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Comment:Modified step size adjustment
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SHA3-256: 4c14f1758d365dae57cef3a4465e3f8b56b09aed76e7e75e3c8bc5128e4661f2
User & Date: gawthrop@users.sourceforge.net on 1999-11-11 21:48:46
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Context
1999-11-12
06:56:18
*** empty log message *** check-in: cd23f4d0ce user: gawthrop@users.sourceforge.net tags: origin/master, trunk
1999-11-11
21:48:46
Modified step size adjustment check-in: 4c14f1758d user: gawthrop@users.sourceforge.net tags: origin/master, trunk
1999-11-10
00:47:08
Replaced ifs by a table of cr/arg information check-in: b0b149b318 user: gawthrop@users.sourceforge.net tags: origin/master, trunk
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Modified mttroot/mtt/bin/trans/m/mtt_optimise.m from [c64ac34ead] to [80100ee5cc].

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  endif
  
  if nargin<6
    weight = ones(size(y_s));
  endif

  if nargin<7
    criterion = 1e-5;
  endif
  
  if nargin <8
    max_iterations = 10;
  endif

  if nargin<9
    alpha = 1.0;
  endif
  
  if (!strcmp(method,"time"))&&(!strcmp(method,"freq"))
    error("method must be either time or freq")
  endif
  


  N_theta = length(free);
  Weight = weight*ones(1,N_theta); # Sensitivity weight
  e_last = 1e20;
  error=1e10;
  theta = theta_0;
  Theta = [];
  Error = [];
  Y = [];
  iterations = -1;
  while (abs(e_last-error)>criterion)&&(iterations<max_iterations)
    iterations = iterations + 1;

    e_last = error;
    eval(sprintf("[t,y,y_theta] = mtt_s%s(system_name,theta,free);",method)); # Simulate system
















    Theta = [Theta theta];	# Save parameters
    Y = [Y y];			# Save output
    E = weight.*(y - y_s);	# Weighted error



    y_theta = Weight.*y_theta;	# Weighted sensitivity

    error = (E'*E);		# Sum the error
    Error = [Error error];
    ##    theta(free) = theta(free) - alpha*(real(y_theta'*y_theta)\real(y_theta'*E));


    tol = 1e-4;
    JJ = real(y_theta'*y_theta);
    ## sigma = svd(JJ)

    theta(free) = theta(free) - alpha*( pinv(JJ,tol)*real(y_theta'*E) );
  endwhile


endfunction










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  endif
  
  if nargin<6
    weight = ones(size(y_s));
  endif

  if nargin<7
    criterion = 1e-7;
  endif
  
  if nargin <8
    max_iterations = 25;
  endif

  if nargin<9
    alpha = 1.0;
  endif
  
  if (!strcmp(method,"time"))&&(!strcmp(method,"freq"))
    error("method must be either time or freq")
  endif
  
  [n_data,n_y] = size(y_s);

  n_th = length(free);

  error_old = 1e20;
  error=1e10;
  theta = theta_0;
  Theta = [];
  Error = [];
  Y = [];
  iterations = -1;
  while (abs(error_old-error)>criterion)&&(iterations<max_iterations)
    iterations = iterations + 1;
    error_old_old = error_old;
    error_old = error;
    eval(sprintf("[t,y,y_theta] = mtt_s%s(system_name,theta,free);",method)); # Simulate system
    error = 0; 
    J = zeros(n_th,1);
    JJ = zeros(n_th,n_th);
    for i = 1:n_y
      E = weight(:,i).*(y(:,i) - y_s(:,i)); # Weighted error
      error = error + (E'*E);	# Sum the error

      Weight = weight(:,i)*ones(1,n_th); # Sensitivity weight
      y_theta_w = Weight.*y_theta(:,i:n_y:n_y*n_th); # Weighted sensitivity
      J  = J + real(y_theta_w'*E); # Jacobian
      JJ = JJ + real(y_theta_w'*y_theta_w); # Newton Euler approx Hessian
    endfor

    error = error
    ## Diagnostics
    Error = [Error error];	# Save error
    Theta = [Theta theta];	# Save parameters
    Y = [Y y];			# Save output

    ## Update the estimate if we are not done yet.
    if (abs(error_old-error)>criterion)&&(iterations<max_iterations)
      if error>error_old+criterion # Halve step size and try again
        factor = 10;
	disp(sprintf("step/%i",factor));
	error = error_old;	# Go back to previous error value
	error_old = inf;	# Don't let it think its converged
	theta(free) = theta(free)  + step; # Reverse step
	step = step/factor;	# new stepsize
      else			# Recompute step size
	tol = 1e-5;
	step =  pinv(JJ,tol)*J;	# Step size
	#step =  pinv(JJ)*J;	# Step size (built in tol)
      endif
      theta(free) = theta(free) - step; # Increment parameters
    endif

   endwhile
endfunction

MTT: Model Transformation Tools
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