function sys = ar(varargin) // Parameters Estimation of AR model using Input Output time-domain data // // Calling Sequence // sys = ar(ioData,[na]) // // Parameters // ioData : iddata or [outputData inputData] ,matrix of nx2 dimensions, type plant data // na : non-negative integer number specified as order of the polynomial A(z^-1) // sys : idpoly type polynomial have estimated coefficients of A(z^-1) polynomials // // Description // Fit AR model on given input output data // The mathematical equation of the AR model // // begin{eqnarray} // A(q)y(t) = e(t) // end{eqnarray} // // It is SISO type model. It minimizes the sum of the squares of nonlinear functions using Levenberg-Marquardt algorithm. // sys ,an idpoly type class, have different fields that contains estimated coefficients, sampling time, time unit and other estimated data in Report object. // // Examples // u = idinput(1024,'PRBS',[0 1/20],[-1 1]) // a = [1 0.5];b = [0 2 3]; // model = idpoly(a,b,'Ts',0.1); // y = sim(u,model) + rand(length(u),1); // plantData = iddata(y,[],0.1); // sys = ar(plantData,[2]) // // Examples // u = idinput(1024,'PRBS',[0 1/20],[-1 1]); // a = [1 0.5];b = [0 0.2 0.3]; // model = idpoly(a,b,'Ts',0.1); // y = sim(u,model) + rand(length(u),1); // plantData = [y]; // sys = ar(plantData,[2]) // // Authors // Ashutosh Kumar Bhargava, Bhushan Manjarekar [lhs , rhs] = argn(); if ( rhs < 2 ) then errmsg = msprintf(gettext("%s: Unexpected number of input arguments : %d provided while should be 2"), "ar", rhs); error(errmsg) end z = varargin(1) if typeof(z) == 'iddata' then Ts = z.Ts;unit = z.TimeUnit z = [z.OutputData z.InputData] elseif typeof(z) == 'constant' then Ts = 1;unit = 'seconds' end if ~iscolumn(z) then errmsg = msprintf(gettext("%s: time series output data only"), "ar"); error(errmsg); end if (~isreal(z)) then errmsg = msprintf(gettext("%s: input and output data matrix should be a real matrix"), "ar"); error(errmsg); end n = varargin(2) if (size(n,"*") ~=1 )then errmsg = msprintf(gettext("%s: order should be nonnegative integer number "), "ar"); error(errmsg); end if (size(find(n<0),"*") | size(find(((n-floor(n))<%eps)== %f))) then errmsg = msprintf(gettext("%s: values of order and delay matrix [na] should be nonnegative integer number "), "ar"); error(errmsg); end na = n; nb = 0; nk = 0; // storing U(k) , y(k) and n data in UDATA,YDATA and NDATA respectively YDATA = z(:,1); UDATA = zeros(size(z,1),1) NDATA = size(UDATA,"*"); function e = G(p,m) e = YDATA - _objfun(UDATA,YDATA,p,na,nb,nk); endfunction tempSum = na+nb p0 = linspace(0.1,0.9,tempSum)'; [var,errl] = lsqrsolve(p0,G,size(UDATA,"*")); err = (norm(errl)^2); opt_err = err; resid = G(var,[]); a = 1-poly([var(nb+1:nb+na)]',"q","coeff"); b = poly([repmat(0,nk,1);var(1:nb)]',"q","coeff"); a = (poly([1,-coeff(a)],'q','coeff')) t = idpoly(coeff(a),1,1,1,1,Ts) // estimating the other parameters [temp1,temp2,temp3] = predict([YDATA UDATA],t) [temp11,temp22,temp33] = pe([YDATA UDATA],t) estData = calModelPara(temp1,temp1,n(1)) // pause t.Report.Fit.MSE = estData.MSE t.Report.Fit.FPE = estData.FPE t.Report.Fit.FitPer = estData.FitPer t.Report.Fit.AIC = estData.AIC t.Report.Fit.AICc = estData.AICc t.Report.Fit.nAIC = estData.nAIC t.Report.Fit.BIC = estData.BIC t.TimeUnit = unit sys = t // sys = idpoly(coeff(a),1,1,1,1,Ts) // sys.TimeUnit = unit endfunction function yhat = _objfun(UDATA,YDATA,x,na,nb,nk) x=x(:) q = poly(0,'q') tempSum = nb+na // making polynomials b = poly([repmat(0,nk,1);x(1:nb)]',"q","coeff"); a = 1 - poly([x(nb+1:nb+na)]',"q","coeff") aSize = coeff(a);bSize = coeff(b) maxDelay = max([length(aSize) length(bSize)]) yhat = [YDATA(1:maxDelay)] for k=maxDelay+1:size(UDATA,"*") tempB = 0 for ii = 1:size(bSize,'*') tempB = tempB + bSize(ii)*UDATA(k-ii+1) end tempA = 0 for ii = 1:size(aSize,"*") tempA = tempA + aSize(ii)*YDATA(k-ii) end yhat = [yhat; [ tempA+tempB ]]; end endfunction