Chapter2 Pedro

Exercises Chapter 2
System Identification
The solutions presented here are for the exercises:
2G.2
2G.4
2E.2
2E.4
2E.6
Pedro Xavier Miranda La Hera.
Solutions. Chapter 2 Book: System Identification (Ume

a, January, 2005)
2G.2 Let s () be the (power ) spectrum of a scalar signal defined as in

(2.63). Show that
i s () is real
ii s () 0
iii s () = s ()
(2.63)
s () =
Rs ( )ei

a, January, 2005)
2G.2 Solution
The expression (2.63) represents the Fourier transform of the Autocorrelation
function. This Expression can be divided as:
s () =
0
X
Rs ( )ei +
=0
Rs ( )ei Rs (0)
rewriting this expression we get

s () =
=0
Rs ( )ei +
=0
Rs ( )ei Rs (0)
According to the properties of the Autocorrelation Function we know that it

is an even function which tell us:
Rs ( ) = Rs ( )

a, January, 2005)
We can rewrite the expression in the next form

s () =
=
=0
Rs ( )ei +
=0
i
Rs ( ) e
=0
by definition
i
cos() =
+e
Rs ( )ei Rs (0)
+e
Rs (0)
Constructing this expression in our function we get:

i
i
X
e
+e
) Rs (0)
s () = 2
Rs ( )
2
=0
s () = 2
=0
Rs ( )cos( ) Rs (0)

a, January, 2005)
which can be also written as

s () = Rs (0) + 2
Rs ( )cos( )
=1
By definition Rs ( ) and cos( ) are real functions, therefore using this

expression we can conclude that:
s () is real
ii. By theory any matrix M is said to be positive-semidefinite if it has the
following equivalent property:
M = LL
s LL s 0
(L s) (L s) = ||L s||2 0

a, January, 2005)
The expression for the spectral density is defined as

s () =
Rs ( )ei
where
Rs ( ) = Es(t)s(t ) =
t=
s(t)s (t )
Replacing in the expression for the spectral density

s () =
Es(t)s(t )ei
= t=
= t=
s(t)s (t )ei
s(t)s (t )eit ei(t )

a, January, 2005)
if we make t
= then we can rewrite the last expression as
s () =
s(t)eit
t=
"
sT ()ei
t=
s(t)eit
{z
L
}|
s()ei
{z
if we apply the positive semi-definite theorem to this expression

"
#"
#
X
X
it
z ()z = z
s(t)e
s(t)eit z
t=
t=

a, January, 2005)
z ()z =
"
t=
s(t)eit
# !
z
"
s(t)eit
t=
"
# 2
X

=
s(t)eit z 0

# !
z
t=
this last term tell us that the expression for will be always larger or equal
than zero due to the square exponent in the final expression
s () 0

a, January, 2005)
iii. If we use the relation

s () = 2
=0
Rs ( )cos( ) Rs (0)
instead of (2.63), we see that only affects the term cos( ). By definition
of the cosine function we know that:
cos() = cos()
This relations implies that
s () = s ()

a, January, 2005)
2G.4. Let a continuous time system representation be given by

y(t) = Gc (p)u(t)
The input is constant over the sampling interval T . Show that the sampled
input-output data are related by
y(t) = GT (q)u(t)
where
GT (q) =
1
2i
s=i
Gc (s)
esT 1
s
1
q
esT
ds
note: correction for the exercise can be found at:

http://www.control.isy.liu.se/ ljung/sysid/errata/

a, January, 2005)
10
2G.4. Solution
If we express the system in terms of the Laplace transform we have
Y (s) = G(s)U (s)
where U(s) will be the Laplace transform of the constant step signal over the
period T
Z T
U (s) =
u(t)est dt
0
which will lead to the solution

