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扩展卡尔曼滤波训练的神经网络matlab代码
代码片段和文件信息
function [thetaPe]=nnekf(thetaPxyQR)
% NNEKF A function using the EKF to training a MLP NN
% [thetaPz]=nnekf(thetaPxyQR) searches the optimal parameters theta
% of a MLP NN based on a set of training data with input x and output y.
% Input:
% theta: initial guess of MLP NN parameter. The network structure is
% determined by the number of parameters ns the number of inputs (size of
% x)nx and the number of output (size of y) ny. The euqation of the NN
% is: y = W2 * tanh( W1 * x + b1) + b2 and theta = [W1(:);b1;W2(:);b2].
% Therefore ns = nx * nh + nh + nh * ny + ny which gives the number of
% hidden nodes is nh = (ns - ny) / (nx + ny + 1);
% P: the covariance of the initial theta. Needs to be tuned to get good
% training performance.
% x and y: input and output data for training. For batch training x and
% y should be arranged in such a way that each observation corresponds to
% a column.
% Q: the virtual process covariance for theta normally set to very small
% values.
% R: the measurement covariance dependen on the noise level of data tunable.
%
% Example: a NN model to approximate the sin function
% rand(‘state‘0)
% N=20;
% Ns=100;
% x=1.2*randn(NNs);
% y=sin(x)+0.1*randn(NNs);
% z=y;
% nh=4;
% ns=nh*2+nh+1;
% theta=randn(ns1);
% P=diag([100*ones(1nh*2) 10000*ones(1nh+1)]);
% Q=0.0
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