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Lecture 2
Introductory Examples
Dr. Samir Al-Amer
Model Validation
No Yes
Model Accepted? STOP New data
System Model
S Structure
M
Identification Experimental
Method Condition
J X
(c) 2007 Dr. Samir Al-Amer
The System S
O The System S is a mathematical description of
the process
S is unknown in physical systems
No model can ever represent a real physical system
S is known in simulated systems
O The system S is specified by specifying
assumptions on the signals
O We do not need to know S to identify the system
O The system S is used for theoretical investigation
of behavior of different methods under different
conditions
(c) 2007 Dr. Samir Al-Amer
Model Structure M
O The model structure defines the set of all
candidate models parameterized by the
parameter vector
Example : y (t ) + a y (t 1) = b u (t 1) + (t )
(t ) : Error
The System S1
S is known in simulated systems
O S 1: y (t ) 0.8 y (t 1) = u (t 1) + e(t )
e : i.i.d. random variable
mean{e(t)} = 0, variance{e(t)} = 2
e(t)
1
1 0.8q 1
q 1
u(t) y(t)
1 0.8q 1
(c) 2007 Dr. Samir Al-Amer
The System S is a mathematical
description of the process
S is known in simulated systems
The System S2
S 2: x(t ) 0.8 x(t 1) = u (t 1)
y (t ) = x(t ) + e(t )
mean{e(t)} = 0, variance{e(t)} = 2
e(t)
q 1 x(t)
u(t) y(t)
1 0.8q 1
(c) 2007 Dr. Samir Al-Amer
Example 1
Non-parametric Model
O Data:Step response of S 1
O Model: Step Response Curve.
e(t)
1
1 0.8q 1
q 1
1 0.8q 1 y(t)
u(t):unit step
e(t)
1
1 0.8q 1
q 1
1 0.8q 1 y(t)
u(t): white
noise
(c) 2007 Dr. Samir Al-Amer
Example 2
Non-parametric Model
O Data: u(t): white noise, y: response of S 1
O Model: Weighting Sequence Curve.
N k
1
N
y(t + k )u (t ) This is an approximate
h( k ) = t =1
N
formula for the
1
u
weighting sequence.
2
(t )
N t =1
Identified model
using correlation
method
True system
N
V ( ) = 2 (t )
t =1
N
= [ y (t ) + ay (t 1) bu (t 1)]
2
t =1
O How do we minimize V( )?
(c) 2007 Dr. Samir Al-Amer
Least Square Identification Method
V ( ) = 0
a
The normal equations
V ( ) = 0
b
N N
N
y (t 1)
2
y (t 1)u (t 1)
a
y (t ) y (t 1)
N t =1 t =1
= Nt =1
y (t 1)u (t 1)
N
b
y (t )u (t 1)
u (t 1)
2
t =1 t =1
t =1