?? tfarma_est_mlu1.m
字號(hào):
function [A, B, exitflag, output]= tfarma_est_mlu1(Ayy, Aml0, Bml0, re_im, opts)% function [A, B, exitflag, output]= tfarma_est_mlu1(Ayy, Aml0, Bml0, re_im, opts)% This file is part of the TFPM toolbox v1.0 (c)% michael.jachan@tuwien.ac.at and underlies the GPL.% % Asymptotic ML estimator for TFARMA(MAR, LAR; MMA, LMA; N; 1/2)% models. The switch re_im decides how the parameters are% optimized! Crucial? %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%if(0)% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%clear;tfpm;N = 64;MAR = 2;LAR = 2;MMA = 1;LMA = 1;re_im= 'r';mo_no= 'n';tfpm_file_gen;%-------------alpha= 1/2;beta = 1/2;%Bml(LMA+1, 1)= 2;Amlref= Aml;Bmlref= Bml;KC= 1;LC= KC*(LAR+LMA)+1;MC= KC*(MAR+MMA)+1;Psi= tf_multiwin(N, MC, LC, 5, 1, 1);psi= Psi(N/2+1-3*LC:N/2+1+3*LC, N/2+1-MC:N/2+1+MC);opts= optimset('MaxIter', 50, 'MaxFunEvals', 100000, 'GradObj', 'on', 'DerivativeCheck', 'off', 'Display', 'iter', 'Diagnostics', 'on');Aalpha= tfarma_ambi(Aml, Bml, N, alpha);Ayy= Aalpha;[Aml0, Bml0, INSTAB]= gkmu(Ayy(N/2-3*LC+1:N/2+3*LC+1, N/2-MC+1:N/2+MC+1), N, MAR, LAR, MMA, LMA);param_norm(Aml0, Aml, 1)param_norm(Bml0, Bml, 1)y= tfarma_gen(randn(N, 1), Aml, Bml, beta);%plot(real(y))qyy= corr_est(y, y, MC, 1/2);ayy= fft(qyy);ayy= [ayy(N/2+1:N, :); ayy(1:N/2, :)];ayy= ayy(N/2+1-3*LC:N/2+1+3*LC, :).*conj(psi);[Aml0, Bml0, INSTAB]= gkmu(ayy, N, MAR, LAR, MMA, LMA);param_norm(Aml0, Aml, 1)param_norm(Bml0, Bml, 1)%Aml0= Aml;%Aml0(:, 2:end)= Aml0(:, 2:end)+.01*(randn(size(Aml(:, 2:end))) + j*randn(size(Aml(:, 2:end))));%Bml0= Bml;%Bml0(:, 2:end)= Bml0(:, 2:end)+.01*(randn(size(Bml(:, 2:end))) + j*randn(size(Bml(:, 2:end))));qyy= corr_est(y, y, -1, 1/2);ayy= fft(qyy);ayy= [ayy(N/2+1:N, :); ayy(1:N/2, :)];Ayy= ayy.*conj(Psi);%Ayy= tfarma_ambi(Aml, Bml, N, 1/2);%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%end;% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Dimensions:[MAR, LAR]= param_dim(Aml0);[MMA, LMA]= param_dim(Bml0);% Combine the parameters, do not contain a_{0, l}!theta_AB= [param_stack_ml(Aml0(:, 2:end)); param_stack_ml(Bml0)];theta_ABreim= [real(param_stack_ml(Aml0(:, 2:end))); ... imag(param_stack_ml(Aml0(:, 2:end))); ... real(param_stack_ml(Bml0)); ... imag(param_stack_ml(Bml0))];Pyy= real(nm_to_nk(ml_to_nm(Ayy)));% Call fminunc:%[X, lX, exitflag, output]= fminunc('tfarma_llfu', theta_AB, opts, Pyy, MAR, LAR, MMA, LMA, re_im);[X, lX, exitflag, output]= fminunc('tfarma_llfu1', theta_ABreim, opts, Pyy, MAR, LAR, MMA, LMA, re_im);%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%if(0)% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%tfarma_llfu(theta_AB, Pyy, MAR, LAR, MMA, LMA, re_im);AB= reshape(theta_AB, 2*LAR+1, length(theta_AB)/(2*LAR+1));tfar_llfu(AB, Pyy, re_im)% Call fmincon:[X, lX, exitflag, output]= fmincon('tfarma_llfu', theta_AB, [], [], [], [], -3*ones(size(theta_AB)), 3*ones(size(theta_AB)), [], opts, Pyy, MAR, LAR, MMA, LMA, re_im);%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%end;% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%X= [X(1:MAR*(2*LAR+1)) + j*X(MAR*(2* LAR+1)+1:2*MAR*(2*LAR+1)); X(2*MAR*(2*LAR+1)+1:2*MAR*(2*LAR+1)+(MMA+1)*(2*LMA+1)) ... + j*X(2*MAR*(2*LAR+1)+(MMA+1)*(2*LMA+1)+1:end)];theta_A= X(1:MAR*(2*LAR+1));theta_B= X(MAR*(2*LAR+1)+1:end);A= [[zeros(LAR, 1); 1; zeros(LAR, 