Nguyn Don Phc & Phan Xun Minh

NHN DNG
H THNG IU KHIN
(IN LN TH HAI, C SA I V B
SUNG)

NH XUT BN KHOA HC V K THUT

H NI ( 2005)

Author:
Nguyen Doan Phuoc
Assoc. Prof. of Department of Automatic Control, Hanoi University of
Technology.
Phan Xuan Minh
Assoc. Prof. of Department of Automatic Control, Hanoi University of
Technology.
Title: Identication Control Systems
This book aims to provide basic knowledges of systems modelling such as
modellestimation, idetification K. Many examples are given in the book to
illustrate the theory.
This book is the product of several courses given by the authors at the Hanoi
University of Technology (HUT). It is written for control engineering
students and master students in Universities as a course and self study
textbook.

Chu trch nhim xut bn: PGS. TS. T ng Hi

Bin tp:
Nguyn ng
Trnh by v ch bn:
Tc gi
V ba:
Trn Thng

In 1000 cun kh 1624 cm ti Xng in NXB Vn ha Dn tc. Quyt

nh xut bn s 752005/CXB/5502/KHKT. In xong v np lu chiu

thng 92005.
Li ni u
Nhn dng h thng l mt trong nhng cng vic u tin phi thc
hin khi gii quyt mt bi ton iu khin T ng. L do n gin ch l
v khng th phn tch, tng hp h thng khi khng c m hnh ton hc
m t h thng. Trong qu trnh xy dng m hnh h thng trn phng
din l thuyt ngi ta thng khng th kho st c mi nh hng ca
mi trng n tnh ng hc ca h thng cng nh nhng tc ng qua
li bn trong h thng mt cch chnh xc tuyt i. Rt nhiu yu t b
b qua hoc ch c xem xt n nh mt tc ng ngu nhin. Bi vy,
nu ni mt cch cht ch th nhng hiu bit l thuyt ban u v h thng
mi ch c th gip ngi ta khoanh c vng lp cc m hnh thch hp.
c th c c mt m hnh c th c cht lng ph hp vi bi ton
iu khin t ra trong lp cc m hnh thch hp th phi s dng
phng php nhn dng.
Thi im ra i ca chuyn ngnh Nhn dng c th c xem l vo
khong cui thp nin 50. Tuy ra i mun nhng Nhn dng pht trin
rt nhanh v c nhng thnh tu vt bc. Nguyn nhn ca s pht
trin vut bc mt phn t yu cu thc t, song c l phn chnh l nh
c nhng h tr tch cc ca cc ngnh khoa hc lin quan, c bit l X
l tn hiu v Tin hc.
S pht trin ca Nhn dng trong lnh vc iu khin t ng t nm
1960 n nay c th chia ra lm ba giai on pht trin nh sau:
Giai on mt khong t nm 1960 n 1975 c nh du bng nhn
dng cc m hnh khng tham s cho i tng iu khin tuyn tnh m
trng tm ch yu l thit lp hm trng lng hay hm c tnh tn
binpha di dng mt dy gi tr (phc). Kin thc l thuyt cn thit
cho giai on ny phn ln c xy dng trn c s l thuyt hm
phc v phn tch ph tn hiu.

 Giai on hai c c trng bi s ra i ca lp m hnh ng lin

tc hoc ri rc c tham s v c gi l giai on ca nhn dng
tham s m hnh. Thng tin l thuyt ban u v h thng y ch va
ngi ta c th la chn c bc (hay cu trc) cho m hnh lin
tc hoc ri rc. Nhim v ca nhn dng trong giai on ny l xc
nh gi tr cc tham s ca m hnh vi hng nghin cu tp trung
l xt tnh hi t ca cc phng php v nh hng ca nhiu vo kt
qu.
Giai on ba khong t nm 1990 tr li y c nh du bng nhn
dng m hnh ng hc lin tc phi tuyn v nhn dng m hnh tham s
cho h nhiu chiu, trong hng nghin cu chnh l xt tnh nhn
dng c ca h nhiu chiu. Dn dn, cng trong giai on ny ngi
ta chuyn hng i vo nhn dng cc h thng suy bin (singular
systems).
Trong v vn cc phng php nhn dng h thng hin c dng
rng ri, chng ti ch c th chn lc ra v gii thiu mt vi phng php
c trng lm i din. Phng hng chn la l i t m hnh khng
tham s vi cng c phn tch ph tn hiu (chng 2) lm nn cho cng
vic nhn dng tham s m hnh lin tc tuyn tnh v m hnh ri rc tuyn
tnh sau ny (chng 3 v chng 4). Nh vy cun sch c ni dung ch
yu l gii thiu cc phng php nhn dng c hnh thnh trong giai
on 1 v 2. Mt phn l do l nhng phng php ny tr thnh chun
mc v c ci t trong nhng chng trnh tin dng ca MATLAB
gip bn c c th s dng chng kim nghim li nhng iu c
c. Phn na l nhng phng php ca giai on 3 cho n nay vn
cha c c nhiu sc thuyt phc trong ng dng nh mong mun.
Cun sch c vit vi mc ch cung cp thm mt ti liu h tr vic
t hc cho sinh vin ngnh iu khin T ng ang hc mn L thuyt
iu khin nng cao, sinh vin ngnh in, cng nh cc ngnh khc c
lin quan ti vic xy dng m hnh h thng. Ngoi ra, cun sch cn c
mc ch xa hn l gii thiu c vi nhng ngi ang cng tc trong

lnh vc phn tch v tng hp h thng k thut mt ti liu tra cu, tham
kho trong cng vic xy dng m hnh h thng.
Mc d, k t ln xut bn u tin vo nm 2001, cho ti nay quyn
sch Nhn dng h thng iu khin ny c ti bn nhiu ln, song
chc khng th trnh khi cn thiu st. c th t c cht lng
hon thin hn, cc tc gi rt mong nhn c nhng gp sa i hay
b sung thm t pha bn c. Th gp xin gi v:
Trng i hc Bch khoa H Ni
Khoa in, B mn iu khin T ng.
S 1 i C Vit. C9/305306
H Ni, ngy 28.5.2005
Cc tc gi

Mc lc
1 Nhp mn
2
1.1 Ti sao phi nhn dng
2
1.1.1 nh ngha .......................................................................................2
1.1.2 Lp m hnh thch hp ....................................................................2
1.1.3 M t sai lch gia m hnh v i tng thc..............................2
1.2 Phn lp cc bi ton nhn dng
2
1.3 Qu trnh ngu nhin
2
1.3.1 Khi nim ........................................................................................2
1.3.2 Cc tham s ca qu trnh ngu nhin.............................................2
1.3.3 i lng nh gi lng thng tin c trong ngun pht tn hiu
ngu nhin.................................................................................................2
2
2 Nhn dng m hnh khng tham s nh phn tch ph tn hiu
2.1 Ton t Fourier ri rc (DFT)
2
2.1.1 Hm m rng dirac..........................................................................2
2.1.2 M hnh ha qu trnh ri rc tn hiu.............................................2
2.1.3 nh Fourier ca hm m rng .........................................................2
2.1.4 Quan h gia X(j) v Xa(j).........................................................2
2.1.5 Hiu ng trng ph v nh l Shannon..........................................2
2.1.6 Hiu ng r r (leakage) v k thut hm ca s ...........................2
2.1.7 Kt lun v DFT v thut ton FFT ................................................2
2.1.8 Ton t DFT ngc.........................................................................2
2.2 Nhn dng mt ph tn hiu
2
2.2.1 Nhn dng hm tng quan ............................................................2
2.2.2 Nhn dng mt ph ....................................................................2
2.3 Nhn dng m hnh khng tham s
2
2.3.1 Xc nh ng c tnh tn bin pha.............................................2
2.3.2 Xc nh hm trng lng t ng c tnh tn ...........................2
Cu hi n tp v bi tp ..........................................................................2
3 Nhn dng m hnh lin tc, tuyn tnh c tham s t m hnh
khng tham s
2
3.1 Xc nh tham s m hnh t hm qu
2
3.1.1 Nhng kt lun tng qut ................................................................2
3.1.2 Xc nh tham s m hnh qun tnh bc nht ................................2
3.1.3 Xc nh tham s cho m hnh tch phn qun tnh ........................2
6

3.1.4 Xc nh tham s m hnh qun tnh bc cao ................................. 2

3.1.5 Xc nh tham s m hnh Lead/Lag.............................................. 2
3.1.6 Xc nh tham s m hnh i tng dao ng bc hai tt dn...... 2
3.2 Xc nh tham s m hnh t nhng gi tr G(jn) c
2
3.2.1 Thut ton Cholesky ....................................................................... 2
3.2.2 Nhn dng tham s m hnh ........................................................... 2
3.2.3 Nhn dng lp tham s m hnh ..................................................... 2
Cu hi n tp v bi tp .......................................................................... 2
4 Nhn dng tham s m hnh ARMA
2
4.1 t vn
2
4.1.1 Pht biu bi ton nhn dng m hnh ARMA ............................... 2
4.1.2 Chuyn thnh bi ton tng ng c h s khuch i ca m
hnh bng 1 ............................................................................................... 2
4.2 Nhn dng ch ng tham s m hnh AR
2
4.2.1 Phng php YuleWalker ............................................................ 2
4.2.2 Sai s d bo tuyn tnh ca phng php YuleWalker .............. 2
4.2.3 Gii phng trnh YuleWalker nh thut ton Levinson ............. 2
4.2.4 Phng php d bo iu ha v thut ton Burg .......................... 2
4.2.5 Kt lun........................................................................................... 2
4.3 Nhn dng ch ng tham s m hnh MA
2
4.3.1 Thay m hnh MA bng m hnh AR tng ng ....................... 2
4.3.2 Thut ton nhn dng cho trng hp s=2nb................................. 2
4.3.3 Thut ton nhn dng cho trng hp s>2nb................................. 2
4.4 Nhn dng ch ng tham s m hnh ARMA
2
4.4.1 Nhn dng tham s AR ca m hnh ARMA ................................. 2
4.4.2 Nhn dng tham s MA ca m hnh ARMA ................................ 2
4.4.3 Thut ton nhn dng tham s m hnh ARMA ............................. 2
4.5 Nhn dng b ng tham s m hnh ARMA
2
4.5.1 Nhn dng b ng khi cc tn hiu vo ra l tin nh................... 2
4.5.2 Nhn dng b ng vi cc tn hiu vo ra l ngu nhin............... 2
4.5.3 Chuyn v bi ton nhn dng ch ng ........................................ 2
Cu hi n tp v bi tp .......................................................................... 2
2
5 Nhng k thut b tr
5.1 DFT thi gian ngn (SFT)
2
5.1.1 T tng ca phng php............................................................. 2
5.1.2 Thut ton SFT vi hm ca s Bartlett ......................................... 2
5.1.3 Thut ton SFT vi mt hm ca s bt k.................................... 2
7

5.1.4 ng dng nhn dng m hnh c tham s thay i.....................2

5.2 Ni suy
2
5.2.1 Ni suy c in................................................................................2
5.2.2 Ni suy spline..................................................................................2
5.2.3 Ni suy Bspline .............................................................................2
5.2.4 Sai s ph ca ni suy Bspline......................................................2
5.3 Ngoi suy
2
5.3.1 Cc i entropie loi 1 ....................................................................2
5.3.2 Cc i entropie loi 2 ....................................................................2
5.4 L thuyt hm m rng
2
5.4.1 nh ngha .......................................................................................2
5.4.2 Tnh cht..........................................................................................2
5.4.3 Ton t Fourier m rng .................................................................2
Cu hi n tp v bi tp ..........................................................................2
Ti liu tham kho
2

Nhp mn

1.1

Ti sao phi nhn dng

Xt mt bi ton iu khin theo nguyn tc phn hi u ra nh hnh

1.1. Mun tng hp c b iu khin cho i tng h kn c c
cht lng nh mong mun th trc tin cn phi hiu bit v i tng,
tc l cn phi c mt m hnh ton hc m t i tng. Khng th iu
khin i tng khi khng hiu bit hoc hiu sai lch v n. Kt qu tng
hp b iu khin ph thuc rt nhiu vo m hnh m t i tng. M
hnh cng chnh xc, hiu sut cng vic cng cao.

w
Hnh 1.1: iu khin theo nguyn tc
phn hi u ra.

B iu
khin

u i tng

iu khin

Vic xy dng m hnh cho i tng c gi l m hnh ha. Ngi ta

thng phn chia cc phng php m hnh ha ra lm hai loi:
phng php l thuyt v
phng php thc nghim.
Phng php l thuyt l phng php thit lp m hnh da trn cc
nh lut c sn v quan h vt l bn trong v quan h giao tip vi mi
trng bn ngoi ca i tng. Cc quan h ny c m t theo quy lut
lha, quy lut cn bng, K di dng nhng phng trnh ton hc.
Trong cc trng hp m s hiu bit v nhng quy lut giao tip
bn trong i tng cng v mi quan h gia i tng vi mi trng bn
ngoi khng c y c th xy dng c mt m hnh hon chnh,
nhng t nht t c th cho bit cc thng tin ban u v dng m hnh
th tip theo ngi ta phi p dng phng php thc nghim hon thin
nt vic xy dng m hnh i tng trn c s quan st tn hiu vo u(t) v
ra y(t) ca i tng sao cho m hnh thu c bng phng php thc

nghim tha mn cc yu cu ca phng php l thuyt ra. Phng

php thc nghim c gi l nhn dng h thng iu khin.
Nh vy, khi nim nhn dng h thng iu khin c hiu l s b
sung cho vic m hnh ha i tng m lng thng tin ban u v
i tng iu khin khng y . Cc thng tin ban u ny c tn gi
chung l thng tin Apriori.
V d 1: Chng hn ta phi xy dng m hnh cho i tng l mt chic xe
chuyn hng. Tn hiu u vo tc ng y xe l lc u(t). Di tc ng
ca lc u(t) xe s i c qung ng k hiu bi y(t).
my
dy
u(t)
m

Hnh 1.2: Xy dng m hnh cho i tng l

mt chic xe chuyn hng.

y(t)

Khi chuyn ng s c hai lc cn tr s chuyn ng ca xe (b qua ma

st tnh). Th nht l lc ma st ng xc nh bi:
Fs = d dy , d l h s ma st ng
dt

v th hai l lc cn tr s thay i tc
2

dt

Fgt = m d

m l khi lng ca xe.

