System Identification

6.435
SET 1
Review of Linear Systems Review of Stochastic Processes Defining a General Framework

Munther A. Dahleh
Lecture 1 6.435, System Identification Prof. Munther A. Dahleh 1

Review
LTI discretetime systems

transfer function Note ( different notations)

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Stability

(real rational

) poles of

are outside the disc

Strict causality
system has a delay.

Strict Stability

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6.435, System Identification Prof. Munther A. Dahleh

Frequency Response

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Suppose

then

for stable systems.

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Periodograms
Given:
the Fourier transform is given by

Discrete Fourier Transform (DFT)

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6.435, System Identification Prof. Munther A. Dahleh

Inverse DFT

Periodogram

Nice Property: Parsavals equality

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6.435, System Identification Prof. Munther A. Dahleh

= energy contained in each frequency component.

Properties:
-periodicity
-If is real

Example:
(consider )

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Example:

(Why?)

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This representation is valid over the whole interval [1,N] since u is periodic over N.

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Passing through a filter

Claim:

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Proof:

Note that:

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Hence:

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Stochastic Processes
Definition:
A stochastic process is a sequence of random variables with a joint pdf.

Definition:
= mean = Correlation / Covariance = Covariance

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Traditional definitions:
is Wide-sense stationary (WSS) if constant

This may be a limiting definition. We will discuss shortly.

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Common Framework for Deterministic and Stochastic Signals

A typical setup noise (stochastic)

experiment (deterministic)

output (mixed)

(loose stationarity).

not

constant

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 Consider signals with the following assumptions:

and is called quasi-stationary If If is a stationary process, then it satisfies 1, 2 trivially. is a deterministic signal, then

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 Example: Suppose

has finite energy

In general: stochastic Notation: quasi-stationary deterministic

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Power Spectrum
Let be a quasi-stationary process. The power spectrum is defined as

= Fourier transform of Example: for

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Recall ?
Result ; for any , quasi-stationary

Convergence as a distribution Note: an erratic function well behaved function

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Cross Spectrum

Spectrum of mixed signals

{zero means}

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Spectrum of Filtered Signals

O SISO

Generation of a process with a given Covariance: given then x is the output of a filter with a WN signal as an input. The Filter is the spectral factor of

If

signal

SISO

stable minimum phase.

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Important relations
A model for noisy outputs:

quasi-stationary constant.

Very Important relations in system ID. Correlation methods are central in identifying an unknown plant. Proofs: Messy; Straight forward.
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Ergodicity
is a stochastic process

Sample function or a realization

Sample mean

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Sample Covariance

A process is 2nd-order ergodic if mean covariance the sample mean of any realization. the sample covariance of any realization. Ensemble averages

Sample averages

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A general ergodic process

+
WN Signal uniformly stable

quasistationary signal

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w.p.1

w.p.1

w.p.1

Remark:
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.

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