Real-Time Parameter Estimation

Lecture 3: Real-Time Parameter Estimation
Least Squares and Recursive Computations
Estimating Parameters in Dynamical Systems
Experimental Conditions
Examples
c Leonid Freidovich. April 13, 2010. Elements of Iterative Learning and Adaptive Control: Lecture 3 p. 1/26
Preliminary Comments
In adaptive controllers the observations (data) are obtained
sequentially in real-time.
This property puts time constraint

on computation of estimates.

To accommodate the constraint, one should
Simplify algorithms, if possible :)
Reorganize the computation in such a way that
updates of estimates are only done if new observations

are obtained,
estimates from previous time steps are used as an input

for the algorithm of computing updates.

To accommodate the constraint, one should
Simplify algorithms, if possible :)
Reorganize the computation in such a way that
updates of estimates are only done if new observations

are obtained,
estimates from previous time steps are used as an input

for the algorithm of computing updates.
The last thoughts make an idea of recursive computations
very attractive!
What We Expect from Recursive Computations?
Ideally, the procedure should be as follows:
Time 0: An initial guess for the parameters

(0) is given.

(0) is given.
. . .

(0) is given.
. . .
Time t:

(t 1) is the estimate from the previous step.
New data [y(t), (t)] are obtained.

(0) is given.
. . .
Time t:

Compute an updated estimate:
(t) = F
_
(t 1), y(t), (t)

_
.

(0) is given.
. . .
Time t:

Compute an updated estimate:
(t) = F
_
(t 1), y(t), (t)

_
.
Time (t + 1): . . .
Basis for Recursive LS Computing
The LS estimate at time t is computed as
(t) =
_
_
1
T
Y =
_
t
i=1
(i)(i)
T
_
1
_
t
i=1
(i)y(i)
_
(t) =
_
_
1
T
Y =
_
t
i=1
(i)(i)
T
_
1
_
t
i=1
(i)y(i)
_
=
_
t1
i=1
(i)(i)
T
+(t)(t)
T
_
1
_
t1
i=1
(i)y(i)+(t)y(t)
_
(t) =
_
_
1
T
Y =
_
t
i=1
(i)(i)
T
_
1
_
t
i=1
(i)y(i)
_
=
_
t1
i=1
(i)(i)
T
+(t)(t)
T
_
1
_
t1
i=1
(i)y(i)+(t)y(t)
_
The LS estimate at time (t 1) was computed as
(t 1) =
_
t1
i=1
(i)(i)
T
_
1
_
t1
i=1
(i)y(i)
_
= P(t 1)
_
t1
i=1
(i)y(i)
_
(t) =
_
_
1
T
Y =
_
t
i=1
(i)(i)
T
_
1
_
t
i=1
(i)y(i)
_
=
_
P(t 1)
1
+(t)(t)
T
_
1
_
_
t1
i=1
(i)y(i) +(t)y(t)
_
_
(t 1) =
_
t1
i=1
(i)(i)
T
_
1
_
t1
i=1
(i)y(i)
_
= P(t 1)
_
t1
i=1
(i)y(i)
_
(t) =
_
_
1
T
Y =
_
t
i=1
(i)(i)
T
_
1
_
t
i=1
(i)y(i)
_
=
_
P(t 1)
1
+(t)(t)
T
_
1
_
P(t 1)
1
(t 1)+(t)y(t)
_
(t 1) =
_
t1
i=1
(i)(i)
T
_
1
_
t1
i=1
(i)y(i)
_
= P(t 1)
_
t1
i=1
(i)y(i)
_
(t) =
_
_
1
T
Y =
_
t
i=1
(i)(i)
T
_
1
_
t
i=1
(i)y(i)
_
=
_
P(t 1)
1
+(t)(t)
T
_
1
_
P(t 1)
1
(t 1)+(t)y(t)
_
(t 1) =
_
t1
i=1
(i)(i)
T
_
1
_
t1
i=1
(i)y(i)
_
= P(t 1)
_
t1
i=1
(i)y(i)
_
How to simplify computations? Especially for P(t1) P(t)
(t) =
_
_
1
T
Y =
_
t
i=1
(i)(i)
T
_
1
_
t
i=1
(i)y(i)
_
=
_
P(t 1)
1
+(t)(t)
T
_
1
_
P(t 1)
1
(t 1)+(t)y(t)
_
(t 1) =
_
t1
i=1
(i)(i)
T
_
1
_
t1
i=1
(i)y(i)
_
= P(t 1)
_
t1
i=1
(i)y(i)
_
P(t)
1
= P(t 1)
1
+(t)(t)
T
(t) =
_
_
1
T
Y =
_
t
i=1
(i)(i)
T
_
1
_
t
i=1
(i)y(i)
_
= P(t)
_
P(t 1)
1

(t 1)+(t)y(t)
_
(t 1) =
_
t1
i=1
(i)(i)
T
_
1
_
t1
i=1
(i)y(i)
_
= P(t 1)
_
t1
i=1
(i)y(i)
_
P(t)
1
= P(t 1)
1
+(t)(t)
T
(t) =
_
_
1
T
Y =
_
t
i=1
(i)(i)
T
_
1
_
t
i=1
(i)y(i)
_
= P(t)
_ _
P(t)
1
(t)(t)
T
_