Theo nguyn l cn bng lc ta c c m hnh m t i tng, tc l

m t quan h gia tn hiu vo u(t) v tn hiu ra y(t) nh sau:
m

d2 y
dt

+d

dy
=u
dt

trong k = 1 v T=
d

10

m
d

G(s) =

k
s(1 + Ts )

(1.1a)

M hnh (1.1a) c xy dng t cc hiu bit ban u v i tng,

nhng cha phi l m mnh c th cho chic xe ch hng m ta ang xt v
cc tham s v h s ma st d cng nh khi lng xe m l cha c. Ni
cch khc m hnh m ta cn ch l mt trong cc m hnh c dng (1.1a).
c c mt m hnh hon chnh th ta cn phi xc nh nt nhng
tham s k v T cn li.
lm c iu ny, ngi ta p dng phng php thc nghim bng
cch tc ng tm thi vo xe ti thi im t=0 mt lc c nh, v d nh
u(t)=1 ri o tn hiu ra l qung ng i c y(t). Biu din qung
ng i c y(t) ph thuc theo t di dng th ta c hnh 1.3. T
th ta tnh c T l giao im ca ng tim cn ca y(t) vi trc
honh v k y . Cu hi ti sao ta li tnh c cc tham s nh vy s
t

c tr li sau trong chng 3.

y(t)

h(t)
k

1,5
1
0,5

t
0,5

2,5

t
a

Hnh 1.3: Nhn dng tham s cho m hnh

xe ch hng.

Hnh 1.4: Xc nh tham s cho m hnh i

tng ng c mt chiu.

V d 2: Ta xt thm v d vi i tng l ng c mt chiu. T nhng

kin thc l thuyt chung v ng c mt chiu (thng tin Apriori) ngi
ta mi ch c th xc nh c rng m hnh xp x tuyn tnh ca n c
dng khu qun tnh bc hai nh sau:
G(s) =

k
(1 + T1 s)(1 + T2 s)

(1.1b)

cn li chi tit hn th ba tham s k, T1 v T2 cha th xc nh c do cn

ph thuc vo c tnh ring ca kt cu tng ng c. Ni cch khc, t

11

thng tin Apriori ngi ta mi ch bit c rng ng c mt chiu thuc

lp m hnh qun tnh bc hai (1.1b), trong k, T1 , T2 l nhng phn t bt
k ca R.
c th tm c mt m hnh c th cho i tng t lp cc m hnh
dng (1.1b) ngi ta phi p dng phng php thc nghim (nhn dng).
Nu nh s tc ng ca nhiu l b qua c, cc php o l chnh xc v
cng vic nhn dng c th c thc hin bng cch ch ng kch thch
i tng vi mt tn hiu u vo thch hp chn trc th phng php
thng dng l xc nh hm qu thng qua o tn hiu ra khi tn hiu
vo l hm 1(t).
Tip theo ngi ta biu din h(t) di dng th ri k ng tip tuyn
vi h(t) ti im un c a, b v ng tim cn ti t= c k (hnh 1.4).
Hai tham s T1 v T2 cn li s c xc nh t a v b. Chi tit thm v
cch xc nh T1 , T2 t a, b s c trnh by sau trong chng 3. y
chng ti ch cp s lc minh ha cho s khc bit gia phng
php xy dng m hnh theo kiu l thuyt v thc nghim (nhn dng).
1.1.1

nh ngha

Khi nim v bi ton nhn dng va nu trn c Zadeh thu gn

vo nh ngha pht biu nm 1962 vi hai nt c bn nh sau:
1) Nhn dng l phng php thc nghim nhm xc nh mt m hnh c
th trong lp cc m hnh thch hp cho trn c s quan st cc tn
hiu vo ra.
2) M hnh tm c phi c sai s vi i tng l nh nht.
Theo nh ngha ny th nhng bi ton nhn dng s c phn bit vi
nhau ba im chnh. l:
Lp m hnh thch hp. Chng hn lp cc m hnh tuyn tnh khng
c cu trc (khng bit bc ca m hnh) hoc c cu trc (v d nh
lp m hnh (1.1)), lp cc m hnh lng tuyn tnh (bilinear),
Loi tn hiu quan st c (tin nh/ngu nhin).
12

 Phng thc m t sai lch gia m hnh v i tng thc.

1.1.2

Lp m hnh thch hp

Tp hp tt c cc m hnh c cng cu trc tha mn cc yu cu v

thng tin Apriori m phng php l thuyt t ra c gi l lp cc
m hnh thch hp. V d nh tt c cc m hnh dng (1.1b) vi k, T1 v T2
l ba phn t bt k ca R u c th l m hnh ca ng c mt chiu.
Trong ti liu ny chng ta s ch quan tm ti cc bi ton nhn dng
vi lp nhng m hnh tuyn tnh gn ng ca i tng. Mt m hnh
c gi l tuyn tnh nu nh x TM m t quan h gia r tn hiu vo
u1 ( t )

M
u ( t )
r

u(t)=

v s tn hiu ra

y1 ( t )
y(t ) = M
y (t)
s

ca m hnh tha mn

TM(a1u1(t)+ a2 u2(t)) = a1TM(u1(t))+a2TM(u2(t)),

(1.2)

trong a 1 , a 2 R. Tnh cht trn ca m hnh tuyn tnh, trong iu

khin, cn c gi l nguyn l xp chng.
V d: M hnh trng thi cho i tng khng dng dng
TM:

dx
dt

= A(t)x + B(t)u

y=

C(t)x + D(t)u

vi n bin trng thi x(t)

x1 ( t )

= M v
x (t)
n

A(t), B(t), C(t), D(t) l nhng ma trn

ph thuc thi gian t (phn t ca chng l cc hm theo t), l mt m hnh

tuyn tnh. Tht vy, nu vi kch thch (u vo) u 1 (t) h c p ng (u
ra) y1 ( t ) v vi kch thch u 2 (t) c p ng y 2 ( t ) , tc l
d x1
= A( t ) x1 + B( t )u1

dt
y = C( t ) x + D( t )u
1
1
1

(1.3a)

13

 dx2
= A( t ) x 2 + B( t )u 2

dt
y = C( t ) x + D( t )u
2
2
2

(1.3b)

th vi tn hiu u vo
u(t)=a 1 u 1 (t)+a 2 u 2 (t),

a 1 ,a 2 R

u ra s l
y(t ) =a 1 y ( t ) +a 2 y ( t ) ,
1

v t (1.3) c

a1

a
2

d x1
dt
d x2
dt

= a1 A( t ) x1 + a1 B( t )u1 a2
= a2 A( t ) x 2 + a2 D( t )u 2

d x1
dx2
a1
+ a2
14dt
44244dt
4
3
dx
dt

A( t ) a1 x1 + a2 x 2 + B( t ) a1 u1 + a2 u 2
1442443
1442443
x
u

y = C( t ) x + B( t )u = C( t ) [a1 x1 + a2 x 2 ] + B( t ) [a1 u1 + a2 u2 ]

= a1 [1
C( t ) x1 + B( t )u1 ] + a2 [C( t ) x2 + B( t )u2 ] .
44
42444
3
144
42444
3
y
1

Cng cn phi nhn mnh rng ba l do chnh cho vic m hnh tuyn
tnh thng c s dng l:
1) M hnh cng n gin, cng tn t chi ph. Cc tham s m hnh tuyn
tnh d dng xc nh c nh nhn dng m khng cn phi i t
nhng phng trnh ha l phc tp m t i tng.
2) Tp cc phng php nhn dng tuyn tnh rt phong ph v khng phi
tn nhiu thi gian thc hin.
3) Cu trc n gin ca m hnh cho php d dng theo di c kt qu
iu khin i tng v chnh nh li m hnh cho ph hp. Tnh cht
ny c bit rt cn thit thc hin cc bi ton iu khin thch nghi.

14

Sau y l cc loi m hnh tuyn tnh c s dng nhiu nht khi nhn
dng i tng SISO khng c nhiu tc ng (i tng ch c mt tn
hiu vo u(t) v mt tn hiu ra y(t)single input, single output):
I.1.

Dy gi tr {gk} ca hm trng lng g(t) vi gk=g(kTa), hoc

{hk} ca hm qu h(t) vi hk=h(kTa), trong Ta l chu k trch
mu tn hiu. Nhn dng c nhim v thng qua vic quan st (hoc
o) cc tn hiu vo ra xc nh c {gk} hoc {hk}. Do c th
nh vy, dng bi ton nhn dng ny c xp vo lp bi ton nhn
dng m hnh khng tham s (nonparametric identification).

I.2.

Hm truyn t G(s), c hiu l t s gia nh Laplace ca p ng

vi nh Laplace ca kch thch v n chnh l nh Laplace ca hm
trng lng g(t):
G(s) = Y ( s) = e s K
U ( s)

1 + b1s + L + bnb s

nb

1 + a1s + L + ana sna

(1.4)

trong nb na (nb, na gi l bc m hnh) l iu kin i

tng c kh nng tn ti (theo ngha causal) v c th bit trc,
l k hiu ch thi gian tr ca i tng. Nhim v ca nhn dng l
thng qua vic quan st nhng tn hiu vo ra (hoc qua vic o dy
gi tr {uk},{yk}) xc nh cc tham s , K, b 1 , b 1 2 , K , bnb ,
a 1 , a 2 , K , ana cng nh bc nb, na (nu nb, na cha cho trc)
ca m hnh. Cc dng bi ton ny c tn gi nhn dng m hnh c
tham s (parametric identification).
I.3.

Hm truyn t G(z), c hiu l t s gia nh z ca dy gi tr p

ng {yk}, yk=y(kTa), vi nh z ca dy gi tr kch thch {uk},
uk=u(kTa),
G(z) = Y ( z) = z l K
U ( z)

1 + b1 z 1 + L + bnb z nb

1 + a1 z1 + L + ana z na

(1.5)

trong z= e sTa v Ta l chu k trch mu tn hiu. Khi l=0, m hnh

(1.5) trn c gi l m hnh ARMA. Nhn dng c nhim v thng
15

qua vic quan st nhng tn hiu vo ra xc nh tham s ca m

hnh. Bi vy bi ton ny cng thuc lp bi ton nhn dng m
hnh c tham s.
Trng hp i tng nhn dng b tc ng bi nhiu th thng thng
c hai bin php gii quyt:
1) Loi b nh hng nhiu n(t) thng qua cc tiu ha phim hm nh
gi sai lch gia m hnh v i tng.
2) M hnh ha tn hiu nhiu. Mc d nhiu n(t) l tn hiu khng xc
nh c mt cch tng qut, song phn ln cc nhiu tn ti trong t
nhin li thuc lp hm c nh z m t c di dng:
N(z) = H(z)W(z),
trong W(z) l nh z ca tn hiu n trng (white noise) v H(z) l m
hnh ca nhiu.
Kt hp vi (1.5) cho cc trng hp H(z) khc nhau ta c:
II.1.

M hnh ARX:

G(z) = z l K

II.2.

1 + b1 z 1 + L + bnb z nb

1 + a1 z1 + L + ana z na
3
14444
4244444
A( z )

1
A( z )

H(z) =

(1.6)

H(z) = C( z) .

(1.7)

H(z) = C( z) .

(1.8)

M hnh ARMAX:

G(z) = z l K

1 + b1 z 1 + L + bnb z nb

na

1 + a1 z + L + ana z
14444
4244444
3
A( z )

A( z )

trong
C(z) = 1 + c1 z 1 + L + cnc z nc
II.3.

M hnh BoxJenkin:

G(z) = zl K
trong

16

1 + b1 z1 + L + bnb z nb
1 + a1 z

+ L + ana z

na

F ( z)

F(z) = 1 + f1 z 1 + L + fn f z n f

C(z) = 1 + c1 z 1 + L + cnc z nc v
1.1.3

M t sai lch gia m hnh v i tng thc

Trong mt bi ton nhn dng, sai lch gia i tng thc T v m hnh
TM thng c biu din qua:
1) Sai lch u ra. y l cch biu din d chp nhn nht, trc quan,
song b hn ch do tnh phc tp ca m hnh sai lch v s phi tuyn
gia cc tham s cn nhn dng vi i lng sai lch e(t). M hnh sai
lch u ra thng c s dng cho cc bi ton nhn dng c m hnh
tnh, bi ton xc nh im ly mu ca chui Voltera hay bi ton
quan st im trng thi, K.
Bi ton nhn dng by gi c pht biu c th hn l thng qua
vic quan st cc tn hiu vo ra, hy xc nh m hnh TM sao cho:
a) Bnh phng nng lng ca sai lch nh nht:

Q = [ y( t ) yM ( t )]2 dt min!,

(1.9a)

b) Gi tr trung bnh ca bnh phng nng lng sai lch nh nht:

Q=

1
T 2T
lim

[ y( t ) y M ( t )]

dt

min!,

Nu vic quan st tn hiu c thc hin bng cch o ri rc dy gi

tr cc tn hiu vo/ra th hai cng thc trn c ci bin mt cch ph
hp thnh

a) Q = [ y( kTa ) yM ( kTa )]2 min!,

(1.9c)

k =

b) Q =

N
1
[y( kTa ) y M ( kTa )]2

N 2N + 1 k= N

lim

min!,

(1.9d)

trong Ta l chu k trch mu tn hiu.

