MATLAB实现的最小二乘法程序示例

%---------------------------------------------------------------------------------
% LS_CAR.m ; Book, Chapter 3 for  A(z)y(t)=B(z)u(t) +v(t) , for given A(z) and B(z)
%Example 3.2.1, August 15 Sunday, 2004
% sigma=0.1, 1.0, LS_CAR_sigma0110.*   k0=17
% st=40, FF=1, sigma=0.10, 1.00
fprintf('\n----------------------------------------------------------------------');

%----------------------------------------------------------------------

for st=40 %1, 7, 18, 20,22,40 %Set initial state for random variable
    save st st
clear;clf;format short g
load st
Method = 'CAR-RLS';

FF=1;    %  Forgetting factor
sigma=0.1;  %  sigma=0.1, 1.0  % variance of noise


figure(1);
length1=3100;
na = 2; nb = 2;  dd=1; %  dd: delay =1
a=[-1.6, 0.8]; b=[0.412, -0.309]; d=[1];
%a=[1, 0.412, 0.309];  b=[0, 0.6804,0.6303];

par0=[a,b]';  roots([1,a]);
k0=16; %k0=16 
n=length(par0); PP = eye(n)*1e6;   RR = 1;  h = ones(n,1)*1e-6;  par1 = ones(n,1)*1e-6;
% Compute the noise-to-signal ratio--------------------------
a1=[1,a]; b1=[0,b];