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 Code Request Page Hello,
I am trying to implement a Kalman Filter- MLE approach in Matlab. I have written a code, but it gives a lot of errors:
function[L] = kalmanFilter1(params)
global Z;
k=6;
T = size(Z,2);
n = size(Z,1);
F=zeros(k,k);
delta=ones(k,1);
S=diag(delta);
V=zeros( k, k, T);
%Vm=zeros(k,k,T);
xhat=zeros( k, T);
%xhatm=zeros(k,T);
%params A matrix
beta1=params(1);
beta2=params(2);
beta3=params(3);
beta4=params(4);
beta5=params(5);
gamma1=params(6);
gamma2=params(7);
gamma3=params(8);
gamma4=params(9);
gamma5=params(10);
A=[beta1, gamma1, 0, 0, 0, 0;...
beta1, gamma1, 0, 0, 0, 0;...
beta2, 0, gamma2, 0, 0, 0;...
beta2, 0, gamma2, 0, 0, 0;...
beta2, 0, gamma2, 0, 0, 0;...
beta3, 0, 0, gamma3, 0, 0;...
beta3, 0, 0, gamma3, 0, 0;...
beta3, 0, 0, gamma3, 0, 0;...
beta4, 0, 0, 0, gamma4, 0;...
beta4, 0, 0, 0, gamma4, 0;...
beta4, 0, 0, 0, gamma4, 0;...
beta5, 0, 0, 0, 0, gamma5;...
beta5, 0, 0, 0, 0, gamma5;...
beta5, 0, 0, 0, 0, gamma5;...
beta5, 0, 0, 0, 0, gamma5];
%params a
a1=params(11);
a2=params(12);
a3=params(13);
a4=params(14);
a5=params(15);
a6=params(16);
a7=params(17);
a8=params(18);
a9=params(19);
a10=params(20);
a11=params(21);
a12=params(22);
a13=params(23);
a14=params(24);
a15=params(25);
for i=1:T
a(1,i)=a1;
a(2,i)=a2;
a(3,i)=a3;
a(4,i)=a4;
a(5,i)=a5;
a(6,i)=a6;
a(7,i)=a7;
a(8,i)=a8;
a(9,i)=a9;
a(10,i)=a10;
a(11,i)=a11;
a(12,i)=a12;
a(13,i)=a13;
a(14,i)=a14;
a(15,i)=a15;
%params rho
rho1=params(26);
rho2=params(27);
rho3=params(28);
rho4=params(29);
rho5=params(30);
rho=[rho1, rho1, rho2, rho2, rho2, rho3, rho3, rho3, rho4, rho4, rho4, rho5, rho5, rho5, rho5];
W=diag(rho);
if n~=size(A,1)
error('Dimension error - A & Z must agree.');
end
if (n~=size(W,1) || n~=size(W,2))
error('Dimension error - W is not valid covariance matrix.');
end
if (k~=size(F,2))
error('Dimension error - F not square.');
end
if (k~=size(A,2))
error('Dimension error - F & A do not agree.');
end
if (k~=size(S,1) || k~=size(S,2))
error('Dimension error - S is not valid.');
end
% Initialize log-likelihood
L = 0;
for i = 1:T
% Time update
if i==1
xhatm = F*x0 ;
Vm= F*V0*F' + S;
else
xhatm = F*xhat ;
Vm = F*V*F' + S;
end
% Correction
H = A*Vm*A' + W;
K = Vm* A'*inv(H);
xhat= xhatm+ K*(Z(:,i)- A*xhatm-a);
V= (eye(k) - K*A)*Vm';
%xfilt(:,i) = xhat(:,i);
%Vfilt = V;
%Vmfilt = Vm;
% Update log likelihood
L = L -(n/2)*log(2*pi) - .5 * log( abs(det(H)) ) -.5*(( Z(:,i) - a - A*xhatm )'*inv(H)*( Z(:,i) - a - A*xhatm ));
end
L=L*(-1);
end
Then I try to minimize the negative log likelihood function by:
load DAT2.dat;
Z=DAT2;
T = size(Z,2);
n = size(Z,1);
k = 6;
xo=ones(k,T);
V0=zeros(k,k);
F=zeros(k,k);
delta=ones(k,1);
S=diag(delta);
%params
params=[0.0548, 0.0760, 0.0564, 0.0694, 0.0839, 0.0214, 0.0001, 0.0305, 0.0001, 0.0476, 0.0113, 0.0070, 0.0059, 0.0063, 0.0099, 0.0019, 0.0152, 0.0092, 0.0091, 0.0039, 0.0073, 0.0034, 0.0139, 0.0065, 0.0128, 0.0671, 0.0716, 0.0623, 0.0728, 0.1069];
x0=params;
L=0
%optimize
options=optimset('MaxIter',10000,'MaxFunEvals',10000);
[A, a, rho]=fminsearch('kalmanFilter1',x0,options);
The following errors were generated:
Error in ==> kalmanFilter1 at 2
global Z;
??? Output argument "L" (and maybe others) not assigned during call to "C:\Documents and Settings\Izabela\My Documents\MATLAB\kalmanFilter1.m
(kalmanFilter1)".
Error in ==> fminsearch at 205
fv(:,1) = funfcn(x,varargin{:});
Can you please help? This is really urgent,any suggestion or ideas will be greatly appreciated.
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