auxvar (System Identification Toolbox)

Describe auxiliary variables iter_info, lim, maxiter, maxsize, tol, and T.

help auxvar

Description

Most of the functions have an optional argument maxsize that allows a trade-off between memory usage and speed. Several of the functions allow the sampling interval T to be specified. The iterative search procedures in armax, bj, oe, and pem are controlled by the three parameters lim, maxiter, and lim.

maxsize: No matrix formed by the function is allowed to contain more than maxsize elements. Instead, the algorithms split the calculations into for-loops, which are slower. The default value of maxsize is set in the M-file idmsize. On small machines, it is maxsize=4096. The main use of maxsize is to limit variable sizes when the algorithms run out of memory. See "Some Special Topics" on page 3-68 in the User's Guide for more information.

T: Specifying the sampling interval T gives correct frequency scales on frequency function plots, and correct time scales when transforming to continuous time using thd2thc. The default value is T=1.

maxiter: This variable determines the maximum number of iterations performed during a search for a minimum. The default value is maxiter=10. maxiter=0 returns the results of the special startup procedure.

tol: The iterations are continued until the norm of the Gauss-Newton update vector is less than TOL. The iterations also terminate when the algorithm fails to find a lower value of the criterion and when the maximum number of iterations are reached. The default value is tol=0.01.

lim: This variable determines how the criterion is modified from quadratic to one that gives linear weight to large errors. See "Parametric Model Estimation" on page 3-22 in the User's Guide for a more precise definition. The default value of lim is 1.6. lim=0 disables the robustification and leads to a purely quadratic criterion.

Default values of these parameters are obtained either by omitting trailing arguments or by entering them as the empty matrix [ ].

iter_info: This output argument from the iterative numerical search algorithms armax, bj, oe, and pem, supplies information about the iterations. It is a row vector

iter_info = [last_iteration#, last_fit_improvement, 
norm_of_last_search_vector]

containing the indicated information. If the norm of the last search vector is larger than tol, and the number of the last iteration is less than maxiter, then the iterations were stopped since no smaller value of the criterion could be found along the search direction.