(t 1)+(t)y(t)
_
(t 1) =
_
t1
i=1
(i)(i)
T
_
1
_
t1
i=1
(i)y(i)
_
= P(t 1)
_
t1
i=1
(i)y(i)
_
P(t)
1
= P(t 1)
1
+(t)(t)
T
(t) =
_
_
1
T
Y =
_
t
i=1
(i)(i)
T
_
1
_
t
i=1
(i)y(i)
_
=

(t 1) P(t)(t) (t)
T
(t 1) + P(t)(t) y(t)
(t 1) =
_
t1
i=1
(i)(i)
T
_
1
_
t1
i=1
(i)y(i)
_
= P(t 1)
_
t1
i=1
(i)y(i)
_
P(t)
1
= P(t 1)
1
+(t)(t)
T
(t) =
_
_
1
T
Y =
_
t
i=1
(i)(i)
T
_
1
_
t
i=1
(i)y(i)
_
=

(t 1) +P(t)(t)
_
y(t) (t)
T
(t 1)
_
(t 1) =
_
t1
i=1
(i)(i)
T
_
1
_
t1
i=1
(i)y(i)
_
= P(t 1)
_
t1
i=1
(i)y(i)
_
P(t)
1
= P(t 1)
1
+(t)(t)
T
To summarize, the update at time t can be computed as
(t) =

(t 1) +K(t)
_
y(t) (t)
T
(t 1)
_
where
K(t) = P(t)(t)
P(t) =
_
P(t 1)
1
+(t)(t)
T
_
1
To summarize, the update at time t can be computed as
(t) =

(t 1) +K(t)
_
y(t) (t)
T
(t 1)
_
where
K(t) = P(t)(t)
P(t) =
_
P(t 1)
1
+(t)(t)
T
_
1
Let us try now to simplify the last formula for P(t) update
_
A + BD
_
1
=??
Lemma:
Given matrices A, B, D of dimensions n n, n m and
mn respectively, if the n n and mm matrices A and
(I
m
+DB) are nonsigular, i.e.
det A = 0, det(I
m
+DB) = 0
Lemma:
Given matrices A, B, D of dimensions n n, n m and
mn respectively, if the n n and mm matrices A and
(I
m
+DB) are nonsigular, i.e.
det A = 0, det(I
m
+DB) = 0
then
the n n matrix (A+BD) is nonsingular, i.e.

det(A+BD) = 0
its inverse can be computed as follows

(A+BD)
1
= A
1
A
1
B
_
I
m
+DA
1
B
_
1
DA
1
Sketch of the Proof:
The direct computations show that
(A+BD)
_
A
1
A
1
B
_
I
m
+DA
1
B
_
1
DA
1
_
=
= I
n
+BDA
1
B
_
I
m
+DA
1
B
_
1
DA
1
BDA
1
B
_
I
m
+DA
1
B
_
1
DA
1
(A+BD)
_
A
1
A
1
B
_
I
m
+DA
1
B
_
1
DA
1
_
=
= I
n
+BDA
1
B
_
I
m
+DA
1
B
_
1
DA
1
BDA
1
B
_
I
m
+DA
1
B
_
1
DA
1
(A+BD)
_
A
1
A
1
B
_
I
m
+DA
1
B
_
1
DA
1
_
=
= I
n
+BDA
1
B
_
I
m
+DA
1
B
_
1
DA
1
BDA
1
B
_
I
m
+DA
1
B
_
1
DA
1
= I
n
+BDA
1
B
_
I
m
+DA
1
B
_ _
I
m
+DA
1
B
_
1
DA
1
(A+BD)
_
A
1
A
1
B
_
I
m
+DA
1
B
_
1
DA
1
_
=
= I
n
+BDA
1
B
_
I
m
+DA
1
B
_
1
DA
1
BDA
1
B
_
I
m
+DA
1
B
_
1
DA
1
= I
n
+BDA
1
B
_
I
m
+DA
1
B
_ _
I
m
+DA
1
B
_
1
DA
1
= I
n
+BDA
1
BDA
1
= I
n
The formula
_
A+BD
_
1
= A
1
A
1
B
_
I
m
+DA
1
B
_
1
DA
1
should be applied to the expression
P(t) =
_
P(t 1)
1
+(t)(t)
T
_
1
The formula
_
A+BD
_
1
= A
1
A
1
B
_
I
m
+DA
1
B
_
1
DA
1
P(t) =
_
P(t 1)
1
+(t)(t)
T
_
1
We obtain (with (t))
P(t) = P(t 1) P(t 1)
_
1 +
T
P(t 1)
_
1
T
P(t 1)
The formula
_
A+BD
_
1
= A
1
A
1
B
_
I
m
+DA
1
B
_
1
DA
1
P(t) =
_
P(t 1)
1
+(t)(t)
T
_
1
P(t) = P(t 1) P(t 1)
_
1 +
T
P(t 1)
_
1
T
P(t 1)
We can simplify computation of the gain K(t) = P(t)(t)
K(t) = P(t 1)
_
1
_
1 +
T
P(t 1)
_
1
T
P(t 1)
_
The formula
_
A+BD
_
1
= A
1
A
1
B
_
I
m
+DA
1
B
_
1
DA
1
P(t) =
_
P(t 1)
1
+(t)(t)
T
_
1
P(t) = P(t 1) P(t 1)
_
1 +
T
P(t 1)
_
1
T
P(t 1)
We can simplify computation of the gain K(t)
K(t) = P(t)(t) = P(t 1)
_
1 +
T
P(t 1)
_
1
and then
P(t) =
_
I
m
K(t) (t)
T
_
P(t 1).
Theorem (Recursive Least Squares):
Assume that for all t t
0
the excitation condition is valid, i.e.
(t)
T
(t) > 0.
Theorem (Recursive Least Squares):
Assume that for all t t
0
the excitation condition is valid, i.e.
(t)
T
(t) > 0.
Given