1 st
|(0,T )
U (s) = e
s
1 esT
=
s
rewriting the expression for Y (s) we will have
Y (s) = Gc (s)
1 esT
s

a, January, 2005)
11
To be able to use the discrete transform GT (q) it is needed first to take this
expression back into time domain
Z i
1
Y (s)est ds
y(t) =
2i s=i
Z i
1
1 esT st
y(t) =
e ds
Gc (s)
2i s=i
s
From this expression we can calculate GT (q) applying the definition of the
discrete transform
GT (q) =
T
X
gT (k)q k
k=1
Z
T
X
1
k=1
2i
s=i
Gc (s)
1 esT
s
eskT q k ds

a, January, 2005)
12
The expression only affects the last exponential term

GT (q) =
1
2i
Gc (s)
s=i
T
1 esT X
eskT q k ds
k=1
Analyzing the sumatory

T
X
skT
T
X
sT
k=1
k=1

1 k
If we apply the known expression

T
X
aq
k=0

1 k
q
qa
in the equation above

T
X
k=0
sT

1 k
=1+
T
X
k=1
sT

1 k

a, January, 2005)
13
As a result we will have that

T
X
k=1
sT

1 k
T
X
sT
esT
k=0
=
=

1 k
q
esT
q esT
Plugging the last expression in the general formula

Z i
1
1 esT esT
ds
GT (q) =
Gc (s)
sT
2i s=i
s
qe

a, January, 2005)
14
GT (q) =
GT (q) =
1
2i
1
2i
Gc (s)
s=i
s=i
Gc (s)
esT 1
esT
esT
esT
q esT
esT
q
esT
ds
ds
which finally leads to the expression

Z i
1
esT 1
1
ds
Gc (s)
GT (q) =
sT
2i s=i
s
qe

a, January, 2005)
15
2E.2. Suppose that {(t)} and {(t)} are two mutually independent
sequences of independent random variables with
E(t) = E(t) = 0,
E 2 (t) = ,
E 2 (t) =
Consider
(t) = (t) + (t) + (t 1)
Determine a MA(1) process
v(t) = e(t) + ce(t 1)
where {e(t)} is white noise with
Ee(t) = 0,
Ee2 (t) = e
such that {(t)} and {v(t)} have the same spectra; that is, find c and e so
that v () ()

a, January, 2005)
16
2E.2. Solution
If we want to achieve
v () ()
then the Fourier transform of both autocorrelation functions should be the
same
X
X
R ( )ei
Rv ( )ei =
=
this reasoning leads to the fact that both autocorrelation functions should be
the same
Rv ( ) R ( )
or
Ev(t)v(t ) E(t)(t )

a, January, 2005)
17
Separating the problem in two parts

Ev(t)v(t ) = E {(e(t) + ce(t 1)) (e(t ) + ce(t 1 ))}
n
= E e(t)e(t ) + ce(t)e(t 1 ) + ...
... + ce(t 1)e(t ) + c2 e(t 1)e(t 1 )}
= Ee(t)e(t ) + 2cEe(t)e(t 1 ) + ...

o
... + c2 Ee(t 1)e(t 1 )
As we can see the expressions above represent only the Autocorrelation

functions of the white noise e(t) shifted or multiplied by a scalar
Ev(t)v(t ) = Re ( ) + 2cRe ( ) + c2 Re ( )
= Re ( )(1 + c)2
Under certain conditions we could conclude that

Re ( ) = Ee2 (t) = e

a, January, 2005)
18
Then the final expression for Rv ( ) will be

Rv ( ) = Ev(t)v(t ) = e (1 + c)2
to obtain a expression for R ( ) we follow the same procedure
E(t)(t ) = E{((t) + (t) + (t 1))((t ) + ...
... + (t ) + (t 1 ))}
n
= E (t)(t ) + (t)(t ) + ...
... + (t)(t 1 ) + (t)(t ) + ...

