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# SYSTEMS Identification

## Presentation on theme: "SYSTEMS Identification"— Presentation transcript:

SYSTEMS Identification
Ali Karimpour Assistant Professor Ferdowsi University of Mashhad <<<1.1>>> ###Control System Design### {{{Control, Design}}} Reference: “System Identification Theory For The User” Lennart Ljung(1999)

Lecture 2 Introduction Topics to be covered include:
Impulse responses and transfer functions. Frequency domain expression. Stochastic Process. Signal spectra Disturbances Ergodicity 2 2

Impulse responses It is well known that a linear, time-invariant, causal system can be described as: Sampling Most often, the input signal u(t) is kept constant between the sampling instants: So 3 3

Impulse responses For ease of notation assume that T is one time unit and use t to enumerate the sampling instants 4

Transfer functions Define forward and backward shift operator q and q-1 as Now we can write output as: G(q) is the transfer operator or transfer function Similarly for disturbance we have So the basic description for a linear system with additive disturbance is: 5

Transfer functions Some terminology
G(q) is the transfer operator or transfer function We shall say that the transfer function G(q) is stable if This means that G(z) is analytic on and outside the unit circle. We shall say the filter H(q) is monic if h(0)=1: 6

Frequency-domain expressions
Let It will convenient to write Now we can write output as: So we have 7

Frequency-domain expressions
Now suppose For stable system 8

Periodograms of signals over finite intervals
Fourier transform (FT) Discrete Fourier transform (DFT) Exercise1: Show that u(t) can be derived by putting UN(ω) in u(t). 9

Periodograms of signals over finite intervals
Some property of UN(ω) The function UN(ω) is therefore uniquely defined by its values over the interval [ 0, 2π ]. It is, however, customary to consider UN(ω) for the interval [ - π, π ]. So u(t)can be defined as The number UN(ω) tell us the weight that the frequency ω carries in the decomposition. So Is known as the periodogram of the signal u(t), t= 1 , 2 , 3 , ….. Parseval’s relationship: 10

Periodograms of signals over finite intervals
Example: Periodogram of a sinusoid 11

Periodograms of signals over finite intervals
Discrete Fourier transform (DFT) The periodogram defines, in a sense, the frequency contents of a signal over a finite time interval. But we seek for a definition of a similar concept for signals over the interval [1, ∞). 12 But this limits fail to exist for many signals of practical interest. 12 12

Transformation of Periodograms
As a signal is filtered through a linear system, its Periodograms changes. Let: Define: Claim: where 13

Transformation of Periodograms
Claim: Proof: Now 14

Transformation of Periodograms
Claim: Proof: Now 15

Transformation of Periodograms
Claim: Proof: So 16

Stochastic Processes A random variable (RV) is a rule (or function) that assigns a real number to every outcome of a random experiment. The closing price of Iranian power market observed from Apr. 15 to Sep. 22, 2009. For scalar (RV) For vector (RV) Probability density function (PDF) If e may assume a certain value with nonzero probability then fe contains δ function. Two random variables e1 and e2 are independent, if we have: Definition: The expectation E[e] of a random variable e is: Definition: The variance, Cov[e], of a random variable, e, is: 17

Stochastic Processes A stochastic process is a rule (or function) that assigns a time function to every outcome of a random experiment. Consider the random experiment of tossing a dice at t = 0 and observing the number on the top face. The sample space of this experiment consists of the outcomes {1, 2, 3, · · · , 6}. For each outcome of the experiment, let us arbitrarily assign a function of time t in the following manner. The set of functions {x1(t), x2(t), · · , x6(t)} represents a stochastic process. 18

Stochastic Processes Mean of a random process X(t) is
In general, mX(t) is a function of time. Correlation RX(t1, t2) of a random process X(t) is Note RX(t1, t2) is a function of t1 and t2. Autocovariance CX(t1, t2) of a random process X(t) is defined as the covariance of X(t1) and X(t2): In particular, when t1 = t2 = t, we have 19

Stochastic Processes Example Sinusoid with random amplitude 20

Stochastic Processes Example Sinusoid with random phase 21

Stochastic Processes x(t) is stationary if
Example Sinusoid with random phase Clearly x(t) is a stationary (WSS). Example Sinusoid with random amplitude Clearly x(t) is not a stationary. This may be a limiting definition. ????? 22

A Common Framework for Deterministic and Stochastic Signals
Signal Spectra A Common Framework for Deterministic and Stochastic Signals y(t) is not a stationary process This may be a limiting definition. ????? To deal with this problem, we introduce the following definition: Quasi-stationary signals 23

If {s(t)} is a deterministic sequence
Stochastic Processes x(t) is stationary if Quasi-stationary signals: A signal {s(t)} is said to be quasi-stationary if it is subject to and ( ) Quasi-stationary If {s(t)} is a deterministic sequence means {s(t)} is a bounded sequence and If {s(t)} is a stationary stochastic process It is quasi stationary since 24