(t
0
) and P(t
0
) = ((t
0
)
T
(t
0
))
1
, the LS estimate
satises the recursive equations
(t) =

(t 1) +K(t)
_
y(t) (t)
T
(t 1)
_
K(t) = P(t 1)(t)/
_
1 +(t)
T
P(t 1)(t)
_
P(t) =
_
I
m
K(t) (t)
T
_
P(t 1)
Comments:
The equation
(t) =

(t 1) +K(t)
_
y(t) (t)
T
(t 1)
_
can be seen as a procedure to change the value of estimate
if the current value cannot predict the output
y(t) = (t)
T
(t 1)
Comments:
The equation
(t) =

(t 1) +K(t)
_
y(t) (t)
T
(t 1)
_
y(t) = (t)
T
(t 1)
The excitation condition

(t)
T
(t) > 0, t t
0
implies that one needs to wait a number of time steps in
order to initialize in proper way the recursive computations.
In this case the initial conditions are
P(t
0
) =
_
(t
0
)
T
(t
0
)
_
1
(t
0
) = P(t
0
)(t
0
)
T
Y (t
0
)
Comments:
The equation
(t) =

(t 1) +K(t)
_
y(t) (t)
T
(t 1)
_
y(t) = (t)
T
(t 1)
The excitation condition

(t)
T
(t) > 0, t t
0
implies that one needs to wait a number of time steps in
order to initialize in proper way the recursive computations.
In this case the initial conditions are
P(t
0
) =
_
(t
0
)
T
(t
0
)
_
1
(t
0
) = P(t
0
)(t
0
)
T
Y (t
0
)
What to do if you like to start recursive computations at t = 0?
Modication for the start-up
Can we start with
P(0) = P
0
> 0 and

(0) =
0
?
Can we start with
P(0) = P
0
> 0 and

(0) =
0
?
Consider the modied loss-function to be minimized
V
N
() =
1
2
N
i=1
_
y(i) (i)
T
_
2
+
1
2
(
0
)
T
P
1
0
(
0
)
where

0
is the initial guess and
P
1
0
is the measure of our condence in this guess.
Can we start with
P(0) = P
0
> 0 and

(0) =
0
?
V
N
() =
1
2
N
i=1
_
y(i) (i)
T
_
2
+
1
2
(
0
)
T
P
1
0
(
0
)
where

0
is the initial guess and
P
1
0
is the measure of our condence in this guess.
Following the computations done for the case P
1
0
= 0:
(N) =
_
(N)
T
(N) +P
1
0
_
1
_
(N)
T
Y (N) +P
1
0

0
_
Modication for the start-up (contd)
Introducing the notation
P(t) =
_
(t)
T
(t) +P
1
0
_
1
=
_
t
i=0
(i) (i)
T
+P
1
0
_
1
P(t) =
_
(t)
T
(t) +P
1
0
_
1
=
_
t
i=0
(i) (i)
T
+P
1
0
_
1
we have P(t) =
_
P(t 1)
1
+(t) (t)
T
_
1
and
(t) = P(t)
_
t
i=0
(i) y(i) +P
1
0

0
_
= P(t)
_
t1
i=0
(i) y(i) +P
1
0

0
+(t) y(t)
_
= P(t)
_
P(t 1)
1

(t 1) +(t) y(t)
_
.
P(t) =
_
(t)
T
(t) +P
1
0
_
1
=
_
t
i=0
(i) (i)
T
+P
1
0
_
1
we have P(t) =
_
P(t 1)
1
+(t) (t)
T
_
1
and
(t) = P(t)
_
t
i=0
(i) y(i) +P
1
0

0
_
= P(t)
_
t1
i=0
(i) y(i) +P
1
0

0
+(t) y(t)
_
= P(t)
_
P(t 1)
1

(t 1) +(t) y(t)
_
.
This is the same as for the usual Recursive Least Square!
Hence, the only modication is the initial values.
Designing Kalman Filter:
Consider the dynamical system
k
=
k1
, y
k
= C
T
k
k
+e
k
, k = 1, 2, 3, . . .
Here (with y
k
= y(i), C
k
= (i), e
k
= e(i))

k
is the state vector,
y
k
is the vector of measurements,
e
k
is the noise with
E e
k
= 0, E e
2
k
= Q, E (e
k
e
m
) = 0 for k = m
the initial condition

0
is independent with e
k
k and
E
0
=
0
, E (
0
0
)(
0
0
)
T
= P
0
> 0.
Designing Kalman Filter:
Consider the dynamical system
k
=
k1
, y
k
= C
T
k
k
+e
k
, k = 1, 2, 3, . . .
Here (with y
k
= y(i), C
k
= (i), e
k
= e(i))

k
is the state vector,
y
k
is the vector of measurements,
e
k
is the noise with
E e
k
= 0, E e
2
k
= Q, E (e
k
e
m
) = 0 for k = m
the initial condition

