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Mikhail Kuzmin added section_R_begin_lstlisting_language__.tex
almost 8 years ago
Commit id: 38d268216700456c8d4492456f44639cdfe51fd4
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\section{Исходный код}
Программа была реализована на языке R
\begin{lstlisting}[language=R]
N <- 100
a<-0.5
b<-0.95
sigmaPsi<-1
sigmaEta<-50
k<-1:N
x<-k
z<-k
x[1]<-0
z[1]<- x[1]+ rnorm(1,mean = 1, sd = sigmaEta)
for (t in 1:(N-1)) {
x[t+1] <- a*x[t] + t + rnorm(1, mean =1 , sd = sigmaPsi)
z[t+1] <- b*x[t+1] + rnorm(1, mean = 1, sd = sigmaEta)
}
xOpt<-k
eOpt<-k
K<-k
y<-k
xOpt[1]<-z[1]
eOpt[1]=sigmaEta
for (t in 1:(N-1)) {
eOpt[t+1]=sqrt((sigmaEta*sigmaEta)*(eOpt[t]*eOpt[t]+sigmaPsi*sigmaPsi)/(sigmaEta*sigmaEta+eOpt[t]*eOpt[t] +sigmaPsi*sigmaPsi))
K[t+1]=eOpt[t+1]*eOpt[t+1]/(sigmaEta*sigmaEta)
xOpt[t+1]=(a*xOpt[t]+t)*(1-K[t+1])+K[t+1]*y[t+1]
}
plot(k,xOpt,type ="l",col="red")
lines(k,xOpt,col="red")
lines(k,z,col="green")
lines(k,x,col="blue")
\end{lstlisting}