2) Sai lch tng qut e(t). y l loi sai lch rt c a dng trong cc
bi ton nhn dng tham s vi m hnh tuyn tnh ng v loi sai lch
ny biu din c quan h tuyn tnh gia cc tham s cn xc nh vi

17

nhng gi tr o c {yk}, {uk} nh

hnh 1.8 m t, trong A(s), B(s) l hai
a thc ca m hnh tham s kiu (1.4)
B( s, b)
A( s, a)

G(s) =

a0

M ,

ana

vi a=

b0 + b1 s + L + bnb s

nb

a0 + a1 s + L + ana s na
b0

M .

bnb

b=

nhiu

U(s)

Y(s)

T
i tng

B(s)

A(s)

E(s)

Sai lch e(t) khi

Hnh 1.8: Sai lch tng qut.

s c biu din thng qua nh

Laplace ca n l E(s) thnh
E(s) = U(s)B(s,b) Y(s)A(s,a).
Trong nhiu ti liu, sai lch e(t) cn c gi l sai lch d bo tuyn
tnh.
Bi ton t ra l qua vic quan st cc tn hiu vo ra, xc nh nhng
vector tham s a, b sao cho
a) Bnh phng nng lng ca sai lch l nh nht:
Q=

e( t ) dt
2

min!,

(1.10a)

v nu p dng cng thc Paserval

e( t )

dt

1
2

E( j )

th (1.9a) cn c tnh trc tip trong min phc bng

Q=

1
2

E( j )

min!.

(1.10b)

trong E(j) l nh Fourier ca e(t).

b) Gi tr trung bnh ca bnh phng nng lng sai lch l nh nht:
Q=

1
T 2T
lim

e( t )

dt = lim

T 4

E( j )

dt

min!,

(1.10c)

Cng tng t nh trng hp 1), khi vic quan st tn hiu c

thc hin bng cch o ri rc dy gi tr cc tn hiu vo/ra th nhng
cng thc trn s c sa i thnh
18

a) Q = [e( kTa )]2 min!,

(1.10d)

k =

b) Q =

N
1
[e( kTa )]2

N 2N + 1 k= N

lim

min!,

(1.10e)

3) Sai lch u vo. L loi sai lch thng c dng cho lp cc bi ton
nhn dng khng c nhiu u ra. Loi sai lch u vo, do phi xc
nh m hnh ngc TM1 thay v TM nn c nhng hn ch ca n v
cho ti gia thp nin 90 t c s dng trong thc t. Khong t nm
1992 tr li y, vi s ra i ca k thut i s iu khin vi phn, s
hn ch ny dn c phn c ci thin.
1.2

Phn lp cc bi ton nhn dng

Theo nh ngha ca Zadeh v nhn dng th c ba tiu chun phn loi

mt bi ton nhn dng nh sau:

phn theo loi cc tn hiu quan st c,

phn theo lp cc m hnh thch hp,
phn theo dng sai s gia i tng thc v m hnh.
Thm vo khi tin hnh nhn dng mt i tng cn cn phi ch
ti cc iu kin khch quan do yu cu k thut nh:

thi gian quan st tn hiu khng th ln ty ,

tn hiu quan st c thng b chn.
c th ho nhng khi nim trn ca Zadeh, hy xt mt v d. Chng
hn c mt i tng T cn c nhn dng. i tng T c gi thit,
hoc t phng php l thuyt xc nh c (thng tin Apriori) l SISO
(single input single output / mt vo mt ra), tham s hng v n nh.
Nhim v ca nhn dng l trong lp cc m hnh thch hp M1 (lp cc m
hnh ng hc c tham s hng v n nh), ch nh vo quan st cc tn
hiu vo ra u(t) v y(t), xc nh mt m hnh TMM1 cho i tng sao
cho sai s gia m hnh TM v i tng tht T, c k hiu bi S(T,TM),
l nh nht.
19

Ta c bi ton nhn dng th nht nh sau:

1) Qua quan st tn hiu vo ra u(t) v y(t), tm TMM1 c S (T,TM )
min!.
Nu nh ngoi cc tn hiu vo ra, tc ng ti i tng cn c nhiu
n(t) lm cho tn hiu thu c u ra y(t) c sai lch so vi tn hiu tht y0(t)
th bi ton nhn dng ny cn c thm nhim v khng n gin cht no
l tch s nh hng ca nhiu n(t) vo y0(t). Ta c bi ton nhn dng th
hai:
2) Qua quan st tn hiu vo ra u(t), y(t) lc ra y0(t) hy tm TMM1
theo u(t) v y0(t) sao cho S(T,TM ) min!.
Thng thng, nhng bi ton nhn dng c nhiu nh bi ton 2, m
y0(t) khng tch c ra khi y(t) th bt buc phi xc nh TM M1
ph thuc vo u(t), y(t) v sau mi nh gi s nh hng ca nhiu n(t)
vo kt qu.
Vi gi thit thm rng t thng tin Apriori ca phng php l thuyt
ngi ta cn c bit thm l i tng tuyn tnh, th lp cc m hnh
thch hp by gi l tp con M2 M1 ch gm cc m hnh ng hc tuyn
tnh c tham s hng v n nh. Bi ton nhn dng ban u c n gin
thnh:
3) Qua quan st tn hiu vo ra u(t), y(t) lc ra y0(t), xc nh TM M2
theo u(t) v y0(t) sao cho S(T,TM) min!.
Tip tc, nu nh sai s S(T,TM) c cho c th l sai lch u ra vi
phng trnh biu din (1.8) th s c c bi ton s 4 nh sau:
4) Qua quan st tn hiu vo ra u(t), y(t) lc ra y0(t), hy tm TM M2

theo u(t) v y0(t) sao cho Q= [ y0 ( t ) yM ( t )]2 dt min!.

0

Gi thit thm rng t thng tin Apriori c c m hnh thch hp l

m hnh tham s hng, chng hn nh TM c c tnh tn l hm hu t

20

phc vi vector tham s a, b th lp cc m hnh thch hp by gi s l tp

con M3 M2 ch gm cc hm hu t phc G(j ,a,b).
Nu k hiu Y0(j) cho nh Fourier ca y0(t), U(j) l nh ca u(t) th
bi ton 4 tr thnh bi ton nhn dng m hnh tham s c pht biu nh
sau:
5) Qua quan st tn hiu vo ra u(t), y(t) lc ra y0(t), xc nh vector
tham s a, b c

1
2

E( j )

min!.

Nh vy, qua v d vi nm bi ton trn c th nhn thy, t mt vn

xy dng m hnh ng hc cho i tng T, vi nhng thng tin Apriori
khc nhau l nhng bi ton nhn dng khc nhau.
Trong c nm bi ton c nu trn, khi nhn dng, ta u phi o c tn
hiu vo v tn hiu ra. Bi vy nhng bi ton rt ph hp vi cc iu
kin nhn dng b ng (passive), hay cn gi nhn dng trc tuyn
(online) ca iu khin thch nghi m i tng nhn dng khng th
tch ring ra khi h thng cng nh qu trnh nhn dng phi c thc
hin song song cng vi qu trnh lm vic ca ton b h thng.
Nu nh iu kin cho php tch i tng ra khi h thng khi nhn
dng th trnh vic phi o tn hiu vo (v do bt i mt sai s o) ta
c th ch ng kch thch i tng bng mt tn hiu vo thch hp v ch
phi o tn hiu ra. Nhng dng bi ton nhn dng nh vy c gi l
kiu nhn dng ch ng (active) hay nhn dng khng trc tuyn
(offline). Mt trong nhng tn hiu u vo thng hay c s dng khi
nhn dng ch ng l tn hiu n trng, tc l loi tn hiu c mt ph l
hng s mi gi tr tn s.
1.3
1.3.1

Qu trnh ngu nhin

Khi nim

Khi o tn hiu vo/ra, trng thi nhn dng i tng hay h thng,
kt qu nhn dng s ph thuc rt nhiu vo tnh chnh xc ca cc php o
21

ny. Khc vi loi tn hiu tin nh l vi nhng iu kin o nh nhau cc

php o s cho ra cng mt kt qu th khi o tn hiu ngu nhin, mc d
cc php o u c thc hin trong cng mt iu kin, cc kt qu o s
rt khc nhau. V d o c tn hiu x(t) ngi ta c th nhn c rt
nhiu (thm ch khng m c) cc hm thi gian khc nhau. iu ny
gy khng t kh khn cho vic m t v x l chng.
Tuy nhin, nu bit c thm rng cc hm thi gian nhn c ny c
cng mt tnh cht E no c trng cho tn hiu x(t) th vic m t tn
hiu x(t) c th c thay bng vic m t tp hp x(t) ca tt c cc hm
thi gian c cng tnh cht E trn. Tp x(t) c gi l mt qu trnh ngu
nhin, trong tn hiu x(t) nhn c ch l mt phn t (hnh 1.10).
1.3.2

Cc tham s ca qu trnh ngu nhin

Mt qu trnh ngu nhin x(t) c m t mt cch y bi cc hm

phn b.
1) Hm phn b bc mt
F(x, t) = P(x(t) x)

(1.11)

xc nh xc sut xut hin hm thi gian m ti thi im t c gi tr

khng ln hn gi tr x cho trc.
2) Hm phn b bc cao
F(x1, x2 , , xn, t1, t2 , , tn) = P(x(t1) x1 , x(t2) x2 , , x(tn) xn)
xc nh xc sut xut hin hm thi gian m ti thi im tk c gi tr
khng ln hn gi tr xk , cho trc k = 1, 2, , n.
o hm ca cc hm phn b
f(x, t) =

F ( x, t )
t

f(x1, x2 , , xn, t1, t2 , , tn) =

22

(1.12a)
nF
x1 L xn

(1.12b)

c gi l mt phn b . i vi f(x, t) th t mt gi tr x>0 cho

trc, tch f(x,t) x s cho bit xc sut xut hin hm thi gian nhn c
trong khi o tn hiu m ti thi im t c gi tr nm trong khong[x, x+x ]
Cho hai qu trnh ngu nhin x(t) v y(t). Cng tng t nh vi mt qu
trnh, hm phn b cho hai qu trnh ngu nhin
F(x, y , t1, t2) = P(x(t1) x , y(t2) y)
c hiu l xc sut xut hin hm thi gian ca x(t) m ti thi im t1 c
gi tr khng ln hn gi tr x v ca y(t) m ti thi im t2 c gi tr khng
ln hn gi tr y.
Mc d cc hm phn b c th m t c y tp x(t), song n
vn cn qu phc tp. Bi vy, thay v phi xc nh c th cc hm phn
b ngi ta thng hay xc nh cc tham s ngu nhin c trng ca n.
Vi mt lp cc hm phn b c bit (v d hm Gauss) hon ton c th
t cc tham s ny xc nh c chnh xc cc hm phn b.
Nhng tham s ngu nhin ca nhng hm phn b bao gm:
1) Gi tr trung bnh:

mx(t) = M[x(t)] = x f ( x, t )dx

2) Hm t tng quan:

rx(t1, t2) = M[x(t1)x(t2)] = [x1 x2 f ( x1 , x2 , t1 , t2 )]dx1 dx2 .

(1.14)

Hm t tng quan chnh l gi tr trung bnh ca mi tng quan gia

x(t) ti thi im t1 vi x(t) ti thi im t2 .
3) Hm phng sai:
cx(t1, t2) = M[(x(t1) mx(t1))(x(t2) mx(t2))]

= [(x1 mx ( t1 )) (x1 m x ( t1 )) f ( x1 , x2 , t1 , t2 )]dx1 dx2

4) Gi tr tn mt:

x2 ( t )

= rx(t, t).

(1.16)

5) Hm h tng quan:
23

rxy(t1, t2) = M[x (t1)y(t2)] = [xy f ( x, y, t1 , t2 )]dxdy

(1.17)

6) Hm hip phng sai:

= M[(x(t1) mx(t1))(y(t2) mx(t2))] =

cxy(t1, t2)

= [(x m x ( t1 )) (y m y ( t1 )) f ( x, y, t1 , t2 )]dxdy

(1.18)

C th kim chng c ngay rng

cx(t 1 ,t 2 ) = rx(t 1 , t 2 ) mx(t 1 ) mx(t 2 )

(1.19)

cxy(t 1 ,t 2 ) = rxy(t 1 , t 2 ) mx(t 1 ) mxy(t 2 )

(1.20)

Hai qu trnh ngu nhin x(t) v y(t) c gi l khng tng quan, nu

cxy(t 1 ,t 2 ) = 0, tc l rxy(t 1 , t 2 ) = mx(t 1 ) my(t 2 ).

(1.21)

Mt qu trnh ngu nhin x(t), nu c cc tham s ngu nhin khng ph

thuc vo im gc thi gian, tc l khng thay i gi tr khi trc thi gian
c tnh tin mt khong bt k, th qu trnh c gi l qu trnh
ngu nhin dng.
Mt qu trnh ngu nhin dng x(t) c cc tnh cht sau:
a) f(x, t) = f(x, t+) vi mi R.

(1.22)

b) mx(t) = hng s =: mx , trong k hiu =: ch php gn.

(1.23)

c) rx(t1, t2) = rx(0, t2 t1) =: rx().

(1.24)

d) cx(t1, t2) =: cx() = rx()

(1.25)

e)

x2 ( t )

= rx(0)

m 2x

m 2x .

= hng s =:

x2 .

(1.26)

Hai qu trnh ngu nhin x(t) v y(t) c gi l cng nhau dng, nu

chng l nhng qu trnh dng v hm h tng quan rxy(t1,t2) khng thay
i gi tr khi tnh tin trc thi gian mt khong bt k, tc l
rxy(t1, t2) = rxy(0, t2 t1) =: rxy() = M[x(t)y(t+)]

(1.27)

C th thy ngay c rng, vi hai qu trnh cng nhau dng x(t), y(t)
c:

24

cxy(t1, t2) =: cxy() = rxy() mxmy .

(1.28)

Mt qu trnh ngu nhin x(t), nu cc tham s ngu nhin thay v phi

xc nh t ton b tp hp x(t) c th c xc nh ch vi mt phn t
i din x(t) bt k ca tp, c gi l qu trnh ngu nhin egodic. Nhng
qu trnh ngu nhin egodic phi l cc qu trnh dng (iu ngc li
khng ng) v c cc tnh cht sau:
a) mx =

lim

b) rx () =

1
2T

lim

x( t )dt .