0
is independent with e
k
k and
E
0
=
0
, E (
0
0
)(
0
0
)
T
= P
0
> 0.
Let us determine the minimum variance recursive estimator
(Kalman lter) for this system
Designing Kalman Filter (Contd):
Predicting Step:
k|k1
=

k1|k1
_
the copy of dynamics:
k
=
k1
_
Predicting Step:
k|k1
=

k1|k1
_
k
=
k1
_
Updating Step:
Given new data [y
k
, C
k
], we can improve

k|k1
by
k|k
=

k|k1
+L
k
_
y
k
C
T
k
k|k1
_
Here L
k
is a matrix parameter to be dened
Predicting Step:
k|k1
=

k1|k1
_
k
=
k1
_
Updating Step:
Given new data [y
k
, C
k
], we can improve

k|k1
by
k|k
=

k|k1
+L
k
_
y
k
C
T
k
k|k1
_
Here L
k
is a matrix parameter to be dened
In Kalman lter L
k
is chosen so that the covariance of estimate
P
k|k
:= E
_
k|k
_ _
k|k
_
T
is minimal in some sense.
The estimate

k|k
can be expressed as follows
k|k
=

k|k1
+L
k
_
y
k
C
T
k
k|k1
_
=

k|k1
+L
k
__
C
T
k
k
+e
k
_
C
T
k
k|k1
_
=
_
I L
k
C
T
k
_

k|k1
+L
k
C
T
k
k
+L
k
e
k
The estimate

k|k
k|k
=

k|k1
+L
k
_
y
k
C
T
k
k|k1
_
=

k|k1
+L
k
__
C
T
k
k
+e
k
_
C
T
k
k|k1
_
=
_
I L
k
C
T
k
_

k|k1
+L
k
C
T
k
k
+L
k
e
k
Then for any matrix L
k
we have
P
k|k
= E
_
k|k
__
k|k
_
T
= E
_
z
k
L
k
e
k
__
z
k
L
k
e
k
_
T
z
k
=
_
I L
k
C
T
k
_ _
k|k1
_
The estimate

k|k
k|k
=

k|k1
+L
k
_
y
k
C
T
k
k|k1
_
=

k|k1
+L
k
__
C
T
k
k
+e
k
_
C
T
k
k|k1
_
=
_
I L
k
C
T
k
_

k|k1
+L
k
C
T
k
k
+L
k
e
k
k
we have
P
k|k
= E
_
k|k
__
k|k
_
T
= E
_
z
k
L
k
e
k
__
z
k
L
k
e
k
_
T
= Ez
k
z
T
k
+EL
k
e
k
(L
k
e
k
)
T
= Ez
k
z
T
k
+L
k
Ee
k
e
T
k
L
k
T
z
k
=
_
I L
k
C
T
k
_ _
k|k1
_
The estimate

k|k
k|k
=

k|k1
+L
k
_
y
k
C
T
k
k|k1
_
=

k|k1
+L
k
__
C
T
k
k
+e
k
_
C
T
k
k|k1
_
=
_
I L
k
C
T
k
_

k|k1
+L
k
C
T
k
k
+L
k
e
k
k
we have
P
k|k
= E
_
k|k
__
k|k
_
T
= E
_
z
k
L
k
e
k
__
z
k
L
k
e
k
_
T
= Ez
k
z
T
k
+EL
k
e
k
(L
k
e
k
)
T
= Ez
k
z
T
k
+L
k
QL
k
T
z
k
=
_
I L
k
C
T
k
_ _
k|k1
_
The estimate

k|k
k|k
=

k|k1
+L
k
_
y
k
C
T
k
k|k1
_
=

k|k1
+L
k
__
C
T
k
k
+e
k
_
C
T
k
k|k1
_
=
_
I L
k
C
T
k
_

k|k1
+L
k
C
T
k
k
+L
k
e
k
k
we have
P
k|k
= E
_
k|k
__
k|k
_
T
= E
_
z
k
L
k
e
k
__
z
k
L
k
e
k
_
T
= Ez
k
z
T
k
+EL
k
e
k
(L
k
e
k
)
T
= Ez
k
z
T
k
+L
k
QL
k
T
=
_
IL
k
C
T
k
_
E(
k
k|k1
)(
k
k|k1
)
T
_
IL
k
C
T
k
_
T
+
+L
k
QL
k
T
z
k
=
_
I L
k
C
T
k
_ _
k|k1
_
The estimate

k|k
k|k
=

k|k1
+L
k
_
y
k
C
T
k
k|k1
_
=

k|k1
+L
k
__
C
T
k
k
+e
k
_
C
T
k
k|k1
_
=
_
I L
k
C
T
k
_

k|k1
+L
k
C
T
k
k
+L
k
e
k
k
we have
P
k|k
= E
_
k|k
__
k|k
_
T
= E
_
z
k
L
k
e
k
__
z
k
L
k
e
k
_
T
= Ez
k
z
T
k
+EL
k
e
k
(L
k
e
k
)
T
= Ez
k
z
T
k
+L
k
QL
k
T
=
_
IL
k
C
T
k
_
P
k|k1
_
IL
k
C
T
k
_
T
+L
k
QL
k
T
The estimate

k|k
k|k
=

k|k1
+L
k
_
y
k
C
T
k
k|k1
_
=

k|k1
+L
k
__
C
T
k
k
+e
k
_
C
T
k
k|k1
_
=
_
I L
k
C
T
k
_

k|k1
+L
k
C
T
k
k
+L
k
e
k
k
we have
P
k|k
= E
_
k|k
__
k|k
_
T
= E
_
z
k
L
k
e
k
__
z
k
L
k
e
k
_
T
= Ez
k
z
T
k
+EL
k
e
k
(L
k
e
k
)
T
= Ez
k
z
T
k
+L
k
QL
k
T
=
_
IL
k
C
T
k
_
P
k|k1
_
IL
k
C
T
k
_
T
+L
k
QL
k
T
= P
k|k1
L
k
C
T
k
P
k|k1
P
k|k1
C
k
L
k
T
+L
k
_
Q+C
T
k
P
k|k1
C
k
_
L
k
T
The estimate

