rpem

Scilab Function
Last update : April 1993

rpem - RPEM estimation

### Calling Sequence

  `[w1,[v]]=rpem(w0,u0,y0,[lambda,[k,[c]]])`

### Parameters

- `a,b,c`: `a=[a(1),...,a(n)], b=[b(1),...,b(n)], c=[c(1),...,c(n)]`
- `w0`: `list(theta,p,phi,psi,l)` where:
  - `theta`: [a,b,c] is a real vector of order `3*n`
  - `p`: (3*n x 3*n) real matrix.
  - `phi,psi,l`: real vector of dimension `3*n`

  During the first call on can take:

      theta=phi=psi=l=0*ones(1,3*n). p=eye(3*n,3*n)

- `u0`: real vector of inputs (arbitrary size) (if no input take `u0=[ ]`).
- `y0`: vector of outputs (same dimension as `u0` if `u0` is not empty). (`y0(1)` is not used by rpem).

  If the time domain is `(t0,t0+k-1)` the `u0` vector contains the inputs

  `u(t0),u(t0+1),..,u(t0+k-1)` and `y0` the outputs

  `y(t0),y(t0+1),..,y(t0+k-1)`

### Description

Recursive estimation of parameters in an ARMAX model. Uses Ljung-Soderstrom recursive prediction error method. Model considered is the following:

    y(t)+a(1)*y(t-1)+...+a(n)*y(t-n)=
    b(1)*u(t-1)+...+b(n)*u(t-n)+e(t)+c(1)*e(t-1)+...+c(n)*e(t-n)

The effect of this command is to update the estimation of unknown parameter `theta=[a,b,c]` with

`a=[a(1),...,a(n)], b=[b(1),...,b(n)], c=[c(1),...,c(n)]`.

### Optional parameters

  - lambda: optional parameter (forgetting constant) choosed close to 1 as convergence occur:

    `lambda=[lambda0,alfa,beta]` evolves according to :

        lambda(t)=alfa*lambda(t-1)+beta

    with `lambda(0)=lambda0`

    `k` : contraction factor to be chosen close to 1 as convergence occurs.

    `k=[k0,mu,nu]` evolves according to:

        k(t)=mu*k(t-1)+nu

    with `k(0)=k0`.

    `c` : large parameter.(`c=1000` is the default value).

### Output parameters:

`w1`: update for `w0`.

`v`: sum of squared prediction errors on `u0, y0`.(optional).

In particular `w1(1)` is the new estimate of `theta`. If a new sample `u1, y1` is available the update is obtained by:

`[w2,[v]]=rpem(w1,u1,y1,[lambda,[k,[c]]])`. Arbitrary large series can thus be treated.