(1.29)

1
2T

x( t )x( t + )dt .

c) rx() l hm chn v rx(0) rx().

d)

f)

lim

1
2T

x( t ) y( t + )dt .

1
2

(1.34)

[ rx(0) + ry(0)].

lim rxy ( ) = mx m y ,

rxy() = ryx()

g) rxy()
h)

(1.32)

lim rx ( ) = m 2x

e) rxy() =

nu x(t) v y(t+) khi khng tng quan.

Cc qu trnh ngu nhin c xt trong k thut thng c gi thit l

cc qu trnh egodic v t nay v sau, mi qu trnh ngu nhin trong quyn
sch ny, nu khng ni mt cch chi tit s c hiu l qu trnh egodic.
nh Fourier Sx(j) ca hm t tng quan rx() ca qu trnh ngu nhin
egodic x(t) c gi l mt ph hp ca tn hiu. Do rx() l mt hm
chn nn Sx(j) l mt hm thc (xem phn bi tp trong chng sau). Bi
vy thay v Sx(j) ngi ta thng ch vit Sx().
nh Fourier Sxy(j) ca hm h tng quan rxy() gia hai qu trnh
ngu nhin egodic x(t), y(t) c gi l mt ph cho ca tn hiu. Ch
rng khc vi mt ph hp Sx(), mt ph cho Sxy(j) ni chung l

25

mt s phc. nh ngha v nh Fourier ca mt hm thi gian cng nh

tnh cht ca n s c trnh by trong chng tip theo.
Mt qu trnh ngu nhin egodic x(t) c hm t tng quan dng hm
dirac
rx() = k(),
ni cch khc n c mt ph hp l mt hng s
Sx(j) = k,
th qu trnh ngu nhin c gi l qu trnh n trng. Mi phn t ca
mt qu trnh n trng c tn l tn hiu n trng.
1.3.3

i lng nh gi lng thng tin c trong ngun pht tn

hiu ngu nhin

Mt tn hiu c kh nng truyn ti c nhiu thng tin cng mt lc.

trnh nhm ln, ta s gi nhng thng tin c pht cng mt lc trn
ng tn hiu l mt tin tc. Qua ng tn hiu, tin tc c truyn t ni
pht (ngun thng tin) n ni nhn. Vy lm th no m ch t ni nhn tin
tc v cng ch thng qua tn hiu nhn c ta c th nh gi c lng
thng tin ca ngun pht?
Hy xem minh ha hnh 1.11 lm v d. Gi s ngun pht A c m
thng tin (tp A c m phn t). Tin tc s c ch bin t m thng tin
ny v gi sang ni nhn B. Mi tin tc l mt tp con. S cc tin tc (hay
tp con ca A) c i thng tin (phn t) chnh l

i
Cm
,

i=0,1, K , m. Bi vy

s tin tc ti a m B c th nhn c bng

m

N= Cmi = 2m
i =0

t ngc li vn . Nu B nhn c N tin tc th lng thng tin ca

ngun pht A t nht l log2 N. Ngi ta ni lng thng tin m B nhn c
t A qua N tin tc l
~
H1 =log2 N

26

(1.36)

Nh vy i lng

~
H1

l mt o cho lng thng tin ca ngun pht

A thng qua tp cc tin tc m B nhn c. i lng ny c tn l

Entropie loi 1 vi n v o l bit.
K hiu N cc tin tc m B nhn c l x1, K , xN v c n xc
sut p(xi) m tin tc th i c truyn, nm 1947 Shannon m rng cng
thc (1.36) xc nh lng thng tin ngun pht c tnh n tnh ngu
nhin pht tin nh sau
~
H2 =

p( xi ) log 2 p( xi )

(1.37)

i =1

v c gi l Entropie loi 2. Trng hp tt c N tin tc x1, K , xN c

pht vi cng xc sut nh nhau
p(x1) = L = p(xN) =

1
N

th vi (1.37) c
~
H2 =

i =1

i =1

p( xi ) log 2 p( xi ) = N log 2

1
N

=log2 N= H~1

v do (1.37) khng mu thun vi (1.36).

Xut x, hai cng thc (1.36), (1.37) c nh ngha nh l mt o
cho lng thng tin ca mt ngun pht. Thc t, chng li c ngha s
dng nhiu hn trong vic so snh v xc nh xem ngun pht no nhiu
thng tin hn trong s cc ngun pht c. Mt khc vic tnh lnN li
thng dng hn log2N. Bi vy ngha s dng ca (1.36), (1.37) s khng
thay i nu chng c nhn vi hng s ln2 xut hin lnN. Ta i n
cng thc ci bin c tnh ph thng hn nh sau:
H1 =lnN
v

H2 = p( xi ) ln p( xi )

(1.38)
(1.39)

i =1

Tng t, khi nim Entropie loi 1 c Smylie nh ngha thnh i

lng o lng thng tin c trong ngun pht mt qu trnh ngu nhin

27

(egodic) x(t), m mi mt tin tc x(t) l mt hm lin tc theo t, nh

sau

H1 = ln Sx ( )d .

(1.40)

Cng nh vy, khi nim Entropie loi 2 cho lng thng tin ca ngun
pht qu trnh ngu nhin x(t) l:

H2 = Sx ( ) ln Sx ( )d .

(1.41)

Cu hi n tp v bi tp
1. Th no l mt bi ton nhn dng b ng m hnh c tham s, mt
bi ton nhn dng ch ng m hnh khng c tham s?. Nu v d
minh ha.
2. Xt i tng iu khin l mt h c gm l xo c v mt vt khi
lng m. Vt s chuyn ng trn trc nm ngang di tc ng ca
lc F (hnh 1.12). Lc F c xem nh l tn hiu vo v qung ng
s m vt i c l tn hiu ra (p ng ca i tng). Hy xc nh
lp cc m hnh thch hp m t i tng. c c mt m hnh
c th tng i chnh xc cho i tng th ngi ta phi lm g
thm?.
3. Hy xc nh lp cc m hnh thch hp cho h c hnh 1.13 gm 1
l xo, mt vt c khi lng m v khu suy gim vn tc d. Tn hiu
vo ca h l lc u(t) tc ng vo vt, tn hiu ra l qung ng y(t)
m vt i c. c c mt m hnh c th tng i chnh xc
cho i tng th ngi ta phi lm g thm v nh th no?.
4. Gi s rng t cc thng tin Apriori ban u ngi ta xc nh
c rng mt i tng tuyn tnh s c m hnh dng
G(s) =

k
1 + Ts

Kch thch i tng bng mt tn hiu 1(t) ti u vo ngi ta thu

c p ng y(t) nh hnh 1.14. Hy tm cc tham s k v T cho m
hnh trn.
28

5. Hy chng minh cc cng thc (1.22) (1.26) v tnh cht ca qu

trnh ngu nhin dng v (1.29)(1.35) v tnh cht ca qu trnh ngu
nhin egodic.
6. C th ni mt qu trnh ngu nhin egodic cng l mt qu trnh ngu
nhin dng c khng v ti sao?
7. Mt qu trnh ngu nhin dng c phi l mt qu trnh ngu nhin
egodic khng v ti sao?
8. Mt ngi i xe my c 4 s s1=0, s2=1, s3=2 v s4=3. Bit rng xc
sut s dng cc s ca ngi l p(s1)=0,08; p(s2)=0,12 ; p(s3)=0,3
v p(s4)=0,5. Hy tnh lng thng tin (Entropie) nh gi vic s
dng s ca ngi li xe ny.

29

Nhn dng m hnh khng tham s nh phn tch ph tn hiu

K hiu h(t) l hm qu ca i tng, tc l p ng ca i tng

khi c kch thch bi tn hiu Heaviside ti u vo
1 khi t 0
0 khi t < 0

1(t) =

Theo nh ngha nu ngay t chng m u th vic m hnh ha i tng

chnh l vic m t nh x gia tn hiu vo u(t) v tn hiu ra y(t):
TM: u(t) a y(t)
Vi i tng tuyn tnh, nh x trn s c m t bi tch phn Duhamel:
y(t) =

d t
h( t )u( )d
dt 0

tc l thng qua h(t) ta lun xc nh c y(t) t tn hiu u vo u(t). Bi

vy hm qu h(t) m t y i tng v do n c th c xem
nh l mt m hnh (khng tham s) ca i tng.
Cng nh vy, nu gi g(t) l hm trng lng, tc l p ng ca i
tng khi c kch thch bi tn hiu dirac (t) ti u vo
(t) =

dh( t )
dt

(2.1)

th nh x TM : u(t) a y(t) m t quan h vo/ra s l

t

y(t) = u(t)h(0)+ u( ) g( t )d .
0

Ni cch khc, ging nh h(t), thng qua g(t) ta lun c c y(t) t u(t) v
do g(t) cng c th c xem nh l mt m hnh khng tham s ca i
tng.

Nh vy, vic nhn dng m hnh khng tham s s ng ngha vi vic

nhn dng hm qu h(t) hay hm trng lng g(t). Mt trong nhng
phng php nhn dng m hnh khng tham s n gin nht cho i
tng tuyn tnh l phng php ch ng (active) xc nh hm qu h(t)
bng cch kch thch i tng vi tn hiu Heaviside ti u vo ri o tn
hiu u ra. Hnh 2.1 l mt v d minh ha kt qu nhn dng ch ng m
hnh khng tham s h(t) ca ng c xoay chiu ba pha theo cch thc va
trnh by trong trng hp l tng rng khng c nhiu tc ng vo i
tng v cc php o l chnh xc 100%.
h(t)

(vng/pht)

1500
1200
900
Hnh 2.1: Kt qu nhn dng ch ng m hnh
khng tham s cho ng c xoay chiu ba
pha.

600
300
4

12

(giy)

Tuy nhin, khng phi lc no cng c cc iu kin l tng p dng

c phng php nhn dng ch ng. Trong bi ton nhn dng thc t
ngi ta lun phi tnh ti kh nng c nhiu tc ng ln i tng, cng
nh li hoc nhiu c ln trong gi tr ca php o tn hiu dn ti kt qu
thu c c sai s nh hng ti s ng dng sau ny ca m hnh. Mt
khc bi ton nhn dng ch ng lun yu cu i tng phi c tch ri
khi h thng v phi c kch thch bng mt tn hiu chn trc m iu
ny khng phi lc no cng thc hin c. T l do , y chng ta s
khng i su thm vo nhng phng php ch ng nhn dng m hnh
khng tham s vi nhng tn hiu mu t trc u vo, m thay vo
l cc phng php nhn dng b ng (passive) c kh nng loi b nh

31

hng ca nhiu trong qu trnh nhn dng v mt trong cc phng php

nh vy l nhn dng bng phn tch ph tn hiu.
Vi (2.1) th t g(t) ta cng suy ra c h(t) v ngc li nn bi ton
nhn dng m hnh khng tham s s c gi l gii quyt xong nu
nh xc nh c g(t) hay nh Fourier G(j) ca n. Chng ny s
trnh by cc phng php nhn dng ng c tnh tn G(j) cng nh
dy cc gi tr {Gn} vi Gn =G(jn) cho mt i tng tuyn tnh cn nhn
dng trn c s quan st c hai tn hiu vo v ra (nhn dng passive/ hay
online), bao gm cc ni dung sau:

Nhn dng mt ph tn hiu bng k thut DFT. nh gi sai s v

cc k thut lm gim sai s.
Xc nh hm trng lng, hm qu t ph tn hiu theo thut ton
cc tiu sai lch.
Sau khi c ng c tnh tn Gn =G(jn) m t i tng, trong
chng 3 chng ta s lm quen tip cc phng php khc nhm xc nh
cu trc m hnh cng nh tham s ca n t m hnh khng tham s thu
c.
2.1

Ton t Fourier ri rc (DFT)

Ton t Fourier ri rc (discret Fourier transformation DFT) l mt

trng hp c bit ca ton t Fourier lin tc (CFT), c s dng
phn tch tn hiu ri rc c thi gian sng hu hn, v d nh nhng tn
hiu ch tn ti trong mt min thi gian gii ni [0,T), ngoi min ny th
c coi l bng 0.
Nhng tn hiu ri rc, c thi gian sng hu hn x(t) u c th biu
din c di dng mt dy s hu hn {xk}, k = 0, 1, K , N1 rt tin
cho vic x l chng trn my tnh. S bng n ng dng ca my tnh
trong cc ngnh k thut hin nay a DFT ln v tr s mt trong t
ng ha phn tch v x l thng tin, tn hiu.

32

Tuy nhin, phn ln cc tn hiu c trong t nhin li u tn ti di

dng lin tc, v ch v tin cho khu t ng x l chng m ngi ta
phi ri rc ha cng nh hu hn ha thi gian sng ca n, bin n thnh
mt tn hiu ri rc, c min xc nh gii ni. iu lm cho nh
Fourier, hoc ph ca tn hiu thu c nh ton t DFT, c cha sai s so
vi ph tnh bng ton t Fourier lin tc. Vic phn tch sai s ca DFT v
ra cc phng php lm gim sai s l nhim v chnh ca s ng
dng ton t DFT.
Sau y, mt s kt qu chnh ca vic nghin cu ny s c trnh by
bao gm:

DFT l dng ton t Fourier lin tc (CFT) theo quan im hm m

rng,
sai s ca DFT so vi CFT do vic ri rc ha tn hiu sinh ra hiu
ng trng ph (aliasing),
sai s ca DFT so vi CFT do vic hu hn ha thi gian sng sinh ra
hiu ng r r (leakage),
trong DFT s c xy dng bng cch xem n l ton t Fourier lin
tc trn quan im l thuyt hm m rng dirac (t).
2.1.1

Hm m rng dirac

C th ni rng, nh c l thuyt hm m rng (distributions) m bn

cht ton hc ca "hm s" dirac (t) mi c hiu mt cch cht ch v
tng qut. Th ti sao khng c khi nim hm m rng th bn cht hm
dirac li cha c hiu cht ch?. Ta hy xt mt v d minh ha.
V d: T tnh cht
L{ dx }= sX(s) x(+0)
dt

ca ton t Laplace, trong L l k hiu ch php bin i Laplace v X(s)

l nh Laplace ca x(t), ta s c vi x(t)=1(t) iu phi l sau:
L{(t)} = s 1 1
s

1= 0.

