wehub-resource-sync
33 lines
863 B
Matlab
Executable File
33 lines
863 B
Matlab
Executable File
function [X, Z, model] = ldsRnd(d, k, n)
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% Generate a data sequence from linear dynamic system.
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% Input:
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% d: dimension of data
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% k: dimension of latent variable
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% n: number of data
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% Output:
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% X: d x n data matrix
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% model: model structure
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% Written by Mo Chen (sth4nth@gmail.com).
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A = randn(k,k);
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G = iwishrnd(eye(k),k);
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C = randn(d,k);
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S = iwishrnd(eye(d),d);
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mu0 = randn(k,1);
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P0 = iwishrnd(eye(k),k);
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X = zeros(d,n);
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Z = zeros(k,n);
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Z(:,1) = gaussRnd(mu0,P0); % 13.80
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X(:,1) = gaussRnd(C*Z(:,1),S);
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for i = 2:n
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Z(:,i) = gaussRnd(A*Z(:,i-1),G); % 13.75, 13.78
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X(:,i) = gaussRnd(C*Z(:,i),S); % 13.76, 13.79
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end
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model.A = A; % transition matrix
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model.G = G; % transition covariance
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model.C = C; % emission matrix
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model.S = S; % emision covariance
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model.mu0 = mu0; % prior mean
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model.P0 = P0; % prior covairance
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