k|k
k|k
=

k|k1
+L
k
_
y
k
C
T
k
k|k1
_
=

k|k1
+L
k
__
C
T
k
k
+e
k
_
C
T
k
k|k1
_
=
_
I L
k
C
T
k
_

k|k1
+L
k
C
T
k
k
+L
k
e
k
k
we have
P
k|k
= E
_
k|k
__
k|k
_
T
= E
_
z
k
L
k
e
k
__
z
k
L
k
e
k
_
T
= Ez
k
z
T
k
+EL
k
e
k
(L
k
e
k
)
T
= Ez
k
z
T
k
+L
k
QL
k
T
=
_
IL
k
C
T
k
_
P
k|k1
_
IL
k
C
T
k
_
T
+L
k
QL
k
T
= P
k|k1
L
k
C
T
k
P
k|k1
P
k|k1
C
k
L
k
T
+L
k
_
Q+C
T
k
P
k|k1
C
k
_
L
k
T
= W
0
+L
k
W
1
+W
T
1
L
k
T
+L
k
W
2
L
k
T
The estimate

k|k
k|k
=

k|k1
+L
k
_
y
k
C
T
k
k|k1
_
=

k|k1
+L
k
__
C
T
k
k
+e
k
_
C
T
k
k|k1
_
=
_
I L
k
C
T
k
_

k|k1
+L
k
C
T
k
k
+L
k
e
k
k
we have
P
k|k
= E
_
k|k
__
k|k
_
T
= P
k|k1
L
k
C
T
k
P
k|k1
P
k|k1
C
k
L
k
T
+L
k
_
Q+C
T
k
P
k|k1
C
k
_
L
k
T
= W
0
+ L
k
W
1
+W
T
1
L
k
T
+L
k
W
2
L
k
T
= W
0
+ (L
k
X +Y ) (L
k
X +Y )
T
Y Y
T
L
k
opt
= Y X
1
, P
k|k
(L
k
opt
) = W
0
Y Y
T
The estimate

k|k
k|k
=

k|k1
+L
k
_
y
k
C
T
k
k|k1
_
=

k|k1
+L
k
__
C
T
k
k
+e
k
_
C
T
k
k|k1
_
=
_
I L
k
C
T
k
_

k|k1
+L
k
C
T
k
k
+L
k
e
k
k
we have
P
k|k
= E
_
k|k
__
k|k
_
T
= P
k|k1
L
k
C
T
k
P
k|k1
P
k|k1
C
k
L
k
T
+L
k
_
Q+C
T
k
P
k|k1
C
k
_
L
k
T
= W
0
+ L
k
W
1
+W
T
1
L
k
T
+L
k
W
2
L
k
T
= W
0
+L
k
XY
T
+Y X
T
L
k
T
+L
k
XX
T
L
k
T
W
2
= XX
T
, W
1
= XY
T
Y
T
= X
1
W
1
= W
1
2
2
W
1
The estimate

k|k
k|k
=

k|k1
+L
k
_
y
k
C
T
k
k|k1
_
=

k|k1
+L
k
__
C
T
k
k
+e
k
_
C
T
k
k|k1
_
=
_
I L
k
C
T
k
_

k|k1
+L
k
C
T
k
k
+L
k
e
k
k
we have
P
k|k
= E
_
k|k
__
k|k
_
T
= P
k|k1
L
k
C
T
k
P
k|k1
P
k|k1
C
k
L
k
T
+L
k
_
Q+C
T
k
P
k|k1
C
k
_
L
k
T
= W
0
+L
k
W
1
+W
T
1
L
k
T
+L
k
W
2
L
k
T
W
2
= XX
T
, Y
T
= X
1
W
1
= W
1
2
2
W
1
L
k
opt
= Y X
1
, P
opt
k|k
= W
0
Y Y
T
The estimate

k|k
k|k
=

k|k1
+L
k
_
y
k
C
T
k
k|k1
_
=

k|k1
+L
k
__
C
T
k
k
+e
k
_
C
T
k
k|k1
_
=
_
I L
k
C
T
k
_

k|k1
+L
k
C
T
k
k
+L
k
e
k
k
we have
P
k|k
= E
_
k|k
__
k|k
_
T
= P
k|k1
L
k
C
T
k
P
k|k1
P
k|k1
C
k
L
k
T
+L
k
_
Q+C
T
k
P
k|k1
C
k
_
L
k
T
= W
0
+L
k
W
1
+W
T
1
L
k
T
+L
k
W
2
L
k
T
W
2
= XX
T
, Y
T
= X
1
W
1
= W
1
2
2
W
1
L
k
opt
= W
T
1
W
1
2
, P
opt
k|k
= W
0
W
T
1
W
1
2
W
1
Designing Kalman Filter (summary):
The optimal gain L
k
that ensures the minimal variance P
k|k
of
updated estimate

k|k
is
L
k
opt
= W
T
1
W
1
2
= P
k|k1
C
k
_
Q+C
T
k
P
k|k1
C
k
_
1
The optimal gain L
k
k|k
of
updated estimate