... + (t)(t ) + (t)(t 1 ) + ...
... + (t 1)(t ) + (t 1)(t ) + ...
o
2
... + (t 1)(t 1 ))

a, January, 2005)
19
Separating the function we will get

E(t)(t ) = E(t)(t ) + E(t)(t ) + ...
... + E(t)(t 1 ) + E(t)(t ) + ...
... + E(t)(t ) + E(t)(t 1 ) + ...
... + E(t 1)(t ) + E(t 1)(t ) + ...
... + 2 E(t 1)(t 1 )

applying the data given we can reduce the system to
E(t)(t ) = E(t)(t ) + E(t)(t ) + ...

... + E(t)(t 1 ) + E(t 1)(t ) + ...
... + 2 E(t 1)(t 1 )

a, January, 2005)
20
Applying the same reasoning as before, the terms in the last expression
represent only the Autocorrelation functions of R ( ) and R ( ), therefore
we can rewrite as
E(t)(t ) = R ( ) + R ( ) + 2R ( ) + 2 R ( )
= R ( ) + R ( )(1 + )2
Under certain conditions we could conclude that

R ( ) =
R ( ) =
Then the final expression for R ( ) will be
R ( ) = E(t)(t ) = + (1 + )2

a, January, 2005)
21
By the equivalence
Rv ( ) R ( )
we obtain
e (1 + c)2 = + (1 + )2
e + 2ce + c2e = + + 2 + 2
we can form the equalities
e = +
ce =
And finally we can conclude that
e = +
c=

a, January, 2005)
22
2E.4. Consider the state space description

x(t + 1) = f x(t) + (t)
y(t) = hx(t) + v(t)
where x, f , h, and v are scalars. {(t)} and {v(t)} are mutually
independent white Gaussian noises with variances R1 and R2 , respectively.
Show that y(t) can be represented as an ARMA process:
y(t)+a1 y(t1)+ +an y(tn) = e(t)+c1 e(t1)+ +cn e(tn)
Determine n, ai , ci and the variance of e(t) in terms of f , h, R1 and R2 .
What is the relationship between e(t), (t) and v(t)?

a, January, 2005)
23
Taking the discrete transform of the state space model:

qX(q) = f X(q) + (q)
Y (q) = hX(q) + v(q)
X(q) =
Y (q) =
(q)
qf
h(q)
qf
+ v(q)
Y (q)(q f ) = h(q) + (q f )v(q)

yk+1 f yk = hk + vk+1 f vk
what we want to do now is to make valid the next equivalence
hk + vk+1 f vk
= ek+1 + ek

a, January, 2005)
24
as we see in the ARMA process, we are missing the values of and , but
one fact that we have is that the ARMA process is monic, which means that
the term for = 1, thus
yk+1 f yk
= ek+1 + ek
if we name the expression as follow:
k = hk + vk+1 f vk
= ek+1 + ek
To fulfill the equivalence of the process we will find the next equivalences:
Ek = Ek = 0
Ek k = Ek k
Ek k1 = Ek k1

a, January, 2005)
25
replacing the expression

E{hk + vk+1 f vk }{hk + vk+1 f vk } =
= E{ek+1 + ek }{ek+1 + ek }
E{hk + vk+1 f vk }{hk1 + vk f vk1 } =
= E{ek+1 + ek }{ek + ek1 }
making the internal operations for Ek k = Ek k we end up in
2
h2 Ek2 + Evk+1
+ f 2 Evk2 = Ee2k+1 + 2 Ee2k
h2 R1 + R2 + f 2 R2 = Re + 2 Re
the expression for Ek k1 = Ek k1
f Evk2 = Ee2k
f R2 = Re

a, January, 2005)
26
We need to solve the next system of equations for and Re

h2 R1 + R2 + f 2 R2 = Re (1 + 2 )
f R2 = Re
getting Re from the second equation
Re =
f R2
Replacing into the first equation

