test_rcls.m

系统辨识的最小二乘递推算法、辅助变量法、增广最小二乘法及偏差补偿法的matlab程序设计实例。

load input data_in;
load output data_out;

data_sum = size(data_out);
U0 = data_in(2,1:data_sum(2));
Z0 = data_out(2,1:data_sum(2));

m(1)=input('order of A(z)');
m(2)=input('order of B(z)');
n = max(m);

Len=size(Z0);  
L = Len(2) - n;
sita = 0.001*ones(m(1)+m(2),1);
P = 10e6*eye(m(1)+m(2));
h = zeros(m(1)+m(2),1);
MatixI = eye(m(1)+m(2));

D = zeros(m(1)+m(2));
D(1:m(1),1:m(1)) = eye(m(1));
sita_c = sita;

for i=1:L
    for j=1:m(1)
        h(j,1) = -Z0(n+i-j);
    end;
    for j=1:m(2)
        h(j+m(1),1) = U0(n+i-j);
    end;
    z = Z0(n+i);
    Ki = 1/(h'*P*h+1);
    Inov = z - h'*sita;
    K = P*h*Ki;
    sita = sita + K*Inov;
    P = (MatixI - K*h') * P;
    
    if i==1
        J = (z - h'*sita)*(z - h'*sita); 
    else
        J = J + Inov * Inov * Ki;
    end;
    
        sigma_s = J / (i*(1+sita_c'*D*sita));
    sita_c = sita + i*sigma_s*P*D*sita_c;
end

sita
sita_c