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Exam SC4040
FILTERING A N D IDENTIFICATION
Monday A p r i l 7, 2014, 18.30 - 21.30
G o o d luck!!!
1
E X E R C I S E 1: (30 p o i n t s )
[Least Squares]
The following prior information is given about an unknown random variable x G M " , x,^
{x,P),
such that F > 0, n > 1 and
= /3. A colleague from another department has convmcmg
arguments that the first component of x has to be equal to a, i.e.
x{l)
^ a ^ f 3
Fuse this information of your colleague w i t h the prior information to provide a new estimate of x
and its covariance matrix.
To answer this problem address the following questions:
( a ) [5 p o i n t s ] Express the prior information into a data equation format. [Hint: use a lower
triangular square root of P for this purpose.]
( b ) [5 p o i n t s ] Update the data equation of part (a) w i t h the info from your colleague and the
fact that
( c ) [20 p o i n t s ] Use the result of part (b) to update the estimate and (the square root) of its
covariance matrix.
(EXERCISE 2 ON T H E N E X T PAGE)
E X E R C I S E 2: (25 p o i n t s )
[Kalman Filtering]
Use the theory of Kalman filtering to estimate the unknown constant vector q of the followine
signal generation model (SGM):
:{k+l)
y{k)
Ax{k)+Bq
Cx{k)+v{k)
+ w{k)
E[
E[w{k)]^G
vik)
w{k)
(1)
R
A{k
( a ) [10 points] Propose a new SGM w i t h an augmented state containing both x{k) and q{k),
I.e. the value of q at time instance k. This new SGM is then used i n the design of a Kalman
filter to reconstruct both the system state x{k) and q{k).
( b ) [15 points] Show that the augmented SGM is observable provided the pair {A, C) is observable and the matrix C{A - I)-'^B having f u l l column rank.
E X E R C I S E 3: ( 2 5 p o i n t s )
[Subspace Identification]
Consider an unknown though nrinimal L T I system belonging to the class of systems described by
finite dimensional state equations w i t h stochastic zero-iriean white noise input,
3;(fc + l )
Ax{k)+Ke{k)
e{k)GR
y{k)
Cx{k) + e{k)
x{k)
eR^
y{k)R
R>OL
For the subspace identification problem, let us consider the following data equation (for . and N
chosen such that s > n ,
> n).
( a ) [10 points] Prove that for the given state space model,
E[x{k)e{f]
= 0
A n d draw the conclusion from this result about finding the order of the state space model
f r o m the data.
E X E R C I S E 4: (20 p o i n t s )
[The Identification Cycle]
Explain how the unbiased estimate of the cross-correlation vector i?e on the top of p. 389 and its
covariance matrix can be used w i t h some probability to check whether e{k) and u{i) are statistically
independent.
( E N D OF T H E E X A M )