The notation means that the limit exists.
Signal Spectra Notation: The notation means that the limit exists. Quasi-stationary signals: A signal {s(t)} is said to be quasi-stationary if it is subject to and ( ) Sometimes with some abuse of notation, we call it Covariance function of s. Exercise2: Show that sometime it is exactly covariance function of s. 25

Signal Spectra Two signals {s(t)} and {w(t)} are jointly quasi-stationary if: 1- They both are quasi-stationary, 2- the cross-covariance function exist. Uncorrelated 26

Discrete Fourier transform (DFT)
Signal Spectra Discrete Fourier transform (DFT) The periodogram defines, in a sense, the frequency contents of a signal over a finite time interval. But we seek for a definition of a similar concept for signals over the interval [1, ∞). 27 But this limits fail to exist for many signals of practical interest. So we shall develop a frame work for describing signals and their spectra that is applicable to deterministic as well as stochastic signals. 27 27

Signal Spectra Use Fourier transform of covariance function (Spectrum or Spectral density) We define the (power) spectrum of {s(t)} as When following limits exists: and cross spectrum between {s(t)} and {w(t)} as When following limits exists: Exercise3: Show that spectrum always is a real function but cross spectrum is in general a complex-valued function. 28

Signal Spectra Exercise4 : Spectra of a Periodic Signal: Consider a deterministic, periodic signal with period M, i.e., s(t)=s(t+M) Show that Where And finally show that 29

Signal Spectra Exercise5: Spectra of a Sinusoid: Consider Show that 30

Signal Spectra Example Stationary Stochastic Processes: Consider v(t) as a stationary stochastic processes We will assume that e(t) has zero mean and variance λ . It is clear that: The spectrum is: Where Exercise6: Show (I) 31

Spectrum of Stationary Stochastic Processes
Signal Spectra Spectrum of Stationary Stochastic Processes The stochastic process described by v(t)= H(q)e(t), where {e(t)} is a sequence of independent random variables with zero mean values and covariances λ , has the spectrum 32

Spectrum of a Mixed Deterministic and Stochastic Signal
Signal Spectra Spectrum of a Mixed Deterministic and Stochastic Signal deterministic Stochastic: stationary and zero mean Exercise7: Proof it. 33

Transformation of Spectra by Linear Systems
Theorem: Let{w(t)} be a quasi-stationary with spectrum , and let G(q) be a stable transfer function. Let Then {s(t)} is also quasi-stationary and 34

Disturbances There are always signals beyond our control that also affect the system. We assume that such effects can be lumped into an additive term v(t) at the output + u(t) y(t) v(t) So There are many sources and causes for such a disturbance term. Measurement noise. Uncontrollable inputs. ( a person in a room produce 100 W/person) 35

Disturbances Characterization of disturbances
Its value is not known beforehand. Making qualified guesses about future values is possible. It is natural to employ a probabilistic framework to describe future disturbances. We put ourselves at time t and would like to know disturbance at t+k, k ≥ 1 so we use the following approach. Where e(t) is a white noise. This description does not allow completely general characteristic of all possible probabilistic disturbances, but it is versatile enough. 36

Disturbances Consider for example, the following PDF for e(t):
Small values of μ are suitable to describe classical disturbance patterns, steps, pulses, sinuses and ramps. A realization of v(t) for propose e(t) Exercise8: Derive above figure for μ=0.1 and μ=0.9 and a suitable h(k). 37

Disturbances On the other hand, the PDF:
A realization of v(t) for propose e(t) Often we only specify the second-order properties of the sequence {e(t)} that is the mean and variances. Exercise9: What is a white noise? Exercise10: Derive above figure for δ=0.1 and δ =0.9 and a suitable h(k). 38

Disturbances Mean: Covariance:
We will assume that e(t) has zero mean and variance λ . Now we want to know the characteristic of v(t) : Mean: Covariance: 39

Disturbances Mean: Covariance:
We will assume that e(t) has zero mean and variance λ . Now we want to know the characteristic of v(t) : Mean: Covariance: Since the mean and covariance are do not depend on t, the process is said to be stationary. 40

Ergodicity Suppose you are concerned with determining what the most visited parks in a city are. One idea is to take a momentary snapshot: to see how many people are this moment in park A, how many are in park B and so on. Another idea is to look at one individual (or few of them) and to follow him for a certain period of time, e.g. a year. The first one may not be representative for a longer period of time, while the second one may not be representative for all the people. The idea is that an ensemble is ergodic if the two types of statistics give the same result. Many ensembles, like the human populations, are not ergodic. 41

Ergodicity Let x(t) is a stochastic process
Most of our computations will depend on a given realization of a quasi stationary process. Ergodicity will allow us to make statements about repeated experiments. 42

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