k|k
is
L
k
opt
= W
T
1
W
1
2
= P
k|k1
C
k
_
Q+C
T
k
P
k|k1
C
k
_
1
The corresponding variance is
P
opt
k|k
= W
0
W
T
1
W
1
2
W
1
= P
k|k1
P
k|k1
C
k
_
Q+C
T
k
P
k|k1
C
k
_
1
C
T
k
P
k|k1
The optimal gain L
k
k|k
of
updated estimate

k|k
is
L
k
opt
= W
T
1
W
1
2
= P
k|k1
C
k
_
Q+C
T
k
P
k|k1
C
k
_
1
The corresponding variance is
P
opt
k|k
= W
0
W
T
1
W
1
2
W
1
= P
k|k1
P
k|k1
C
k
_
Q+C
T
k
P
k|k1
C
k
_
1
C
T
k
P
k|k1
These expressions coincide with the modied
Recursive Computations of the Least Square Estimate
for the case when the variance of noise Q equals 1.
Recursive Least Squares with exponential forgetting
V
t
() =
1
2
t
i=1
ti
_
y(i)(i)
T
_
2
+
t
2
(
0
)
T
P
1
0
(
0
)
with 0 < 1.
Recursive Least Squares with exponential forgetting
V
t
() =
1
2
t
i=1
ti
_
y(i)(i)
T
_
2
+
t
2
(
0
)
T
P
1
0
(
0
)
with 0 < 1. One can obtain the following
(t) =

(t 1) +K(t)
_
y(t) (t)
T
(t 1)
_
K(t) =
P(t 1)(t)
+
T
(t)P(t 1)(t)
P(t) =
_
I
m
K(t) (t)
T
_
P(t 1)/
Projection algorithm
Given the model y(t) = (t)
T
, an estimate

(t 1)
for and the value of y(t), nd
(t) = arg min

_
(t)

(t 1) : y(t) = (t)
T
(t)
_
.
T
, an estimate

(t 1)
(t) = arg min

_
(t)

(t 1) : y(t) = (t)
T
(t)
_
.
To solve the problem, let us minimize
V (, ) =
1
2
_
(t1)
_
T
_
(t1)
_
+
_
y(t)(t)
T
_
.
T
, an estimate

(t 1)
(t) = arg min

_
(t)

(t 1) : y(t) = (t)
T
(t)
_
.
V (, ) =
1
2
_
(t1)
_
T
_
(t1)
_
+
_
y(t)(t)
T
_
.
The conditions for the minimum are
grad
V (, ) =

(t 1) (t) = 0 for =

(t)
V (, )
= y(t) (t)
T
= 0 for =

(t).
T
, an estimate

(t 1)
(t) = arg min

_
(t)

(t 1) : y(t) = (t)
T
(t)
_
.
V (, ) =
1
2
_
(t1)
_
T
_
(t1)
_
+
_
y(t)(t)
T
_
.
The conditions for the minimum are
(t)

(t 1) (t) = 0
y(t) (t)
T
(t) = 0.
Projection algorithm (contd) / Gradient algorithm
Substituting
(t) =

(t 1) +(t)
into y(t) = (t)
T
(t) and solving for :

=
_
y(t) (t)
T
(t 1)
_
/
_
(t)
T
(t)
_
and substituting back we have the Projection algorithm
(t) =

(t 1) +
(t)
(t)
T
(t)
_
y(t) (t)
T
(t 1)
_
Projection algorithm (contd) / Gradient algorithm
Substituting
(t) =

(t 1) +(t)
into y(t) = (t)
T
(t) and solving for :

=
_
y(t) (t)
T
(t 1)
_
/
_
(t)
T
(t)
_
and substituting back we have the Projection algorithm
(t) =

(t 1) +
(t)
(t)
T
(t)
_
y(t) (t)
T
(t 1)
_
Modifying the algorithm to avoid possible devisions by zero, we
obtain the Gradient algorithm
(t) =

(t 1) +
(t)
+(t)
T
(t)
_
y(t) (t)
T
(t 1)
_
with 2 > > 0 and > 0.
Continuous-time Models
Consider the regression model
y() = ()
T
0
with dened on [0, t].
y() = ()
T
0
To compute the estimate

(t) of
0
, we minimize the function
V
t
() =
_
t
0
e
(t)
2
_
y() ()
T
. .
prediction error
_
2
d+
e
t
2
(
0
)
T
P
1
0
(
0
)
where the inverse of P
0
= P
T
0
> 0 denes how much we trust
in the initial guess
0
, and 0 is the forgetting factor.
y() = ()
T
0

(t) of
0
V
t
() =
_
t
0
e
(t)
2
_
y() ()
T
. .
prediction error
_
2
d+
e
t
2
(
0
)
T
P
1
0
(
0
)
0
= P
T
0
0
The condition for minimum at =

(t) is
0 = grad
V
t
()
y() = ()
T
0

(t) of
0
V
t
() =
_
t
0
e
(t)
2
_
y() ()
T
. .
prediction error
_
2
d+
e
t
2
(
0
)
T
P
1
0
(
0
)
0
= P
T
0
0
The condition for minimum at =

(t) is
0 =
_
t
0
e
(t)
_
() y()+() ()
T
_
d+e
t
P
1
0
(
0
)
y() = ()
T
0

(t) of
0
V
t
() =
_
t
0
e
(t)
2
_
y() ()
T
. .
prediction error
_
2
d+
e
t
2
(
0
)
T
P
1
0
(
0
)
0
= P
T
0
0
The condition for minimum is
0 =
_
t
0
e
_
() y()+() ()
T
(t)
_
d+P
1
0
_
(t)
0
_
y() = ()
T
0