1 + 2
h2 R1 + R2 + f 2 R2
f R2
as we see the numerator of the right hand side will be always positive and
equal to some constant value, for simplicity we can rewrite the expression like:
1 + 2
= 2C

a, January, 2005)
27
where
2C =
h2 R1 + R2 + f 2 R2
f R2
the solution for will be then

p
= C C2 1
So finally we can write the ARMA process in the form

p
yk+1 f yk = ek+1 + (C C 2 1)ek
now we need to check the stability of the ARMA process, to do that we

analyze first the square root in the expression for :
C2 1 > 0

a, January, 2005)
28
which tell us that C has to be always 1 < C < 1 in order to avoid complex
values. As we see in the expression for 2C this requirement is going to be
fulfilled whit a good choice of the value f . Another requisite will be
p
|C C 2 1| < 1
and again this decision can be taken with a good choice of the parameter f .
Clearly it can be seen in the process transfer function:
Y (q)
E(q)
q+
qf
if the parameter f in the denominator is chosen in a way that |f | > 1 then

we will have an unstable system. This means that nothing can be said about
the sign that we must choose for the expression in order to make the system
stable. The value for the variance of e(t) will be
f R2
Re =
C C2 1

a, January, 2005)
29
2E.6. Consider the system

d
dt
y(t) + ay(t) = u(t)
Suppose that the input u(t) is piecewise constant over the sampling interval
u(t) = uk , kT t < (k + 1)T
(a) Derive a sample data system description for uk , y(kT ).
(b) Assume that there is a time delay of T seconds so that u(t) in the
expression is replaced by u(t T ). Derive a sample data system
description for this case.
(c) Assume that the time delay is 1.5T so that u(t) is replaced by
u(t 1.5T ). Then give the sampled data description.

a, January, 2005)
30
2E.6. Solution
a). The solution to the differential equation which includes the effects of the
input and initial conditions is given by:
Z t
y(t) = ea(tt0 ) y(t0 ) +
ea(t ) u( )d
t0
where y(t0 ) is the initial condition on the state variables. Based on this
solution the sampled state response is given by
Z T
y[(k + 1)T ] = eaT y[kT ] +
ea(T ) u( + kT )d
=0
we can write
y[(k + 1)T ] = Ay[kT ] + Bu[kT ]
where
A=e
aT
B=
=0
a(T )
d =
1 eaT
a

a, January, 2005)
31
if we use Z transform
z(Y (z) y[0]) = AY (z) + BU (z)
Y (z)(z A) = BU (z) + zy[0]
Y (z) =
B
zA
U (z) +
z
zA
y[0]
or expressed in geometric series

y(t) =
B X
k=0
Ak+1 u(t k) +
Ak q k y[0]
k=0

a, January, 2005)
32
(b). Introducing the time delay into the system

d
dt
y(t) + ay(t) = u(t T )
The solution to the differential equation after applying the delay in the
equation including the effects of the input and the initial conditions is given
by:
Z t
ea(t ) u( T )d
y(t) = ea(tt0 ) y(t0 ) +
t0
Z T
y[(k + 1)T ] = eaT y[kT ] +
ea(T ) u( + kT T )d
=0
we can write
y[(k + 1)T ] = Ay[kT ] + Bu[kT T ]

a, January, 2005)
33
where
A = eaT
B=
ea(T ) d =
=0
1 eaT
a
if we use the Z transform

z(Y (z) y[0]) = AY (z) + Bz 1 U (z) + Bu[1]
Y (z)(z A) = Bz 1 U (z) + Bu[1] + zy[0]
Bz 1
u[1] +
y[0]
zA
zA
B
z
U (z) +
u[1] +
y[0]
Y (z) =
z(z A)
zA
zA
Y (z) =
zA
B
U (z) +

a, January, 2005)
34
(c). Introducing the time delay into the system

d
dt
y(t) + ay(t) = u(t 1.5T )
The solution to the differential equation after applying the delay in the
equation including the effects of the input and the initial conditions is given
by:
Z t
ea(t ) u( 1.5T )d
y(t) = ea(tt0 ) y(t0 ) +
t0
y[(k + 1)T ] = eaT y[kT ] +
=0
ea(T ) u( + kT T )d
where
T = 1.5T

