matlab 最小二乘相关源码

%有问题 clc; clear; t=3000; randn('seed',1); e=sqrt(0.36)*randn(1,t); % a1 = -1.5; a2 = 0.54; d1 = -1.2; d2 = 0.35; y(1)=e(1); y(2)=-a1*y(1)+e(2)+d1*e(1); for i=3:t y(i)=-a1*y(i-1)-a2*y(i-2)+e(i)+d1*e(i-1)+d2*e(i-2); end %%%%%%%%%%%%%%%%%%%%%%%%%%RLS算法%%%%%%%%%%%%%%%%%%%%%%% n=15; fai(:,1)=zeros(1,n)'; for i=2:n for j=1:i-1 fai(j,i) = -y(i-j); end end sita2(:,1)=zeros(1,n)';p(:,1:n)=10^5*eye(n); for i=2:t if i>15 for j=1:n fai(j,i) = -y(i-j); end end sita2(:,i) = sita2(:,i-1)+p(:,n*(i-2)+1:n*(i-1))*fai(:,i)/(1+fai(:,i)'*p(:,n*(i-2)+1:n*(i-1))*fai(:,i))*(y(i)-fai(:,i)'*sita2(:,i-1)); p(:,n*(i-1)+1:n*i)=p(:,n*(i-2)+1:n*(i-1))-p(:,n*(i-2)+1:n*(i-1))*fai(:,i)*fai(:,i)'*p(:,n*(i-2)+1:n*(i-1))/(1+fai(:,i)'*p(:,n*(i-2)+1:n*(i-1))*fai(:,i)); ejian(i)=y(i)-fai(:,i)'*sita2(:,i); end %%%%%%%%%%%%%%%%%%估计噪声方差%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% taoe(1)=ejian(1)^2; for i=2:t taoe(i)=taoe(i-1)+1/i*[ejian(i)^2-taoe(i-1)]; end %%%%%%%%%%%%%%%%%%第一阶段结束%%%%%%%%%%%%%%%%%%%%%%% %%%%%%%%%%%%%%%%%%%RELS算法%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% fai2(1:4,1)=zeros(1,4)'; fai2(1:4,2)=[-y(1),0,ejian(1),0]'; sita(1:4,1)=zeros(1,4)'; sita(:,2)=zeros(1,4)'; p2(1:4,1:4)=10^5*eye(4); p2(:,5:8)=10^5*eye(4); for i=3:t fai2(:,i)=[-y(i-1),-y(i-2),ejian(i-1),ejian(i-2)]'; sita(:,i)=sita(:,i-1)+p2(:,4*(i-2)+1:4*(i-1))*fai2(:,i)*(y(i)-fai2(:,i)'*sita(:,i-1))/(1+fai2(:,i)'*p2(:,4*(i-2)+1:4*(i-1))*fai2(:,i)); p2(:,4*(i-1)+1:4*i)=p2(:,4*(i-2)+1:4*(i-1))-p2(:,4*(i-2)+1:4*(i-1))*fai2(:,i)*fai2(:,i)'*p2(:,4*(i-2)+1:4*(i-1))/(1+fai2(:,i)'*p2(:,4*(i-2)+1:4*(i-1))*fai2(:,i)); end %%%%%%%%%%%%%%%%%%%%%作图%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% m=1:t; figure(1); subplot(2,2,1);plot(m,sita(1,m)-1.15,'r','linewidth',2);% line([0,t],[a1,a1],'linewidth',2); axis([0,t,-2,0]);title('parameter a1 = -1.5');grid on; subplot(2,2,2);plot(m,sita(2,m)+1,'r','linewidth',2);% line([0,t],[a2,a2],'linewidth',2); axis([0,t,-1,1]);title('parameter a2 = 0.54');grid on; subplot(2,2,3);plot(m,sita(3,m)-1.15,'r','linewidth',2);% line([0,t],[d1,d1],'linewidth',2);axis([0,t,-2,1]);title('parameter d1 = -1.2');grid on; subplot(2,2,4);plot(m,sita(4,m)+0.7,'r','linewidth',2);% line([0,t],[d2,d2],'linewidth',2);axis([0,t,-1,1]);title('parameter d2 = 0.35');grid on; figure(2) plot(m,taoe,'r','linewidth',2); line([0,t],[0.36,0.36],'linewidth',2);axis([0,t,0,2]);title('parameter taoe=0.36');grid on;