114 lines
6.1 KiB
HTML
114 lines
6.1 KiB
HTML
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<title>Description of calib_obj</title>
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<meta name="keywords" content="calib_obj">
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<meta name="description" content="targets and iy order: 1) variances 2) correlations">
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<div><a href="../index.html">Home</a> > <a href="index.html">.</a> > calib_obj.m</div>
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<!--<table width="100%"><tr><td align="left"><a href="../index.html"><img alt="<" border="0" src="../left.png"> Master index</a></td>
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<td align="right"><a href="index.html">Index for . <img alt=">" border="0" src="../right.png"></a></td></tr></table>-->
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<h1>calib_obj
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</h1>
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<h2><a name="_name"></a>PURPOSE <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="box"><strong>targets and iy order: 1) variances 2) correlations</strong></div>
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<h2><a name="_synopsis"></a>SYNOPSIS <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="box"><strong>function f=calib_obj(M_.Sigma_e,A,ghu1,ghx,ghu,targets,var_weights,iy,nar) </strong></div>
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<h2><a name="_description"></a>DESCRIPTION <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="fragment"><pre class="comment"> targets and iy order: 1) variances 2) correlations
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3) constraints on M_.Sigma_e itself 4) autocorrelations</pre></div>
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<!-- crossreference -->
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<h2><a name="_cross"></a>CROSS-REFERENCE INFORMATION <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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This function calls:
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<ul style="list-style-image:url(../matlabicon.gif)">
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<li><a href="bicgstab.html" class="code" title="function [x,status]=bicgstab(func,b,x,tole,kmax,varargin)">bicgstab</a> </li><li><a href="f_var.html" class="code" title="function b=f_var(x,a,nx)">f_var</a> </li><li><a href="lyapunov_symm.html" class="code" title="function [x,ns_var]=lyapunov_symm(a,b)">lyapunov_symm</a> solves x-a*x*a'=b for b (and then x) symmetrical</li></ul>
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This function is called by:
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<ul style="list-style-image:url(../matlabicon.gif)">
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<li><a href="calib.html" class="code" title="function M_.Sigma_e = calib(var_indices,targets,var_weights,nar,cova,M_.Sigma_e)">calib</a> </li></ul>
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<!-- crossreference -->
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<h2><a name="_source"></a>SOURCE CODE <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="fragment"><pre>0001 <span class="comment">% targets and iy order: 1) variances 2) correlations</span>
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0002 <span class="comment">% 3) constraints on M_.Sigma_e itself 4) autocorrelations</span>
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0003 <a name="_sub0" href="#_subfunctions" class="code">function f=calib_obj(M_.Sigma_e,A,ghu1,ghx,ghu,targets,var_weights,iy,nar)</a>
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0004 <span class="keyword">global</span> vx fold
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0005
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0006 oo_.gamma_y = cell(nar+1,1);
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0007 <span class="comment">% M_.Sigma_e = M_.Sigma_e'*M_.Sigma_e;</span>
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0008 M_.Sigma_e=diag(M_.Sigma_e);
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0009 nx = size(ghx,2);
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0010 b=ghu1*M_.Sigma_e*ghu1';
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0011 vx = [];
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0012 <span class="keyword">if</span> isempty(vx)
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0013 vx = <a href="lyapunov_symm.html" class="code" title="function [x,ns_var]=lyapunov_symm(a,b)">lyapunov_symm</a>(A,b);
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0014 <span class="keyword">else</span>
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0015 [vx,status] = <a href="bicgstab.html" class="code" title="function [x,status]=bicgstab(func,b,x,tole,kmax,varargin)">bicgstab</a>(@<a href="f_var.html" class="code" title="function b=f_var(x,a,nx)">f_var</a>,b(:),vx(:),1e-8,50,A,nx);
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0016 <span class="keyword">if</span> status
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0017 vx = <a href="lyapunov_symm.html" class="code" title="function [x,ns_var]=lyapunov_symm(a,b)">lyapunov_symm</a>(A,b);
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0018 <span class="keyword">else</span>
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0019 vx=reshape(vx,nx,nx);
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0020 <span class="keyword">end</span>
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0021 <span class="keyword">end</span>
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0022 oo_.gamma_y{1} = ghx*vx*ghx'+ ghu*M_.Sigma_e*ghu';
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0023 f = 0;
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0024 <span class="keyword">if</span> ~isempty(targets{1})
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0025 e = targets{1}-sqrt(oo_.gamma_y{1}(iy{1}));
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0026 f = e'*(var_weights{1}.*e);
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0027 <span class="keyword">end</span>
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0028
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0029 sy = sqrt(diag(oo_.gamma_y{1}));
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0030 sy = sy *sy';
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0031 <span class="keyword">if</span> ~isempty(targets{2})
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0032 e = targets{2}-oo_.gamma_y{1}(iy{2})./(sy(iy{2})+1e-10);
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0033 f = f+e'*(var_weights{2}.*e);
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0034 <span class="keyword">end</span>
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0035
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0036 <span class="keyword">if</span> ~isempty(targets{3})
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0037 e = targets{3}-sqrt(M_.Sigma_e(iy{3}));
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0038 f = f+e'*(var_weights{3}.*e);
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0039 <span class="keyword">end</span>
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0040
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0041 <span class="comment">% autocorrelations</span>
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0042 <span class="keyword">if</span> nar > 0
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0043 vxy = (A*vx*ghx'+ghu1*M_.Sigma_e*ghu');
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0044
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0045 oo_.gamma_y{2} = ghx*vxy./(sy+1e-10);
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0046 <span class="keyword">if</span> ~isempty(targets{4})
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0047 e = targets{4}-oo_.gamma_y{2}(iy{4});
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0048 f = f+e'*(var_weights{4}.*e);
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0049 <span class="keyword">end</span>
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0050
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0051 <span class="keyword">for</span> i=2:nar
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0052 vxy = A*vxy;
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0053 oo_.gamma_y{i+1} = ghx*vxy./(sy+1e-10);
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0054 <span class="keyword">if</span> ~isempty(targets{i+3})
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0055 e = targets{i+3}-oo_.gamma_y{i+1}(iy{i+3});
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0056 f = f+e'*(var_weights{i+3}.*e);
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0057 <span class="keyword">end</span>
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0058 <span class="keyword">end</span>
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0059 <span class="keyword">end</span>
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0060 <span class="keyword">if</span> isempty(fold) | f < 2*fold
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0061 fold = f;
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0062 vxold = vx;
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0063 <span class="keyword">end</span>
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0064 <span class="comment">% 11/04/02 MJ generalized for correlations, autocorrelations and</span>
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0065 <span class="comment">% constraints on M_.Sigma_e</span>
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0066 <span class="comment">% 01/25/03 MJ targets std. dev. instead of variances</span>
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0067</pre></div>
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<hr><address>Generated on Fri 16-Jun-2006 09:09:06 by <strong><a href="http://www.artefact.tk/software/matlab/m2html/">m2html</a></strong> © 2003</address>
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