33

iu phi l trn dn ngi ta ti suy ngh rng cng thc chnh xc

phi l:
L{ dx }= sX(s) x(0) = sX(s)
dt

(v x(t) 0 khi t < 0)

v cng thc ny c th c chng minh cht ch vi khi nim hm m

rng.

x(t)
Hnh 2.2: Hm l nh x t D vo

(t)

R
x(0)

Khi nim "hm m rng" ca (t) xut pht t bn cht "khng hm

s" ca n, chng hn n khng ng nh nh ngha ton hc kinh in l
nh x t R vo R. Thc cht n l mt php tnh chuyn i hm lin tc
x(t) thnh s thc.
Nu gi D l tp tt c cc hm x(t) lin tc, c
supp x(t)={ t R x(t) 0}
gii ni trn R (hm c thi gian sng hu hn) th hm m rng dirac (t)
c hiu l mt nh x lin tc, tuyn tnh, t D vo R (hnh 2.2) nh sau
(t )

x(t) x(0) := ( t ) x( t )dt ,

(2.2)

trong du tch phn khng c ngha ton hc nh tch phn Riemann

hay Lebegues m thun ty n ch l mt biu tng ni rng php tnh
(t):D R c cc php bin i trong tnh ton (cng, tr, nhn, chia, o
hm, K) ging nh mt tch phn. Chng hn nh cc php tnh sau:
1)

34

( t ) x( t )dt = ( t ) x( t + )dt

(2.3a)

2)
3)

&( t ) x( t )dt = ( t ) x& ( t )dt = x& (0)

( at ) x( t )dt =

1
a

t
a

hay (at)=

( t ) x dt

(2.3b)
1
a

(t)

(2.3c)

Cng t cc tnh cht ny m cng thc (2.2) nh ngha hm dirac

c vit thnh

xk =x(kTa) = ( t kTa ) x( t )dt = ( t ) x( t + kTa )dt .

(t) cn
(2.4)

Nhng khi nim tng qut v hm m rng ni chung (khng ring hm

dirac (t)) bn c c th tm thy trong chng 5 ca quyn sch ny.
2.1.2

M hnh ha qu trnh ri rc tn hiu

Cng thc nh ngha (2.4) c gi l cng thc trch mu tn hiu x(t)

ti thi im t=kTa. Nhm thng nht ngha v k hiu trch mu tn hiu
x(kTa) cho c hai cch vit vi hm dirac (t) v vi hm Kronecker k(t)
1 khi t=0
0 khi t 0

k(t) =
tc l

xk =x(kTa)=k(t kTa)x(t)=k(t kTa)x(kTa),

t nay v sau cng thc nh ngha (2.4) s c vit li thnh
xk =x(kTa)= (t kTa)x(t)= (t kTa)x(kTa),

(2.5)

trong php nhn gia hm dirac (t) vi mt hm thng x(t) phi hiu
l php tch phn (2.2).

a)

b)

sa(t)

Ta
Hnh 2.3:

xa(t)

Ta

a) th hm rng lc.
b) M hnh ha qu trnh trch mu tn hiu.

35

 thu c dy cc gi tr {xk} vi xk =x(kTa), tc l dy biu din cc

gi tr ca tn hiu x(t) ti nhng thi im K , Ta , 0 , Ta , K , t (2.5) ta
c

k =

k =

{xk}:= x( t ) ( t kTa ) =x(t) ( t kTa ) .

(2.6)

Nu k hiu xa(t) l dy {xk} v sa(t) l hm m rng

sa(t) = ( t kTa ) ,

(2.7)

k =

th vic ri rc ha x(t) thnh dy gi tr {xk} biu din c qua tch

{xk}:= xa(t) = x(t)sa(t)

(2.8)

v do xa(t) cng l mt hm m rng (tch ca hm m rng vi hm

thng l mt hm m rng). Hm sa(t) cn c gi l hm rng lc
(hay hm ri rc ha).
2.1.3

nh Fourier ca hm m rng

Cho n lc ny, khi nim hm dirac (t) c tm tt tng i y

, v nh ngha, tnh cht, v quan trng hn c l v cc php bin i
c xy dng trn ngha hm m rng. Tuy nhin, c th p dng
c chng vo vic m t DFT nh mt ton t Fourier lin tc trn D th
vn cn thiu khi nim v nh Fourier ca hm m rng m trong mt vi
ti liu khc nhau cn c gi l ton t Fourier m rng.
T nay v sau ta s thng nht vi nhau rng, khi ni n tn hiu x(t), th
x(t) c hiu l mt hm thng v lin tc tng khc. Nu tn hiu x(t)
lin tc ti Ta th gi tr x(Ta) ca tn hiu x(t) ti thi im Ta theo ngha
hm m rng s l
x(Ta):= (t Ta)x(t)=x(Ta) (t Ta).
By gi ta xt ton t Fourier. Cho tn hiu x(t). Nu x(t) tha mn:
1)

x( t ) dt < (tc l mt s hu hn),

36

2) trong mt khong gii ni bt k lin tc tng khc ch c hu hn cc

im cc tr,
3) ti im khng lin tc t0 tha mn
x(t0) =

1
2

[x(t00)+ x(t0+0)]

th x(t) c nh Fourier X(j) xc nh bi

X(j) = x( t )e jt dt

(2.9a)

v ngc li x(t) cng c suy ra t X(j) theo

x(t) =

1
2

X ( j )e

jt

(2.9b)

C th nhn thy ngay rng ton t Fourier l mt ton t tuyn tnh, tc l

a x(t)+ b y(t) a a X(j )+b Y(j ).
Cng tng t nh i vi hm thng, nh Fourier Xa(j) ca hm m
rng xa(t) thu c nh tnh cht tuyn tnh ca ton t Fourier:

Xa(j)

x( t ) ( t kTa ) e jt dt

k =

= xa ( t )e jt dt =

= x( t ) ( t kTa )e jt dt ,
k =

v cng vi cng thc nh ngha (2.2) c:

Xa(j)

x( kTa ) ( t kTa )e jt dt
k =

44424443
1
e jkTa

= xk e jkTa .

(2.10)

k =

Theo (2.10), Xa(j) l mt hm tun hon vi chu k a= 2 , tc l

Ta

Xa(j ) = Xa[j( +n a)],

trong n l s nguyn (n Z).

37

2.1.4

Quan h gia X(j) v Xa(j)

Nh vy, thay cho kt qu l tm nh Fourier X(j) ca x(t), sau khi thc

hin vic ri rc ha ta li ch thu c Xa(j). c th t Xa(j) tnh
ngc ra c X(j) th cn thit phi xc nh c mi quan h gia
X(j) v Xa(j).
Trc ht ta chng minh hai nh l sau.
nh l 2.1:

(t) =

1
2

cos( t )d = alim

sin( at )
t

(2.11)

Chng minh:
Xut pht t hai cng thc nh ngha (2.9b) v (2.9a) v ton t Fourier ta
c
x(0) =

1
2

X ( j )d = 2 x( t )e

jt

dt d

jt

d x( t )dt

v sau khi so snh vi (2.2) s c

(t) =

1
2

j t

d .

Nhng v
e jt = cos(t ) j sin(t )

sin(t)d =0

do hm sin l hm l, nn cui cng ta c iu phi chng minh th nht:

(t) =

1
2

cos( t )d .

(2.12)

Tip tc, nu vit (2.11) thnh

(t) = lim

1
a 2

cos( t )d = alim

s c c iu phi chng minh th hai.

38

sin( t )
2 t a

nh l 2.2 (Papoulis): nh Fourier Sa(j) ca hm rng lc sa(t) nh

ngha bi (2.7) cng l mt hm rng lc v c dng (hnh 2.4)

Sa(j) = a ( n a )
n =

Sa(j)

Hnh 2.4: nh Fourier ca hm rng lc cng

l hm rng lc.

Chng minh:
Cng li xut pht t cng thc nh ngha ton t Fourier th

Sa(j) = e jnTa

n =

v do Sa(j) tun hon vi chu k a= 2 . Bi vy s nu ta chng

Ta

minh c rng trong ln cn im 0 hm Sa(j) c gi tr

Sa(j) =a().

(2.14)

p dng cng thc tnh tng ca mt cp s nhn cho (2.13)

Sa(j)

= e jnTa = lim e jnTa

N
n= N

n =

1
sin( N + ) Ta
2
= lim
Ta
N
sin
2

sin( N + )Ta

Ta
= lim
Ta
N

Ta

sin
14444244443
2
(Ta )

v theo cng thc trch mu (2.5) th iu ny tng ng vi

Sa(j) = ( Ta )

lim

Ta 0

Ta
Ta

sin

Kt hp cng tnh cht (2.3c), suy ra c

39

Sa(j) =2(Ta) = 2 ().

Ta

v chnh l cng thc phi chng minh.

Tr v vn chnh l xc nh mi quan h gia X(j) v Xa(j). Nh
li mt tnh cht ca ton t Fourier lin tc l nh ca tch hai hm trong
min thi gian chnh l tch chp ca hai nh trong min phc x(t)y(t) a
X(j)*Y(j), trong tch chp trong min phc c nh ngha bi
X(j)*Y(j) =

1
2

X ( j )Y [ j( )]d ,

th t cng thc (2.8) m t qu trnh trch mu, c

Xa(j) =

1
2

X ( j )Sa [ j( )]d .

(2.15)

Thay cng thc ca nh l 2.2 vo (2.15) c

Xa(j)
=

=
1
Ta

1
2

2
X ( j )
Ta

n =

n a ) d

X ( j ) ( n a )d
n =
1444442444443

X [ j( n a )]

v cui cng ta i n nh l 2.3:

nh l 2.3: Gia nh Fourier Xa(j) ca xa(t) v X(j) ca x(t) c mi
quan h
Xa(j) =

1
Ta

X [ j( n a )] .

(2.16)

n =

(2.16) l cng thc rt p, m t quan h gia hai nh Xa(j), X(j).

Ch ring cng thc ny ni ln c hiu ng trng ph ca DFT v bn
cht nh l Shannon s c cp ti ngay trong mc tip theo.

40

2.1.5

Hiu ng trng ph v nh l Shannon

Hiu ng trng ph (aliasing) c trc tip nhn thy trong nh l 2.3

v hnh 2.5 biu din cng thc (2.16). l hin tng m cc thnh phn
tha ca X(j) c ln trong Xa(j) khi dch trc ta thc hin php
cng (2.16).
X(j)

a)

Xa(j)

b)

Hnh 2.5:

a) Ph X(j) ca tn hiu x(t).

b) Ph Xa(j) ca tn hiu xa(t), tc l ca dy {xk}.

loi b cc thnh phn tha ny th t cng thc (2.16) ca nh l

2.3 c
TaXa(j) =

X ( j ) +

X [ j( n a )]

n =
n0

144424443

Bn cht hiu ng trng ph

v do hin tng trng ph s mt nu (hnh 2.6)

X [ j( n a )] = 0

n =
n0

1 a < 1 a .
2

Trong trng hp X(j)=0 khi | | >

Ta

a
2

(2.17a)

th c (2.17a) ta ch cn chn

2
a

v lc ny, ph X(j) s c suy ra t Xa(j) mt cch n gin nh sau

Xa(j) =

1
X ( j )
Ta

khi

1 a < 1 a .
2

(2.17b)

41

T nhng kt lun trn ta suy ra c:

nh l 2.4 (Shannon): Nu ph X(j) ca tn hiu x(t) ng nht bng 0
ngoi min gii ni
Ta

2
a

a
2

, th vi chu k trch mu

(2.18)

nh X(j) ca x(t) s suy ra c Xa(j) ca xa(t)={xk} theo cng thc

(2.17b).
Cng thc (2.18) c gi l chu k trch mu Nyquist v nh l 2.4 trn,
ngoi tn gi nh l Shannon, cng cn c mt gi khc l Katelnikov, bi
l Shannon v Katelnikov c lp vi nhau tm ra n.
X(j)

a)

b)

Xa(j)

Hnh 2.6: Gii thch nh l ShannonKhatelnikov v chu k trch mu ca Nyquist.

2.1.6

Hiu ng r r (leakage) v k thut hm ca s

Mc d ri rc ha tn hiu x(t) thnh dy {xk}= xa(t), vic tnh ph

Xa(j) theo cng thc (2.10)
Xa(j)

= xk e jkTa

(2.19)

k =

vn cha th thc hin c trn my tnh ch v mt l do l dy {xk} c

v s s hng (k chy t n ) v iu ny ng ngha vi vic thi
gian quan st (o) tn hiu T phi ln v cng.

42

 c th ci t (2.19) thnh thut ton tnh Xa(j) th cn thit phi ct

bt nhng s hng xk khi k nm ngoi khong quan st [0,T), hay ni cch
khc phi hu hn ha thi gian sng ca tn hiu x(t), xa(t):
x( t ) khi 0 t < T
~
x(t) =
khi t T hoc t < 0
0

x(t) a

xa(t) a

x ( t ) khi 0 t < T
~
xa ( t ) = a
khi t [0 , T )
0

Qu trnh hu hn ha thi gian sng ca tn hiu x(t), xa(t) thnh ~x ( t ) ,

~
x a ( t ) theo cc cng thc trn c th m t c mt cch rt n gin bng
cch nhn chng vi hm ca s w(t) nh ngha nh sau (hnh 2.7)
1 khi 0 t < T

0 khi t [0 , T )

w(t) =

(2.20)

tc l
~
x(t) =

w(t)x(t)

~
xa ( t ) =

w(t)xa(t).

(
~
x(t) , ~
xa ( t )

x(t), xa(t)

t
Ta

w(t)

t
T

Hnh 2.7: M t qu trnh hu hn ha thi gian sng ca tn hiu.

