optimization algorithms or any algorithms

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RAYYAN 2013-8-28

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采纳的回答： Matt J

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Dear ALL

Hopefully you are keeping fine..

I need your help.

I want to generate a normal random sequence with mu=0 and sigma=1, and pass these sequence by filter as following:-

X=randn(1,100000); % generate normal random sequence.
A=[a1 a2 a3]; % the coefficients of the filter.
Y= filter(1,A,X);  %The sequence after passed on the filter.

NOW, I have my Data set called C, which is correlated normal random sequence.

SO, I need to adjust the coefficients of the filter ( A ) to give me the best value of y when RC=RY.

RC=xcorr(C,100); % the correlation coefficient of my data set C;
RY=xcorr(Y,100); % the desired correlation coefficient of Y;

*Could please to help me how can I find the best value of A which make RY is near to RC value, by any optimization algorithm. * Thanks in advance

RAYYAN

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Walter Roberson 2013-8-28

Your purpose is to find the coefficients of a two (three?) pole filter that will best transform an uncorrelated normal distribution to match the correlated normal distribution C ?

RAYYAN 2013-8-29