matlab arx模型,ARARX模型的辨识算法.doc

ARARX模型的辨识算法

Homework

Recursive extended least squares identification

In this section, I focus on the following ARMAX model

where {} and {} are respectively input and output series, is white noise, and are some polynomials with respect to the backward operator :

, , and for t ≤ 0.

I use the residual based recursive extened least squares algorithm.

The procedure of MATLAB:

clc;clear all;

t=500;

for k=1:t

u(k)=1;

end

v=randn(1,t)/100;

y(1)=v(1);y(2)=1.5*y(1)+0.5*u(1)+v(2)-v(1);

y(3)=1.5*y(2)-0.7*y(1)+0.5*u(1)+u(2)+v(3)-v(2)+0.2*v(1);

for k=4:t

y(k)=1.5*y(k-1)-0.7*y(k-2)+u(k-1)+0.5*u(k-2)+v(k)-v(k-1)+0.2*v(k-2);

end

s=zeros(6,t);

q=zeros(6,t);

p=100000*eye(6);

v1=zeros(