Sau khi hu hn ha thi gian sng ca tn hiu theo (2.21) v p dng

cng thc (2.19) xc nh nh Fourier X~ a ( j ) ca ~xa ( t ) ta c
~
X a ( j )

= xk e jkTa ,

(2.22)

k=0

43

vi N l s nguyn nh nht nhng khng nh hn

T
Ta

Nh vy, khi hu hn ha thi gian sng ca xa(t) vi khong [0,T)

thnh ~xa ( t ) =w(t)xa(t), ta s ch nhn c nh Fourier X~ a ( j )
~
X a ( j ) =W(j)*Xa(j)

ca

~
x a ( t ) ch

~
X a ( j ) ,

1
2

W ( j ) X a [ j( )]d

khng phi Xa(j) ca xa(t) nh mong i v gia hai nh

Xa(j) ny tn ti mt sai lch c gi l sai lch r r (leakage).

Sai lch ny cng nh nu T cng ln. Tuy nhin khng th p dng phng
php tng thi gian qua st T gim sai lch r r, v nh th ta s quay tr
li bi ton u l thi gian quan st tn hiu v cng ln.
Mt gii php khc c s dng gim sai s r r l k thut hm ca
s. T tng ca phng php ny nm m hnh hu hn ha thi gian
sng tn hiu theo cng thc (2.21) v vn t ra l phi tm c hm
ca s thch hp w(t) sao cho bnh phng sai lch

Q=

2
~
X a ( j ) X a ( j ) d

t gi tr nh nht. y chnh l mt bi ton ti u phi tuyn [12], [13].

Li gii tng th cho bi ton ti u trn cha c, song Geckinli, Yavus
a ra trong [5] nhng tnh cht cn c ca nghim ti u w*(t) nh sau:
1) w*(t+ T ) l hm chn, khng m,
2

2) w*( T ) = 1,
2

3) khi o hm bc m ca w*(t) khng lin tc ti mt im t [0,T] no

th cc im cc i ca ng c tnh tn logarit ca w*(t T )
2

trong min phc phi tin n 0 vi vn tc ln hn 6(m+1)dB/dec.

Cn c theo ba tnh cht trn ngi ta a ra bng cc hm ca s lm
gim sai lch r r mt cch hiu qu thng c s dng nh sau:
44

1 khi 0 t < T
0 khi t [0, T )

a) Xung vung w0(t) =

b) Cosinus w1(t)

(t )

2 khi 0 t < T
= cos
T

0
khi t [0, T )

c) Bartlett w2(t) =

t 1
khi 0 t < T
1 2
T
2

0
khi t [0, T )

(2 t T )

0,5 + 0,5 cos

khi 0 t < T
T
0
khi t [0, T )

d) Hanning w3(t) =

( 2t T )

0,54 + 0,46 cos

khi 0 t < T
T
0
khi t [0, T )

e) Hamming w4(t) =

2 (2t T )
( 2t T )

0,42 + 0,5 cos

+ 0,08 cos
khi 0 t < T
T
T
0
khi t [0, T )

f) Blackman w5(t) =

g) Papoulis w6(t)

h) Parzen w7(t)

( 2t T )
sin
2t T

T
( 2t T )
=
+1cos
khi 0 t < T

T
T

0
khi t [0, T )

2t T
(2t T )2
khi 0 t < T hoc 3T t < T
1 6
1
2

T
4
4

3

2t T
khi T t < 3T
= 21
T
4
2

khi t [0, T )
0

w0(t)

a)

b)

w3(t)
1
t

t
Hnh 2.8.:

a) Xung vung.
b) Hm Bartlett

45

Sau khi chn c mt hm ca s thch hp v nhn vi dy gi tr

tn hiu o c l {xk}=xa(t), gi tr tn hiu c xk tr thnh
~
xk =

xk wi(kTa) vi

i=0,1, K ,7

(2.23)

v khi ph tm c s l
~
X a ( j )

N 1

k=0

~
xk e jkTa

trong N l s nguyn nh nht khng nh hn

(2.24)
T
Ta

So snh vi hin tng trng ph m sai lch trng ph c th c

loi b hon ton cho lp tn hiu x(t) c di bng b chn bng cch chn
chu k trch mu Ta tha mn cng thc Nyquist (2.18), mt cu hi s
c t ra y l vi lp tn hiu nh th no th khng xut hin sai s
r r?.
tr li cu hi ny, trc ht ta chng minh nh l sau:
nh l 2.5: Nu x(t) l mt hm tun hon vi chu k T th x(t) biu din
c di dng
x(t) = xT(t)*sT(t),
(2.25)
trong xT(t) l hm xc nh trong min [0,T) v ti xT(t)= x(t),
sT(t) l hm rng lc vi khong cch bc rng l T, ni cch khc
x( t ) khi t [0, T )
khi t [0, T )
0

xT(t) =
v

sT(t) = ( t kT )
k =

Chng minh:
Xut pht ngay t cng thc nh ngha hm xT(t) ta c

46

x(t) = xT ( t kT ) = xT ( t ) ( kT )d
k =

k =

[ xT ( t )

( t kT )]d = xT ( t )ST ( )d

k
=4

1
4244
3

ST ( )

v chnh l iu phi chng minh.

Nu x(t) l tn hiu tun hon vi chu k T th khi ri rc ha thnh xa(t),
vi chu k ly mu Ta c chn sao cho T=NTa trong mt chu k ly
c ng N mu, th xa(t) cng tun hon vi chu k T. Bi vy
xa(t) = xTa ( t ) * sT ( t )
vi
hay

x ( t ) khi t [0, T )
xTa ( t ) = a
0 khi t [0, T )
xTa (t )

l dy hu hn

xTa (t ) ={x0,

x1, K ,xN1} c N phn t.

Suy ra

N 1

N 1

x k e jkTa ( t n )
=0
k=0
1k4
4
42444
314
4
42444
3
ST ( j )
X Ta ( j )

Xa(j)

= X Ta ( j )ST ( j ) =

Xa(j)

= X Ta ( jn ) ( ) .

n =

Ni cch khc, Xa(j) l mt hm ri rc, c gi tr ti nhng im tn s

n, nZ. Song v Xa(j) tun hon vi chu k

a= 2 =N
Ta

nn cui cng ta cng ch cn xc nh cc gi tr ca Xa(j) ti =n vi

n=0, L , N1 (trong vng mt chu k) l v nhng gi tr l
N 1

Xa(jn) =

k=0

x k e jknTa

, n=0, L , N1

47

do khng cn thit phi hu hn ha thi gian sng cho xa(t) v tng trn
ch gm c hu hn N s hng.
Tng kt li, ta i n kt lun:
nh l 2.6: Nu x(t) l mt hm tun hon vi chu k T v x(t) c ri rc
ha thnh xa(t) vi chu k ly mu

Ta =

T
N

th nh Fourier Xa(j) ca

xa(t) l tng ca hu hn cc s hng (nn khng cn phi p dng k

thut hm ca s v do khng xut hin sai s r r). Ngoi ra Xa(j)
l mt hm tun hon vi chu k a= N, c gi tr ri rc ti nhng
im =n .
2.1.7

Kt lun v DFT v thut ton FFT

Vic tnh ph X(j) ca tn hiu x(t) theo thut ton DFT cho ra kt
qu X~ a ( j ) m gia chng tn ti hai loi sai lch sinh ra bi hiu ng trng
ph (aliasing) v hiu ng r r (leakage). Hai sai lch ny c phn
tch trong nhng mc trn thng qua hm m rng (t).
i vi nhng tn hiu x(t) tha mn gi thit ca nh l Shannon, tc l
cc tn hiu c di bng b chn X(j) 0 khi

a
2

, ta c th loi b

c sai lch ca hiu ng trng ph bng cch chn chu k trch mu Ta

theo cng thc (2.18) ca nh l Shannon.
Vi tn hiu khng tun hon, gim sai lch ca hiu ng r r ta p
dng k thut hm ca s bng cch chn mt hm ca s thch hp trong
s cc hm c lit k ti mc 2.1.6 thay v ch n gin l ct bt
nhng nhng gi tr xk = x(kTa) nm ngoi khong thi gian quan st tn
hiu [0,T).

48

x(t)

Trch mu tn
hiu

xa(t)

~
xa ( t )

Hu hn ha thi gian
sng ca tn hiu

p dng (2.24)
tnh ph

~
X a ( j )

X(j)

x(t)

Vic trch mu s sinh

ra hiu ng trng ph.

xa(t)

Xa(j)

Ta
Vic hu hn ha thi
gian sng ca tn hiu s
sinh ra hiu ng r r.

~
xa ( t )

~
X a ( j )

t
T
Hnh 2.9: Cc bc thc hin ton t DFT v nguyn nhn ca cc sai s.

Sau khi chn c chu k trch mu v hm ca s, ta bin i tn

hiu x(t) thnh ~xa ( t ) . Tip theo, p dng cng thc (2.24) xc nh
~
X a ( j )

v tch

~
Ta X a ( j )

s c xem nh l ph gn ng ca x(t).

Cc bc tnh ph gn ng

~
X a ( j )

ca tn hiu lin tc x(t) c tm

tt trong s hnh 2.9.

d nh cng thc tnh

~
Ta X a ( j )

c xem nh l kt qu gn ng

ca X(j), c th xut pht t cng thc nh ngha ton t Fourier (2.9a),

trong du c thay bi , dt thay bi Ta, i x(t) thnh tch xk wk v
c
N 1

X(j) Ta X~ a ( j ) = Ta

k=0

xk wk e jkTa

By gi ta i vo vn ci t thut ton DFT vi cng vic chnh l ci

t cng thc (2.24). C th thy ngay rng vic ci t trc tip (2.24) cha
th c v u ra (kt qu) X~ a ( j ) ca n vn cn l mt hm lin tc.
49

Nhm khc phc kh khn , ta s khng tnh trc tip

vo l

~
N

cc gi tr ri rc

~
X a ( jn ) ,

n=0,1, K ,

~
N 1

~
X a ( j )

m thay

ca n vi l

chu k trch mu trong min phc. Cng thc (2.24) tr thnh

~
X a ( jn )

N 1

k=0

~
xk e jnkTa

n=0,1, K ,

~
N 1

(2.27)

Vy vi nh th no v vi N~ ln bao nhiu bao nhiu th vic ci t

s thun li m khng nh hng n kt qu tnh ton?. Trc ht, c th
thy ngay rng N~ cng ln v cng nh th cng tt, song do c kt lun
rng X~ a ( j ) tun hon vi chu k a nn thc cht ch cn cc gi tr
~
X a ( jn )

trong mt chu k l v s l c

~
N

gi tr ca

~
X a ( jn )

trong mt chu k khi

2
= ~
N
NTa

= ~a

(2.28)

Bi vy hiu qu cng vic tnh ton ch ph thuc vo mt mnh

~
N cng ln, kt qu cng tt.

~
N

v vi

Thut ton Fourier nhanh (c vit tt thnh FFT) l mt thut ton c

bit thc hin nhanh cng thc (2.27). Thut ton FFT do Cooley v
Tukey tm ra nm 1965. T ti nay thut ton c b sung, pht trin
thm rt nhiu v a dng.
V ngha thc t ca thut ton FFT, Bergland nhn xt rt kinh t
trong [2] nh sau: The fast Fourier transform algorithm can reduce the
time involved in finding a discret Fourier transform from several minutes to
less than a second and lower the cost from several dolars to several cents.
Sau y, ta s lm quen vi thut ton FFT thi khai sinh do Cooley v
Tukey tm ra cho trng hp
N= N~ =2 p ,

50

vi

pN,

hay N= N~ l mt s nguyn ly tha ca 2. Cc dng khc ca FFT cho

nhng gi tr N, N~ bt k, c gi quan tm c th tm thy ti liu [3]
ca Brigham.
Khi c N= N~ th

~
NTa = NTa = T

v do vi (2.28) cng thc (2.27) ca

DFT s l
~
X a ( jn )

N 1

k=0

~
xk e

2
nk
N

n=0,1, K , N1

Hy xt (2.29) nh l mt a thc P0(q0) bc N1 ca bin q0= e

cc h s ~xk , k =0,1, K , N1:
P0(q0)

N 1

k =0

vy N cc gi tr

~
xk q0k

2
N

(2.30)

~
X a ( jn ) ,

n=0,1, K , N1 ca cho

~
X a ( j )

trong mt chu

k ng nhin c xc nh t P0(q0) qua

~
X a ( jn ) =

P0 ( q0n ) .

nh l 2.5: Bin s q0 trong cng thc (2.31) l nghim phc ca phng

trnh xN=1 v c gi l nghim bc N ca ng trn n v, tha
mn cc tnh cht sau:
a) q0 0 ;

q0N

N 1

= 1 v

k=0

q0nk

b) nu N=2m vi mN th

= 0; nZ.
q0n = q0n + m

q02 ;

cng l nghim phc bc

m ca ng trn n v.
Chng minh:
Do

q0N = e j 2

= cos(2)jsin(2) = 1 nn hin nhin q0 l nghim phc bc

N ca ng trn n v v q0 0. Thay cng thc ca q0 vo tng trn ta

c iu phi chng minh th nht
N 1

k=0

q0nk =

q0nN 1 e 2 jn 1
=
=0.
q0 1
q0n 1

Mt khc, do
51

q0m = e

2 m
N

= e j = cos( ) j sin( ) =

nn
q0n = q0n + m

Bi vy vi
q02nm = q0Nn = 1

th

q02n

cng l nghim phc bc m ca ng trn n v v chnh l

iu phi chng minh th hai.

Da vo nh l trn, vi iu kin N=2m; mN, ta s tch P0(q0) (c
gi l a thc m) ca (2.30) thnh hai a thc (gi l cc a thc con)
P00(q1) bc m1 gm cc bin bc chn v P01(q1) cng c bc m1 gm cc
bin bc l nh sau:
m 1

P0(q0)

k=0

m 1

k =0

~
x2 k q02 k +

~
x2 k q1k + q0

m 1

k=0

m 1

n =0

~
x2 k +1 q02 k +1

~
x2 k +1 q1k

(q1 = q02)

= P00(q1) + q0P01(q1).