(t) of
0
V
t
() =
_
t
0
e
(t)
2
_
y() ()
T
. .
prediction error
_
2
d+
e
t
2
(
0
)
T
P
1
0
(
0
)
0
= P
T
0
0
The condition for minimum is
_
_
t
0
e
() ()
T
d +e
t
P
1
0
_

(t) =
_
t
0
e
() y()d+P
1
0

0
Least Squares Algorithm for continuous-time
Introduce the following notation
R(t) =
_
t
0
e
() ()
T
d +e
t
P
1
0
.
R(t) =
_
t
0
e
() ()
T
d +e
t
P
1
0
.
Then
R(t)

(t) =
_
t
0
e
() y()d +P
1
0

0
R(t) =
_
t
0
e
() ()
T
d +e
t
P
1
0
.
Then
R(t)

(t) =
_
t
0
e
() y()d +P
1
0

0
Differentiate with respect to t, we obtain the updating law:
_
d
dt
R(t)
_
(t) +R(t)
d
dt
(t) = e
t
(t) y(t)
R(t) =
_
t
0
e
() ()
T
d +e
t
P
1
0
.
Then
R(t)

(t) =
_
t
0
e
() y()d +P
1
0

0
Solving for
d
dt
(t)
R(t)
d
dt
(t) = e
t
(t) y(t)
_
d
dt
R(t)
_
(t)
R(t) =
_
t
0
e
() ()
T
d +e
t
P
1
0
.
Then
R(t)

(t) =
_
t
0
e
() y()d +P
1
0

0
Solving for
d
dt
(t)
d
dt
(t) = R(t)
1
_
e
t
(t) y(t)
_
d
dt
R(t)
_
(t)
_
R(t) =
_
t
0
e
() ()
T
d +e
t
P
1
0
.
Then
R(t)

(t) =
_
t
0
e
() y()d +P
1
0

0
Substituting
d
dt
R(t)
d
dt
(t) = R(t)
1
_
e
t
(t) y(t)
_
e
t
(t) (t)
T
_
(t)
_
R(t) =
_
t
0
e
() ()
T
d +e
t
P
1
0
.
Then
R(t)

(t) =
_
t
0
e
() y()d +P
1
0

0
Introducing P(t) = e
t
R(t)
1
(t) = P(t) (t)

_
y(t) (t)
T
(t)
_
;

(0) =
0
R(t) =
_
t
0
e
() ()
T
d +e
t
P
1
0
.
Then
R(t)

(t) =
_
t
0
e
() y()d +P
1
0

0
t
R(t)
1
(t) = P(t) (t)

_
y(t) (t)
T
(t)
_
;

(0) =
0
Differentiating P(t) R(t) = e
t
I
m
_
d
dt
P(t)
_
R(t) +P(t)
_
d
dt
R(t)
_
= e
t
I
m
R(t) =
_
t
0
e
() ()
T
d +e
t
P
1
0
.
Then
R(t)

(t) =
_
t
0
e
() y()d +P
1
0

0
t
R(t)
1
(t) = P(t) (t)

_
y(t) (t)
T
(t)
_
;

(0) =
0
Substituting
d
dt
R(t)
_
d
dt
P(t)
_
R(t) +P(t)
_
e
t
(t) (t)
T
_
= e
t
I
m
R(t) =
_
t
0
e
() ()
T
d +e
t
P
1
0
.
Then
R(t)

(t) =
_
t
0
e
() y()d +P
1
0

0
t
R(t)
1
(t) = P(t) (t)

_
y(t) (t)
T
(t)
_
;

(0) =
0
Using R(t) = P(t)
1
e
t
_
d
dt
P(t)
_
P(t)
1
e
t
+P(t)
_
e
t
(t) (t)
T
_
= e
t
I
m
R(t) =
_
t
0
e
() ()
T
d +e
t
P
1
0
.
Then
R(t)

(t) =
_
t
0
e
() y()d +P
1
0

0
t
R(t)
1
(t) = P(t) (t)

_
y(t) (t)
T
(t)
_
;

(0) =
0
Canceling e
t
= 0
_
d
dt
P(t)
_
P(t)
1
+P(t)
_
(t) (t)
T
_
= I
m
R(t) =
_
t
0
e
() ()
T
d +e
t
P
1
0
.
Then
R(t)

(t) =
_
t
0
e
() y()d +P
1
0

0
t
R(t)
1
(t) = P(t) (t)

_
y(t) (t)
T
(t)
_
;

(0) =
0
Finally
P(t) = P(t) P(t)

