rls_ar_pred.m

数字信号处理中自适应滤波的实现

function [Wo, xp, alpha, e] = rls_AR_pred(Xi, Y, verbose, lambda, delta)
% function [Wo, xp, alpha, e] = rls_AR_pred(Xi, Y, verbose, lambda, delta)
%
% rls_AR_pred.m - use basic RLS algorithm to predict real-valued AR process
% written for MATLAB 4.0
%
% Reference: Haykin, _Adaptive Filter Theory_, 2nd (corr.) ed., 1991
%
% Note that we use the algorithm in Table 13.2, i.e.,
% we do not exploit the Hermitian property of P(n), to
% minimize the possibility of numerical instability.
%
%
% Input parameters:
%       Xi     : matrix of training/test points - each row is
%                considered a datum
%       y      : vector of corresponding desired outputs for
%                predictor
%       verbose: set to 1 for interactive processing
%       lambda : the initial value of the forgetting factor
%       delta  : the initial value for the diagonal P matrix
%
% Output parameters:
%       Wo     : column-wise matrix of weights at each iteration
%       xp     : row vector of predicted outputs
%       alpha  : row vector of a priori prediction errors
%       e      : row vector of a posteriori prediction errors Y - xp

Nout = size(Xi, 2);
% length of maximum number of timesteps that can be predicted
N    = size(Xi, 1);

% order of predictor
d = size(Xi, 2);

% initialize weight matrix and associated parameters for RLS predictor
W  = zeros(Nout, 1);
Wo = []; 
P  = eye(d) / delta;

for n = 1:N,
   % save weights
	Wo = [Wo W];

	% adapt weight matrix
	u = Xi(n, :)';
	p = u' * P;
	kappa = lambda + p * u;
	k = P * u / kappa;
	alpha(n) = Y(n) - W' * u;
	W  = W + k * alpha(n);
	Pp = k * p;
	P  = (P - Pp) / lambda;

	% predict next sample and compute error
	xp(n) = W' * u;
	e(n)  = Y(n) - xp(n);
	if (verbose ~= 0)
	  disp(['time step ', int2str(n), ': mag. pred. err. = ', num2str(abs(e(n)))]);
	end;

end % for n