(2.32)

S 0 u trong ch s 00 v 01 ca P00(q1) v P01(q1) xc nh rng P00(q1),

P01(q1) cng c tch ra t a thc gc P0(q0). Cc s 0 v 1 sau trong
ch s 00 v 01 c dng phn bit hm a thc tch ra l chn hay l.
nh l 2.6: Nhng gi tr P0 ( q0n ) , n=0,1, K , N1 ca a thc m P0(q0)
c xc nh t hai a thc con P00(q1) v P01(q1) theo cng thc c
cu trc hnh bm (Butterfly) nh sau:
P0 ( q0n ) = P00 ( q1n ) +

q0n P01 ( q1n )

P0 ( q0n + m ) = P00 ( q1n )

q0n P01 ( q1n ) ,

(2.33a)
n=0,1, K ,m1.

Chng minh:
T (2.32) c ngay c ng thc th nht.
ng thc th hai c suy ra t tnh cht
52

q0n = q0n + m nh

sau:

(2.33b)

P0 ( q0n + m ) = P0 ( q0n ) = P00 ( q1n )

v

q0n P01 ( q1n )

q1 = q02

v chnh l iu phi chng minh.

D thy rng khi c P00 ( q1n ) v P01 ( q1n ) , n=0,1, K ,m1 th vi
(2.33) s cc php tnh nhn phc phi thc hin xc nh
P0 ( q0n ) = X~ a ( jn ) , n=0,1, K ,N1 s ch bng mt na so vi khi p dng
trc tip (2.31). C th y th s cc php nhn phc phi thc hin
tnh

~
X a ( jn )

chnh l

q0n P01 ( q1n ) ,

n=0,1, K ,m1. Thng qua vic gim

mt na s cc php tnh nhn phc m tc tnh ton c tng ln gp

i.
Tip tc, nu nh m=2s, hay N=4s th li c th phn tch hai a thc
P00(q1) v P01(q1) thnh tng cc a thc bc thp hn, c th l bc s1,
theo ng nguyn l lm vi P0(q0) nh sau:
P00(q1) = P000(q2) + q1P001(q2)
(q2 = q12 = q04).

P01(q1) = P010(q2) + q1P011(q2),

Cc gi tr P00( q1n ), P01( q1n ), n=0,1, K ,s1 cng s c xc nh mt

cch tng t nh cc a thc con P000( q2n ), P001( q2n ), P000( q2n ) v P001( q2n )
theo cng thc Butterfly
P00( q1n ) = P000( q2n ) + q1n P001( q2n )
P00( q1n + s ) = P000( q2n ) q1n P001( q2n )

(2.34a)

P01( q1n ) = P010( q2n ) + q1n P011( q2n )

P01( q1n + s ) = P010( q2n ) q1n P011( q2n ).

(2.34c)

v
(

lL

Tng qut ln cho trng hp N= 2 , L>1 th ti bc tch a thc th l

t a thc m PKb ( ql ) , trong b=0 hoc 1, s c cc a thc con PKb0 ( ql +1 )
v

PKb1 ( ql +1 ) , ql +1 = ql2

c bc L1. Nhng gi tr

PKb ( qln ) ,

ca cc a thc

m cng c xc nh t cc gi tr tng ng ca nhng a thc con theo

cng thc Butterfly:
53

PKb ( qln ) = PKb0 ( qln+1 ) + qln PKb1 ( qln+1 ) ,

= PKb0 ( qln+1 ) qln PKb1 ( qln+1 ) ,

PKb ( qln + L )

(2.35a)
n=0, K ,L1

(2.35b)

Khi N = 2 p , ta thay L=2 v l=p1 vo (2.35) v thu c cng thc

Butterfly cho bc tch a thc th p1. y cng l bc tch a thc cui
cng v cc a thc con PKb0 ( q p ) v PKb1 ( q p ) lc ny u l nhng a thc
bc nht.
Sau khi c c nhng gi tr

PKb0 ( q np ) , PKb1 ( q np ) ,

n=0, 1 ca

2 p1 a

thc con ti bc tch a thc cui cng, ta p dng (2.35) tm nhng gi

tr PKb ( q np 1 ) ca 2 p 2 a thc m PKb ( q p 1 ) . Tip tc, li s dng cng thc
Butterfly tm gi tr cc a thc m ca cc a thc

PKb ( q p 1 ) .

Qu trnh

trn s c thc hin ngc li vi quy trnh tch a thc cho ti khi xc
nh c cc gi tr ca a thc gc P0(q0) ng vi bc tch a thc u
tin. Theo (2.31) th chnh l N gi tr

~
X a ( jn ) ,

n=0,1, K , N1 cn

tm. S cc php tnh nhn phc phi thc hin xc nh

~
X a ( jn )

gim

xung cn 2pN thay v N N~ = N 2 so vi khi tnh trc tip t (2.29).

Trn y l ni dung thut ton FFT. Thut ton FFT c ci t
thnh nhng hm chun trong cc chng trnh tin dng. V d nh trong
Toolbox Signalprocessing hay Identification ca MatLab. Cch s dng
chng cng rt n gin, ta ch cn gi hm vi gi tr u vo l dy
{ ~x k }, k=0,1, K , N1. u ra ca hm s l dy kt qu { X~ a ( jn ) }, n=0,
0,1, K , N1.
V d 1: Tm nh Fourier ca dy { ~x k }={1,2,3,4,5,6,7,8} theo cng thc
(2.29).
t
7

P0(q0) = ~xk q0k = 1 + 2q0 + 3q02 + 4 q03 + 5q04 + 6 q05 + 7 q06 + 8 q07 ,
k =0

trong q0= e

54

2
2
j
2
2

Bc 1: Tch a thc
P00(q1) = 1 + 3q1 + 5q12 + 7 q13 ,
j

P01(q1) = 2 + 4 q1 + 6 q12 + 8 q13

vi q1 = q02= e 2 = j .
Tip tc tch P00(q1) v P01(q1) thnh
P000(q2) =1+5q2 , P001(q2) =3+7q2 , P010(q2) =2+6 q2 ,P011(q2) =4+8 q2 ,
vi q2 = q12 = q04= e j =1
Bc 2: Tnh gi tr
P000(q20) =6,

P000(q2) =4,

P010(q2 ) =8,
P010(q2) =4,
p dng cng thc Butterfly:

P001(q20) =10,

P001(q2) =4,

P011(q2) =4.

P011(q2 ) = 12,

P00( q10 )=P000( q20 )+ q10P001(q20)=16, P00( q12 )=P000( q20 ) q10P001( q20 )=4,
P00(q1)=P000(q2)+q1P001(q2)=4+4j, P00( q13 )=P000(q2)q1P001(q2)= 44j,
P01( q10 )=P010( q20 )+q10P011(q20)=20,

P01( q12 )=P010( q20 ) q10P011( q20 )=4,

P01(q1)=P010(q2)+q1P011(q2)= 4+4j, P01( q13 )=P010(q2)q1P011(q2)= 44j.

p dng tip cng thc Butterfly ln na ta s thu c kt qu
~
X a (0 ) =P0( q00 ) = P00( q10 )+ q00 P01( q10 ) = 36
~
4
X a (4 ) =P0(q0 ) = P00( q10 ) q00 P01( q10 ) = 4
~
X a ( ) =P0(q0) = P00(q1)+q0P01(q1) = 4+(4+4 2 )j
~
5
X a (5 ) =P0(q0 ) = P00(q1)q0 P01(q1) = 4+(44 2 )j
~
2
2
2
X a (2 ) =P0(q0 ) = P00(q1 )+ q02 P01(q1 ) = 4+4j
~
6
2
2
X a (6 ) =P0(q0 ) = P00(q1 ) q02 P01(q1 ) = 44j
~
3
3
3
X a (3 ) =P0(q0 ) = P00(q1 )+ q03 P01(q1 ) = 4+(4 2 4) j
~
7
3
3
X a (7 ) =P0(q0 ) = P00(q1 ) q03 P01(q1 ) = 4(4+4 2 )j.

Di y l chng trnh con fft() vit bng ngn ng C m t vic ci

t thut ton trn tham kho. Chng trnh con fft() c cc bin hnh
thc l
a) Nexp cha s m ly tha 2 ca N, vi N l di ca dy tn hiu
vo { ~x k }, k=0,1, K , N1, tc l Nexp =log2N.
55

b) Con tr x ch vo u mng x[] cha dy gi tr u vo { ~x k }, k=0,1,

K , N1, theo th t x[0]= ~x0 , K, x[N-1]= ~x N 1 . Nh vy mng x[]
phi c cc phn t phc v c di t nht l 2Nexp.
Cc gi tr

~
X a ( jn ) ,

n=0,1, K , N1 tnh c s c chng trnh

con fft() ghi li vo mng x[] cng theo th t x[0]= X~ a (0 ) , K, x[N1]= X~ a ( j( N 1) ) . Nh vy sau khi thc hin xong dy { ~x k } s b xa v
thay vo l kt qu { X~ a ( jn ) }. Mng x[] ca hm fft() va cha cc gi
tr u vo { ~x k }, va cha cc gi tr u ra { X~ a ( jn ) } ca thut ton nn
n phi l mng cc s phc.
void fft(int Nexp,complex *x)
{
int N=pow(2.,Nexp),N1=Nexp,N2,k,l,p,m,i;
complex s,wp;
N2=N;
for (l=0;l<Nexp;l++)
{
N1--;
N2=N2/2;
for (k=0;k<N;k+=N2)
{
m=k/pow(2.,(double)N1);
p=ibr(m,Nexp);
wp=exp(complex(0.,-M_PI*2*p/N));
for (i=0;i<N2;i++)
{ s=x[k+N2]*wp;
x[k+N2]=x[k]-s;
x[k++]=x[k]+s;
}
}
}
for (k=0;k<N;k++)
{
i=ibr(k,Nexp);
if (i>k){ s=x[k]; x[k]=x[i]; x[i]=s;}
56

}
}
Chng trnh fft() trn s dng mt hm con ibr() c nhim v tch a
thc v sau sp xp li mng gi tr { X~ a ( jn ) } tnh c. Hm con ibr()
c hai bin vo:
a) index cha ch s c ca gi tr

~
xk

l k trong mng x[].

b) Nexp cha s m ly tha 2 ca N, tc l Nexp =log2 N.

Hm ibr() tr v ch s mi phi c ca gi tr

~
xk

trong mng x[].

int ibr(int index, int Nexp)

{ int k=0,i,j=index;
for (i=0;i<Nexp;i++)
{
k=2*k+(j%2);
j=j/2;
}
return (k);
}
V d 2: Ta s thc hin li v d 1, nhng ln ny s dng hm fft().
Trc tin vit chng trnh to dy u vo gm 8 gi tr
{ ~x k }={1,2,3,4,5,6,7,8} nhng phi l cc gi tr phc cho mng x[] v sau
gi hm fft():
void main()
{
complex *x;
int i,Nexp=3,N=8;
x=new complex [N];
for (i=0;i<N;i++) x[i]=complex(double (i+1));
fft(Nexp,x);
for (i=0;i<N;i++)
printf("\nx[%d]=(%f,%f)",i,real(x[i]),imag(x[i]));
delete [] x;
getch();
}

57

Chng trnh s cho ra kt qu:

x[0]=(36.000000,0.000000)
x[1]=(-4.000000,9.656854)
x[2]=(-4.000000,4.000000)
x[3]=(-4.000000,1.656854)
x[4]=(-4.000000,0.000000)
x[5]=(-4.000000,-1.656854)
x[6]=(-4.000000,-4.000000)
x[7]=(-4.000000,-9.656854) .

Kt hp fft() cng vi k thut hm ca s nhm lm gim sai s r r v

quan h (2.17b) ta s c c hm dft() vit trn C cho sau y phc v
vic tnh nh Fourier X(jn) ca mt tn hiu x(t) t dy cc gi tr tn hiu
xk = x(kTa), k = 0, 1, K , N1 ca n. Hm dft() c cc bin hnh thc sau:
a) Con tr x ch u mng s thc x[] cha cc gi tr tn hiu o c xk
= x(kTa), vi k = 0, 1, K , N1.
b) Ta cha hng s thi gian trch mu tn hiu Ta .
c) N l s cc gi tr tn hiu xk = x(kTa) o c.
d) w l ch s hm ca s c s dng lm gim sai s r r. y
chnh l ch s i ca wi(t) cho trong mc 2.1.6, bi vy i ch c ngha
khi nm trong khong 0 i7. Nu gi tr ca w nm ngoi khong
[0,7] hm dft() s s dng hm ca s xung vung w0(t).
e) Con tr X ch u mng s phc X[] cha cc gi tr nh Fourier
X(jn), n=0,1, K , tnh c vi =

2
Ta

trong phi l s

nguyn dng ly tha ca 2 khng nh hn N ph hp vi chng

trnh con fft(). Hm dft() tnh nh Fourier ca dy {xk} gm phn
t v cc phn t xk c ch s k t N n 1 c gn bng 0 sau
ct kt qu vo mng X[] c di t nht l .
Hm tr v gi tr l di ca mng X[] cha kt qu X(jn). Ni
dung ca mng u vo x[] khng b thay i.
58

int dft(double *x, double Ta, int N, int w, complex *X)

{
int i,k,p,Nexp=0;
double T=Ta*N,s,t;
k=N/2;
for (i=0;i<=k;i++)
{
t=Ta*(double)(i-k);
s=fw(w,t,T);
X[i]=complex(x[i]*s*Ta);
if((i>0)&&(i!=(p=(N-i)))) X[p]=complex(x[p]*s*Ta);
}
while ((k=pow(2.,Nexp))<N) Nexp++;
for (i=N;i<k;i++) X[i]=complex(0.);
fft(Nexp,X);
return(k);
}
Hm dft() trn s dng thm hm con fw() c nhim v ph gip vic
to dy { ~x k } t dy gi tr cc tn hiu {xk} cho trong mng x[] theo
cng thc
~
xk =

xkwi(kTa)

bng cch xc nh wi(t+ T ) khi bit ch s i, thi gian t v khong thi

2

gian sng T ca tn hiu. Hm c cc bin hnh thc

a) w cha ch s hm ca s c s dng. Ni dung ca w l mt s
trong khong [0,7]. Nu gi tr ca w ln hn 7, hm fw() s s dng
hm ca s w0(t).
b) t l gi tr thi gian.
c) T cha gi tr T xc nh suppwi(t)=(0, T) xem thm hm ca s
mc 2.1.7.
Hm fw() tr v gi tr s = wi(t+ T ) tnh c.
2

double fw(int w, double t, double T)