_
(t) (t)
T
_
P(t); P(0) = P
0
Continuous-time dynamical systems
Consider the input-output model y(t) u(t):
d
n
y
dt
n
+a
1
d
n1
y
dt
n1
+ +a
n
y = b
1
d
m1
y
dt
m1
+ +b
m
u
d
n
y
dt
n
+a
1
d
n1
y
dt
n1
+ +a
n
y
. .
A(p) y(t)
= b
1
d
m1
y
dt
m1
+ +b
m
u
. .
B(p) u(t)
n m and p is the differentiation operator: p y(t) =
dy
dt
.
d
n
y
dt
n
+a
1
d
n1
y
dt
n1
+ +a
n
y
. .
A(p) y(t)
= b
1
d
m1
y
dt
m1
+ +b
m
u
. .
B(p) u(t)
dy
dt
.
How do we estimate the vector of parameters
0
=
_
a
1
, . . . , a
n
, b
1
, . . . , b
m
_
T
from the measured data
_
[y(), u()] : [0, t]
_
?
d
n
y
dt
n
+a
1
d
n1
y
dt
n1
+ +a
n
y
. .
A(p) y(t)
= b
1
d
m1
y
dt
m1
+ +b
m
u
. .
B(p) u(t)
dy
dt
.
How do we estimate the vector of parameters
0
=
_
a
1
, . . . , a
n
, b
1
, . . . , b
m
_
T
from the measured data
_
[y(), u()] : [0, t]
_
?
It would be easy to rewrite the model in the standard form, but
there is one problem: differentiation can not be realized as a
proper transfer function.
Regression for continuous-time dynamical systems
Trick: introduce a lter H
f
(p)
A(p) y(t) = B(p) u(t) H
f
(p) A(p) y(t) = H
f
(p) B(p) u(t)
f
(p)
A(p) y(t) = B(p) u(t) A(p) H
f
(p) y(t)
. .
y
f
(t)
= B(p) H
f
(p) u(t)
. .
u
f
(t)
f
(p)
A(p) y(t) = B(p) u(t) A(p) H
f
(p) y(t)
. .
y
f
(t)
= B(p) H
f
(p) u(t)
. .
u
f
(t)
With a stable minimum-phase lter with relative degree n or
higher, such as H
f
(s) =
1
s
n
+
1
s
n1
+ +
n
, we have
A(p) y(t) = B(p) u(t) A(p) y
f
(t) = B(p) u
f
(t)
where derivatives of order 1, . . . , n for
y
f
(t) = H
f
(p) y(t) and u
f
(t) = H
f
(p) u(t)
can be realized as proper transfer functions.
Now, since
p
n
y
f
(t) = a
1
p
n1
y
f
(t) a
n
y
f
(t)+b
1
p
m1
u
f
(t)+ +b
n
u
f
(t)
Now, since
p
n
y
f
(t) = a
1
p
n1
y
f
(t) a
n
y
f
(t)+b
1
p
m1
u
f
(t)+ +b
n
u
f
(t)
The regression model is
p
n
y
f
(t) = (t)
T
0
, (t)
T
=
_
p
n1
y
f
(t), . . . , p
m1
u
f
(t)
_
Now, since
p
n
y
f
(t) = a
1
p
n1
y
f
(t) a
n
y
f
(t)+b
1
p
m1
u
f
(t)+ +b
n
u
f
(t)
The regression model is
p
n
y
f
(t) = (t)
T
0
, (t)
T
=
_
p
n1
y
f
(t), . . . , p
m1
u
f
(t)
_
and the estimation scheme is
Next Lecture / Assignments:
Next lecture (April 14, 10:00-12:00, in A206Tekn):

Convergence and Persistent Excitation.
Next Lecture / Assignments:
Next lecture (April 14, 10:00-12:00, in A206Tekn):

Convergence and Persistent Excitation.
Derive the formulae for recursive least squares algorithm

with exponential forgetting.
Another homework problem:
Consider the discrete-time system y(t) = H(q) u(t)
represented by the transfer function H(z) =
b
1
z +b
2
z
2
+a
1
z +a
2
.
Write a recursive least squares algorithm with exponential

forgetting to estimate the parameters {a
1
, a
2
, b
1
, b
2
}.
Simulate your algorithm with the true parameters of the

system a
1
= a
2
= 0.5, b
1
= 0, b
2
= 1. Study
performance of the algorithm for
different initial conditions for the parameter estimates

(try 0 initial conditions and at least one other choice),
different values of the forgetting factor (at least three

values including = 1),
a unit step input and a square wave of unit amplitude

and a period of 10 samples.
Discuss the simulation results.


Real-Time Parameter Estimation

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Real-Time Parameter Estimation

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Lecture 3: Real-Time Parameter Estimation

Least Squares and Recursive Computations

Estimating Parameters in Dynamical Systems

This property puts time constraint

This property puts time constraint

Simplify algorithms, if possible :)

Reorganize the computation in such a way that

updates of estimates are only done if new observations

estimates from previous time steps are used as an input

This property puts time constraint

Simplify algorithms, if possible :)

Reorganize the computation in such a way that

updates of estimates are only done if new observations

estimates from previous time steps are used as an input

(t 1), y(t), (t)

(t 1), y(t), (t)

the n n matrix (A+BD) is nonsingular, i.e.

its inverse can be computed as follows

The excitation condition

The excitation condition

the initial condition

the initial condition

(t) = arg min

(t) = arg min

(t) = arg min

(t) = arg min

(t) and solving for :

(t) and solving for :

(t) = P(t) (t)

(t) = P(t) (t)

(t) = P(t) (t)

(t) = P(t) (t)

(t) = P(t) (t)

(t) = P(t) (t)

P(t) = P(t) P(t)

Next lecture (April 14, 10:00-12:00, in A206Tekn):

Next lecture (April 14, 10:00-12:00, in A206Tekn):

Derive the formulae for recursive least squares algorithm

Write a recursive least squares algorithm with exponential

Simulate your algorithm with the true parameters of the

different initial conditions for the parameter estimates

different values of the forgetting factor (at least three

a unit step input and a square wave of unit amplitude

Discuss the simulation results.

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