1)] param_destack_ml(theta_A, MAR-1, LAR)];B= param_destack_ml(theta_B, MMA, LMA);%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%if(0)% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%[param_norm(A, Aml, 1) param_norm(Aml0, Aml, 1)][param_norm(B, Bml, 1) param_norm(Bml0, Bml, 1)]%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%end;% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%if(0)% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%clear;tfpm;N = 64;MAR = 2;LAR = 2;MMA = 1;LMA = 1;re_im= 'r';mo_no= 'm'; tfpm_file_gen;%-------------beta = 1/2;MM= 50;AMLgk= zeros(2*LAR+1, MAR+1, MM);AMLml= zeros(2*LAR+1, MAR+1, MM);BMLgk= zeros(2*LMA+1, MMA+1, MM);BMLml= zeros(2*LMA+1, MMA+1, MM);Iter= [];NFun= [];EFLG= [];KC= 1;LC= KC*(LAR+LMA)+1;MC= KC*(MAR+MMA)+1;Psi= tf_multiwin(N, MC, LC, 5, 1, 1);psi= Psi(N/2+1-3*LC:N/2+1+3*LC, N/2+1-MC:N/2+1+MC);psi= ones(size(psi));opts= optimset('MaxIter', 50, 'GradObj', 'on', 'DerivativeCheck', 'off', 'Display', 'iter', 'Diagnostics', 'on');Psi= tf_multiwin(N, MAR, LAR, 5, 1, 1);for mm= 1:MM mm y= tfarma_gen(randn(N, 1), Aml, Bml, beta); qyy= corr_est(y, y, MC, 1/2); ayy= fft(qyy); ayy= [ayy(N/2+1:N, :); ayy(1:N/2, :)]; ayy= ayy(N/2+1-3*LC:N/2+1+3*LC, :).*conj(psi); Qyy= corr_est(y, y, -1, 1/2); Ayy= fft(Qyy); Ayy= [Ayy(N/2+1:N, :); Ayy(1:N/2, :)].*conj(Psi);% [Aml0, Bml0, INSTAB]= gkmu(ayy, N, MAR, LAR, MMA, LMA);% param_norm(Aml0, Aml, 1)% param_norm(Bml0, Bml, 1) Aml0= Aml; Bml0= Bml; Aml0(:, 2:end)= Aml0(:, 2:end) + (randn(size(Aml0(:, 2:end))) + j*randn(size(Aml0(:, 2:end))))/20; Bml0= Bml0 + (randn(size(Bml0)) + j*randn(size(Bml0)))/20; [A, B, exitflag, output]= tfarma_est_mlu1(Ayy, Aml0, Bml0, re_im, opts); Iter= [Iter; output.iterations]; NFun= [NFun; output.funcCount]; EFLG= [EFLG; exitflag]; figure(1);clf;plot(Iter);drawnow% figure(2);clf;plot(NFun);drawnow AMLgk(:, :, mm)= Aml0; BMLgk(:, :, mm)= Bml0; AMLml(:, :, mm)= A; BMLml(:, :, mm)= B;end;[mean(Iter) mean(NFun)][MAgk, VAgk, BAgk]= param_mse(AMLgk, Aml);[MBgk, VBgk, BBgk]= param_mse(BMLgk, Bml);[MAml, VAml, BAml]= param_mse(AMLml, Aml);[MBml, VBml, BBml]= param_mse(BMLml, Bml);[norm(MAgk) norm(MAml)][norm(MBgk) norm(MBml)][norm(VAgk) norm(VAml)][norm(VBgk) norm(VBml)][norm(BAgk) norm(BAml)][norm(BBgk) norm(BBml)]%mean(AMLgk, 3)mean(AMLml, 3)%mean(BMLgk, 3)mean(BMLml, 3)sum(EFLG)%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%end;% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%if(0)% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%clear;tfpm;N = 64;MAR = 2;LAR = 2;MMA = 1;LMA = 1;re_im= 'r';mo_no= 'm'; tfpm_file_gen;%-------------beta = 1/2;alpha= 1/2;theta_AB= [param_stack_ml(Aml(:, 2:end)); param_stack_ml(Bml)];theta_ABreim= [real(param_stack_ml(Aml(:, 2:end))); ... imag(param_stack_ml(Aml(:, 2:end))); ... real(param_stack_ml(Bml)); ... imag(param_stack_ml(Bml))];Aalpha= tfarma_ambi(Aml, Bml, N, alpha);Ayy= Aalpha;Pyy= real(nm_to_nk(ml_to_nm(Ayy)));[l, v]= tfarma_llfu1(theta_ABreim, Pyy, MAR, LAR, MMA, LMA, re_im);delt= zeros(size(theta_ABreim));delt(1)= .001* theta_ABreim(1);[l1, v1]= tfarma_llfu1(theta_ABreim+delt, Pyy, MAR, LAR, MMA, LMA, re_im);(l1-l)/delt(1)ff= 4[l, v]= tfarma_llfu(theta_AB, Pyy, MAR, LAR, MMA, LMA, re_im);delt= zeros(size(theta_AB));delt(ff)= .04* theta_AB(ff);[l1, v1]= tfarma_llfu(theta_AB+delt, Pyy, MAR, LAR, MMA, LMA, re_im);(l1-l)/delt(ff)-1/2*v1(ff)%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%end;% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%?? 快捷鍵說明
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