];
    eps0=[];
    errs=[];
    while(sum(diff(ci(ind))>0)>noccup), %keep going so long as noccup
				  %bins are occupied
      %fit to find D and a
      opt=optimset('TolX',1e-6,'TolFun',1e-6,'display','notify',...
       'MaxFunEvals',10000,...
		   'MaxIter',10000);	%   'LevenbergMarquardt','on',
      xi=[de(mi) 1]; %initial guess
      xi=fminsearch('judd_da',xi,opt,bins(ind),ci(ind)); % do it once (to est. d)
      xi=[xi(1) xi(2) zeros(1,dt-1)];
      [xi,gfit,exitflag]=fminsearch('judd_da',xi,opt,bins(ind),ci(ind)); % do it again

      %compute normalised error
      gfit=gfit./sum(ci(ind).^2);
      
      %should we give up?
      if ~exitflag,
	%fitting didn't converge .. so quit
	disp('WARNING: Fitting failed to converge.');
	break;
      end;
      
      %was it good enough?
      if gfit<errorbound & xi(1)>0,
	dc=[dc xi(1)];
	eps0=[eps0 bins(ind(end))];
	errs=[errs gfit];
      end;

      %display is necessary
      if pretty,
	figure(gcf);
	clf;
	subplot(211);
	loglog(bins(ind),ci(ind),'k:');hold on;
	loglog(bins(ind),ci(ind),'r');
	tfit=judd_fit(xi(1),xi(2:end),bins(ind));
	loglog(bins(ind),tfit,'g-');
	axis([bins(1) bins(end) max(min(ci(ci>0)),min(tfit)) 1]);
	grid on;
	xlabel('log(\epsilon)');
	ylabel('log(P_\mu(\epsilon))');
	title(['Correlation Integral (m=',int2str(de(mi)), ...
	       ' and tau=',int2str(tau),')']);
	subplot(212);
	plot(bins(ind),tfit(ind),'g-');hold on;
	plot(bins(ind),ci(ind),'r');
	plot(bins(ind),abs(tfit(ind)-ci(ind)),'b');
	title(['\epsilon_0=',num2str(bins(ind(end))),', d_c=', ...
	       num2str(xi(1)),', gfit=',num2str(gfit)]);
	xlabel('\epsilon');
	ylabel('P_\mu(\epsilon)');
	drawnow;
      end;
       
      ind(end)=[];
    end;
    
    %normalisation factor for the bins
    bbox=(max(y)-min(y))*sqrt(de(mi));%diag of bounding box in R^m

    %remember the gki and ss
    cim=[cim;ci];
    dcm{mi}=[eps0./bbox;dc;errs];
end;


m=de;

%output display?
if pretty,
  figure(gcf);
  clf;hold on;
  for i=1:nde,
    if min(size(dcm{i}))>1,
      semilogx(dcm{i}(1,:),dcm{i}(2,:));
    end;
  end;
  xlabel('log(\epsilon_0)');
  ylabel('d_c(\epsilon_0)');
end;