a, January, 2005)
35
The sampled state response will be given by:

y[(k + 1)T ] = Ay[kT ] + Bu[kT T ]
where the parameters A and B will be:
A = e1.5aT
Z 1.5T
1.5aT
1
e
B=
ea(1.5T ) d =
a
=0
if we use the Z transform
z(Y (z) y[0]) = AY (z) + Bz 1 U (z) Bu[1]
Y (z)(z A) = U (z)(Bz 1 ) + zy[0] Bu[1]
Y (z) =
Bz 1
y[0]
u[1]
zA
zA
z
B
Y (z) =
U (z) +
y[0]
u[1]
z(z A)
zA
zA
zA
B
U (z) +

a, January, 2005)
36

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Exercises Chapter 2

Pedro Xavier Miranda La Hera.

Solutions. Chapter 2 Book: System Identification (Ume

2G.2 Let s () be the (power ) spectrum of a scalar signal defined as in

Pedro Xavier Miranda La Hera.

Solutions. Chapter 2 Book: System Identification (Ume

rewriting this expression we get

According to the properties of the Autocorrelation Function we know that it

Pedro Xavier Miranda La Hera.

Solutions. Chapter 2 Book: System Identification (Ume

We can rewrite the expression in the next form

Constructing this expression in our function we get:

Pedro Xavier Miranda La Hera.

Solutions. Chapter 2 Book: System Identification (Ume

which can be also written as

By definition Rs ( ) and cos( ) are real functions, therefore using this

Pedro Xavier Miranda La Hera.

Solutions. Chapter 2 Book: System Identification (Ume

The expression for the spectral density is defined as

Replacing in the expression for the spectral density

Pedro Xavier Miranda La Hera.

Solutions. Chapter 2 Book: System Identification (Ume

if we apply the positive semi-definite theorem to this expression

Pedro Xavier Miranda La Hera.

Solutions. Chapter 2 Book: System Identification (Ume

Pedro Xavier Miranda La Hera.

Solutions. Chapter 2 Book: System Identification (Ume

iii. If we use the relation

Pedro Xavier Miranda La Hera.

Solutions. Chapter 2 Book: System Identification (Ume

2G.4. Let a continuous time system representation be given by

note: correction for the exercise can be found at:

Pedro Xavier Miranda La Hera.

Solutions. Chapter 2 Book: System Identification (Ume

which will lead to the solution

Solutions. Chapter 2 Book: System Identification (Ume

Pedro Xavier Miranda La Hera.

Solutions. Chapter 2 Book: System Identification (Ume

The expression only affects the last exponential term

Analyzing the sumatory

If we apply the known expression

in the equation above

Pedro Xavier Miranda La Hera.

Solutions. Chapter 2 Book: System Identification (Ume

As a result we will have that

Plugging the last expression in the general formula

Pedro Xavier Miranda La Hera.

Solutions. Chapter 2 Book: System Identification (Ume

which finally leads to the expression

Pedro Xavier Miranda La Hera.

Solutions. Chapter 2 Book: System Identification (Ume

Solutions. Chapter 2 Book: System Identification (Ume

Pedro Xavier Miranda La Hera.

Solutions. Chapter 2 Book: System Identification (Ume

Separating the problem in two parts

= Ee(t)e(t ) + 2cEe(t)e(t 1 ) + ...

As we can see the expressions above represent only the Autocorrelation

Under certain conditions we could conclude that

Solutions. Chapter 2 Book: System Identification (Ume

Then the final expression for Rv ( ) will be

... + (t)(t 1 ) + (t)(t ) + ...

Pedro Xavier Miranda La Hera.

Solutions. Chapter 2 Book: System Identification (Ume

Separating the function we will get