Simple Least Squares: K U Z A Z B K y

System 3
k
u
y
1
0.1
22
2
0.2
-10
3
0.3
8
4
0.4
-2
5
0.5
1
Simple Least Squares

Process model is of the form y(k )
y (k ) y (k 1)
y (k 1) y (k )

y (k 2) y (k 1)

y (k 3) y (k 2)
y (k 4) y (k 3)
y (5) y (4)
y (6) y (5)

y (7) y (6)
y (8) y (7)
y (9) y (8)

y (10) y (9)
1 2
0 1

1.1 0

0.5 1.1
1 0.5

0.7 1
b1 z 1
u (k )
1 a1 z 1
u (k )
u (k 1)
a1
u (k 2)
b1
u (k 3)
u (k 4)
u (4)
u (5)
u (6) a1
u (7) b1
u (8)
u (9)
0.4
0.5
0.6 a1
0.7 b1
0.8
0.9
y
^ T 1 T
y
T 2 1 0 1.1 0.5 1
0.4 0.5 0.6 0.7
0.8 0.9
6
0.6
0
7
0.7
1.1
8
0.8
0.5
9
0.9
1
10
1.0
0.7
2
1
0
2
1
0
1
.
1
0
.
5
1
T
0.4 0.5 0.6 0.7

0.8 0.9 1.1
0.5
T 7.46 1.77
1.77 2.71
T

0.1586 0.1036
0.1036 0.4367
1
0

T y 2 1 0 1.1 0.5 1 1.1

0.4 0.5 0.6 0.7

0.8 0.9 0.5
1

0.7
T y 0.25
2.84

^ a1 T 1 T
b1 y

^ a1 0.1586 0.1036 0.25
b1 0.1036 0.4367 2.84

^ a1 0.3339
b1 1.2661

0.4
0.5
0.6
0.7
0.8
0.9
y(k 1) a1 y(k ) b1u (k )

k
u
y
1
0.1
22
2
0.2
-10
3
0.3
8
4
0.4
-2
5
0.5
1
6
0.6
0
7
0.7
1.1
8
0.8
0.5
9
0.9
1
10
1.0
0.7
-7.22
3.59
-2.29
1.17
0.29
0.76
0.59
0.85
0.81
2.78
4.41
0.29
0.17
0.29
0.34
0.02
0.15
0.11
Mean Squares Error,

mse
2.78 2 4.41 2 0.29 2 0.17 2 0.29 2 0.34 2 0.02 2 0.15 2 0.11 2

9
mse 3.06
Generalized Least Squares

From Simple Least Squares
a1 0.3339
b1 1.2661

y F (k ) a y F (k 1) y(k )
^
u F (k ) a u F (k 1) u (k )
k
u
uF
y
yF
1
0.1
22
2
0.2
0.17
-10
-17.36
3
0.3
0.24
8
13.79
y F (k ) y F (k 1)
F
F
y (k 1) y (k )
y F (k 2) y F (k 1)

y F (k 3) y F (k 2)
F
F
y (k 4) y (k 3)
3.21 6.61
1.07 3.21

1.46 1.07
0
.
01
1.46
0.99 0.01

0.37 0.99
1
4
0.4
0.32
-2
-6.61
u F (k 1)
a1
u F (k 2)
b1
u F (k 3)
u F (k 4)
u F (k )
0.32
0.39
0.47 a1
0.54 b1
0.62
0.69
^ F T F F T F
y
F T F 58.2529 0.1115
0.1115 1.6275
5
0.5
0.39
1
3.21
6
0.6
0.47
0
-1.07
7
0.7
0.54
1.1
1.46
8
0.8
0.62
0.5
0.01
9
0.9
0.69
1
0.99
10
1.0
0.77
0.7
0.37
F TF
0.0172 0.0012
0.0012 0.6145
F T y F 25.8242
2.1706

1
^ a1 F T F F T F
b1
y

^ a1 0.0172 0.0012 25.8242

b1 0.0012 0.6145 2.1706

^ a1 0.4459
b1 1.3643

k
u
y
uF
yF
1
0.1
22
2
0.2
-10
0.17
-17.36
3
0.3
8
0.24
13.79
4
0.4
-2
0.32
-6.61
5
0.5
1
0.39
3.21
6
0.6
0
0.47
-1.07
7
0.7
1.1
0.54
1.46
8
0.8
0.5
0.62
0.01
9
0.9
1
0.69
0.99
10
1.0
0.7
0.77
0.37
7.97
-5.82
3.38
-0.89
1.12
0.09
0.84
0.49
5.82
0.79
0.17
0.17
0.34
0.08
0.15
0.13
Mean Squares Error, mse
5.82 2 0.79 2 0.17 2 0.17 2 0.34 2 0.08 2 0.15 2 0.13 2

8
^ F
mse 4.33

Simple Least Squares: K U Z A Z B K y

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System 3

Simple Least Squares

0.4 0.5 0.6 0.7

y(k 1) a1 y(k ) b1u (k )

Mean Squares Error,

2.78 2 4.41 2 0.29 2 0.17 2 0.29 2 0.34 2 0.02 2 0.15 2 0.11 2

Generalized Least Squares

^ a1 0.0172 0.0012 25.8242

Mean Squares Error, mse

5.82 2 0.79 2 0.17 2 0.17 2 0.34 2 0.08 2 0.15 2 0.13 2

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