Parameter estimation from a user specific algorithm
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I have a complex physical system which I can model through an algorithm which I've written in Matlab. It's not a standard state-space, ODE, etc. model, it's an algorithm for which I specify input parameters and I obtain an output which I can match to data which I take from the real physical system.
Is there any tool in Matlab which allows me to run my algorithm with different parameter values and try to estimate the parameters for a best fit to my data? I've tried writing an MCMC parameter walk with least squares fitting, but its a work in progress and quite inefficient at the moment, and was wondering if there was something out there already that could do this for me.
Thanks!
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Muthu Annamalai
il 27 Feb 2013
Do you mean Monte Carlo technique by MCMC ? I think you can try to use rand() in a for-loop to pickout the various parameters and find fitness functions to see goodness of fit from your solver/curve-fit solutions.
You can try to see if there is a match with MATLAB System ID toolbox http://www.mathworks.com/products/sysid/examples.html?s_cid=BB or the MATLAB genetic algorithm http://www.mathworks.com/help/gads/genetic-algorithm.html
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Matt J
il 26 Feb 2013
Basically any tool in the Optimization Toolbox could be applicable, depending on the constraints (if any) you're imposing on the parameters. Look at LSQNONLIN or FMINCON.
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