#' Simulate dynamic system #' #' Simulate the response of a system given the input #' #' @param model the linear system to simulate #' @param input a vector/matrix containing the input #' @param innov an optional times series of innovations. If not provided, #' innovations are generated using the \code{rnorm} function #' @param sigma standard deviation of the innovations (Default= \code{0}) #' @param seed integer indicating the seed value of the random number generator #' #' @return #' a vector containing the output #' #' @details #' The routine is currently built only for SISO systems. Future versions will #' include support for MIMO systems. #' #' @examples #' # ARX Model #' u <- rnorm(200,sd=1) #' model <- idpoly(A=c(1,-1.5,0.7),B=c(0.8,-0.25),ioDelay=1) #' y <- sim(model,u,sigma=0.1) #' #' @export sim <- function(model,input,innov=NULL,sigma=0,seed=NULL) UseMethod("sim") #' @export sim.default <- function(model,input,sigma=0,seed=NULL){ print("The sim method is not developed for the current class of the object") } #' @import signal polynom #' @export sim.idpoly <- function(model,input,innov=NULL,sigma=0,seed=NULL){ n <- length(input)[1] if(!is.null(innov)){ ek <- innov } else{ if(!is.null(seed)) set.seed(seed) ek <- rnorm(n,sd=sigma) } if(model$type=="arx"){ sim_arx(model,input,ek) } else{ den1 <- as.numeric(polynomial(model$A)*polynomial(model$D)) filt1 <- Arma(b=model$C,a=den1) vk <- signal::filter(filt1,ek) B <- c(rep(0,model$ioDelay),model$B) den2 <- as.numeric(polynomial(model$A)*polynomial(model$F1)) filt2 <- signal::Arma(b=B,a=den2) ufk <- signal::filter(filt2,input) yk <- as.numeric(ufk) + as.numeric(vk) return(as.numeric(yk)) } } sim_arx <- function(model,input,ek){ na <- length(model$A) - 1; nk <- model$ioDelay; nb <- length(model$B) - 1; nb1 <- nb+nk n <- max(na,nb1) coef <- matrix(c(model$A[-1],model$B),nrow=na+(nb+1)) if(class(input)=="idframe"){ uk <- input$input[,1,drop=T] } else if(class(input) %in% c("matrix","data.frame")){ uk <- input[,1,drop=T] } else if(is.numeric(input)){ uk <- input } y <- rep(0,length(input)+n) u <- c(rep(0,n),uk) for(i in n+1:length(uk)){ if(nk==0) v <- u[i-0:nb] else v <- u[i-nk:nb1] reg <- matrix(c(-(y[i-1:na]),v),ncol=na+(nb+1)) y[i] <- reg%*%coef + ek[i] } return(y[n+1:length(uk)]) }