What is the cost function in the optimization problem of the pem and greyest functions for multiple outputs?

3 次查看（过去 30 天）
Dieter Verbeke
Dieter Verbeke 2013-5-5
Hi,
I am using the greyest and pem command of the System Identification Toolbox and I am wondering what the cost function in the optimization problem is for multiple outputs.
In general it is 1/2(e^TM^-1e) with M a symmetric weighing matrix. I assume the weighing matrix is in these cases, the identity matrix. Is that correct?
Thank you

请先登录，再回答此问题。

回答（1 个）

Rajiv Singh
Rajiv Singh 2013-5-6
The weighting matrix by default is inverse of noise variance which is simultaneously estimated along with the model parameters. If you set the OutputWeight estimation option (see greyestOptions) to eye(ny), where ny is number of outputs, the weighting becomes fixed to Identity matrix.

类别

在 Help Center 和 File Exchange 中查找有关 Correlation Models 的更多信息

标签

产品

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by