{
59

double s;
switch(w)
{
case 1:
case 2:
case 3:
case 4:
case 5:

s=cos(t*M_PI/T); break;
s=1.-2.*fabs(t)/T; break;
s=0.5+0.5*cos(t*2*M_PI/T); break;
s=0.54+0.46*cos(t*2*M_PI/T); break;
s=0.42+0.5*cos(t*2*M_PI/T)+0.08*cos(t*M_PI*4/T);
break;
case 6: s=fabs(sin(t*M_PI*2/T)/M_PI)+1.2.*fabs(t/T)*cos(t*M_PI*2/T);
break;
case 7: if(fabs(t)<(T/4)) s=1.-24.*t*t*(1.2.*fabs(t/T)/(T*T));
else s=2.*pow(1.-2.*fabs(t/T),3.); break;
default: s=1.;
}
return(s);
}
2.1.8

Ton t DFT ngc

Mc 2.1.7 trnh by thut ton FFT c dng tnh nhanh cc gi

tr { X~ a ( jn ) } t dy { ~x k }, k=0,1, K , N1 theo cng thc
~
X a ( jn )

N 1

k=0

~
xk e

2
nk
N

n=0,1, K , N1,

trong ~xk l mu tn hiu x(t) ti thi im t= kTa c nhn vi gi tr

hm ca s w(kTa) cng ti thi im theo (2.23) nhm lm gim sai s
r r:
~
x k = xkw(kTa)
Kt hp vi thut ton FFT m c th l hm fft(), hm dft() cho trong mc
2.1.7 c nhim v tnh
X(jn) Ta X~ a ( jn )
v n c xem nh l cng thc tnh gn ng ca ton t Fourier
60

X(j) = x( t )e jt dt

(2.36)

Bi ton ngc c xt y l tm x(t) t cc gi tr ph c ca n

X(jn), n=0,1, K , N1, trong X(jn) l gi tr ca X(j) ti im tn
s =n= 2n , tc l xc nh
NTa

x(t) =

1
2

j t

X ( j )e

(2.37)

Thay = vo (2.37)
x(t) =

1
2

X ( j ' )e

j ' t

(2.38)

d '

ri so snh vi (2.36) th thy ngoi hng s

1
2

chng c cu trc hon

ton tng t. C th l vai tr ca x(t) trong (2.36) th nay trong (2.38)

c thay bi
X(j') =

X ( j ' )

cn X(j) trong (2.36) th li c thay bng x(t). Do , nu l lun nh

lm vi DFT ta s i n cng thc tnh xp x cho x(t) nh sau
x(kTa)

N 1

w( n ) X ( jn )e

n =0

2
kn
N

1
NTa

N 1

n =0

~ j
Xne

2
kn
N

(2.39)

trong w() l hm ca s trong min phc nhm lm gim sai s r r

ca php tnh Fourier ngc v X~ n = w( n ) X ( jn) .
Khng k hng s

1
NTa

th (2.39) chnh l cng thc ca DFT (2.29) vi

dy cc gi tr u vo:
{ w( n ) X ( jn ) }, n=0,1,K, N1.
Ni cch khc, thut ton FFT hay hm fft() khng nhng c tc dng
tnh { X~ a ( jn ) } t dy { ~x k } m cn c th c dng xc nh ngc
~
xk t

dy cc gi tr lin hp
~
X n = w( n ) X ( jn )

61

ca nh Fourier ca n.
p dng kt qu thu c trn, ta i n thut ton s dng FFT cho
vic tnh ngc gi tr x(kTa) ca tn hiu x(t) nh sau:
1) To dy { w( n ) X ( jn ) }, n=0,1, K , N1 t cc gi tr ph X(jn) ca
tn hiu.
2) Gi hm fft() vi u vo va to. Kt qu u ra s l dy N1 cc gi
tr ~xk , k=0,1, K , N1.
3) Tnh x(kTa)

~
xk
NTa

, k=0,1, K , N1 vi Ta=

2
N

Thut ton trn c ci t thnh chng trnh con invdft() vit trn
C cho di y tham kho. Chng trnh con ny c cc bin hnh thc
sau:
a) Ta l chu k ly mu tn hiu. Tc l dy gi tr u vo {X(jn)},
n=0,1, K , N1, s c =

2
NTa

b) Nexp cha s m ly tha 2 ca N. Nh vy dy tn hiu vo

{X(jn)} ca chng trnh s c di l N=2Nexp.
c) w xc nh hm ca s c s dng nhm gim sai s r r ca k
thut DFT. Ni dung ca w l ch s 0 i7 ca wi(t) cho trong mc
2.1.6. Nu gi tr ca w nm ngoi khong [0,7] chng trnh s s
dng hm ca s xung vung w0(t).
d) Con tr x ch u mng s phc x[] cha dy gi tr u vo
{X(jn)}, n=0,1, K , N1, theo th t x[0]=X(0), K, x[N-1]=
X(j(N1)). Mng x[] phi c di t nht l 2Nexp.
Dy kt qu {x(kTa)}, k=0,1, K , N1 s c chng trnh invdft()
ghi li vo mng x[]. Ni cch khc, sau khi thc hin chng trnh thc
hin xong, dy {X(jn)} s b xa v thay vo l dy kt qu {x(kTa)}.
void invdft(double Ta, int Nexp, int w, complex *x)
{
int i,k,p,N=pow(2,Nexp);
double T=Ta*N,s,t;
62

k=N/2;
for (i=0;i<=k;i++)
{
t=Ta*(double)(i-k);
s=fw(w,t,T);
x[i]=conj(x[i])*s/T;
if((i>0)&&(i!=(p=(N-i)))) x[p]=conj(x[p])*s/T;
}
fft(Nexp,x);
}
2.2

Nhn dng mt ph tn hiu

Cho hai qu trnh ngu nhin u(t) v y(t). Nh quy c chng 1,

nu khng c ch dn g thm, hai qu trnh ngu nhin ny s c hiu l
nhng qu trnh ngu nhin egodic. Qu trnh u(t) c xem nh l tp hp
ca tt c cc tn hiu u vo u(t) c th c ca i tng v cng nh vy
y(t) c xem l tp hp tt c cc tn hiu u ra y(t) c th c t i
tng.
Nhn dng mt ph Su(), Suy(j) tc l phi xc nh nh Fourier
ca hm tng quan ru(), ruy() theo cng thc WienerChitchin:

Su() = ru ( t )e jt dt

Suy(j) = ruy ( t )e jt dt

(2.40)

trong Su() thun thc v ru() l hm chn, bi vy n c vit n

gin l Su() thay cho Su(j).
Vi nh ngha trn th c Su(), Suy(j) trc ht ta phi tnh c
ru(), ruy() trn c s quan st cc tn hiu vo ra u(t), y(t). Ni cch khc
vic nhn dng Su(), Suy(j) theo nguyn tc phi gm hai bc:
1) Xc nh ru(), ruy() t dy gi tr tn hiu {uk}, {uk}, k=0,1, K ,
N 1.
2) Tnh Su(), Suy(j) t ru(), ruy() theo cng thc WienerChitchin
(2.40) nh k thut DFT, c th l hm dft() trnh by mc 2.1.

63

Vn t ra y cng ging nh trong mc trc l vic quan st tn

hiu ch c th c thc hin trong khong [0,T), nn cng ch c th
cung cp c dy {uk}, {uk}, k=0,1, K , N 1 hu hn cc gi tr tn
hiu u(kTa), y(kTa), trong N l s nguyn nh nht khng nh hn

T
Ta

iu ny dn ti Su(), Suy(j) nhn c khng phi mt ph chnh

xc ca tn hiu m ch l nhng gi tr gn ng.
Sau y, trong phn ny ta s lm quen vi nhng phng php xc nh
xp x Su(), Suy(j) thng qua vic quan st tn hiu trong khong thi
gian hu hn [0,T) cng nh k thut lm tng chnh xc cho kt qu.
2.2.1

Nhn dng hm tng quan

T nay v sau, khi nim hm tng quan s c hiu chung l hm t

tng quan ru() v hm h tng quan ruy().
Do khong thi gian quan st [0,T) cc tn hiu vo ra u(t), y(t) l hu
hn nn tng minh ta s thay u(t), y(t) bi u~( t ) , ~y( t ) bng cch nhn u(t),
y(t) vi hm ca s xung vung w0(t) nh sau
u( t ) khi 0 t < T
0 khi t [0, T )

~( t ) =
u

u(t)w0(t) =

~
y( t ) =

y(t)w0(t) =

y( t ) khi 0 t < T
0 khi t [0, T )

Khi hai cng thc tnh hm tng quan ru(), ruy() cho trong (1.30),
(1.33) c sa li thnh
1 T~ ~
~
ru ( ) =
u( t )u( t + )dt
T 0

(2.41a)

1 T~ ~
~
ruy ( ) =
u( t ) y( t + )dt ,
T 0

(2.41b)

v tt nhin

~( t ) , ~
u
y( t )

do vic sa h s

64

cng l nhng phn t bt k ca tp hp u(t), y(t). L

1
2T

trong (1.30), (1.33) thnh

1
T

nm bn cht khi

nim gi tr trung bnh mi tng quan ca ru() v ruy(), tc l phi chia

gi tr tch phn (tng) cho ng khong thi gian quan st tn hiu (hay
s cc s hng nu du tch phn c thay bng du tng).
Trc ht ta chng minh nh l sau:
nh l 2.7: Hm tng quan

~
ru ( ) v ~
ruy ( ) xc

nh theo (2.41) s ng

nht bng 0 khi nm ngoi khong (T, T).

Chng minh: Khi (T, T) ta lun c

~( t + ) =0
u

~
y( t + ) =0

vi mi

t[0,T). Do cng c
~( t )u
~( t + ) = u
~( t )~
u
y( t + ) =

0,

t[0,T), (T, T)

v chnh l iu phi chng minh.

Vn t ra y l kt qu quan st tn hiu u(t), y(t) trong khong
thi gian t[0,T) khng phi l u~( t ) , ~y( t ) m ch l nhng gi tr u~k = u~( kTa ) ,
~
yk = ~
y( kTa ) ,

k=0,1, K , N 1 ca chng, trong Ta l khong thi gian

trch mu, N l s nguyn nh nht khng nh hn

T
Ta

. Nu p dng k

thut hm m rng (t) m hnh ha qu trnh trch mu ny, ta s c

c cng thc tnh gn ng ~ru ( ) v ~ruy ( ) nh sau:
~
ru ( mTa )
~
ruy ( mTa )

1
N
1
N

N 1

(2.42a)

u~k u~k + m

k=0

N 1

u~k ~yk + m

k=0

bng cch thay { u~k }, { ~yk } vo (2.41), i du thnh , thay dt bng Ta .

Do { u~k }, { ~yk } l nhng dy hu hn vi k=0,1, K , N1, tc l khi k 0
hoc k N c

~ = ~
u
yk =
k

0, nn ngoi khong 0 k< Nmth

~
~
u
k + m = yk + m =

0.Bi vy hai cng thc (2.42a) v (2.42b) c th sa li c thnh:

~
ru ( mTa )

1
N

N m 1

u~k u~k + m

(2.43a)

k=0

65

~
ruy ( mTa )

1
N

N m 1

(2.43b)

u~k ~yk + m

k=0

Mt khc, mun tnh gi tr trung bnh

~
ru ( mTa ) , ~
ruy ( mTa )

mt cch chnh

xc, ta chia tng c c cho ng s cc s hng c trong tng v i n

dng khc ca (2.43) nh sau
~
ru ( mTa )
~
ruy ( mTa )

1
Nm
1
Nm

N m 1

(2.44a)

u~ku~k + m

k=0

N m 1

(2.44b)

u~k ~yk + m

k=0

C hai cng thc (2.43), (2.44) u c s dng tnh gn ng cc

gi tr ~ru ( mTa ) , ~ruy ( mTa ) ca hm tng quan, trong (2.44) c gi l
cng thc unbias (tc l s khng cn sai lch tnh khi N ) v (2.42) l
cng thc bias (vn cn sai lch ngay c khi N ).
Theo nh l 2.7, th vi m N c
~
ru ( mTa ) = ~
ruy ( mTa ) =

0,

do trong cng thc tnh xp x (2.42), (2.44) ch s m ch cn chy t

N+1 n N1 l .
Ngoi ra, kt hp thm vi tnh cht (1.31), (1.34) v hm tng quan, ta
cng khng cn phi tnh ~ru ( mTa ) , ~ruy ( mTa ) cho tt c ch s m t N+1 n
N1, m ch cn tnh cho m t 0 n N1, v khi m<0 gi tr ca
~
ru ( mTa ) , ~
ruy ( mTa ) s suy c ra t cc gi tr i xng ~
ru ( mTa ) , ~
ryu ( mTa ) :
~
ru ( mTa ) = ~
ru ( mTa ) ,

~
ruy ( mTa ) = ~
ryu ( mTa ) .

Tm li, c hai cch tnh gn ng hm tng quan nh sau:

1) Cng thc bias
~
ru ( mTa )

66

1 N m ~1 ~

uk uk + m
N k=0
~
vi
ru ( mTa )

vi

m = 0,1,K, N 1

m = N + 1,K,1

(2.45)

 1 N m ~1 ~
vi m = 0,1,K, N 1

uk yk + m
~
ruy ( mTa ) N k = 0
~
vi m = N + 1,K,1
ryu ( mTa )

(2.46)

2) Cng thc unbias

~
ru ( mTa )

1
1 N m~
~
uk u
vi m = 0,1,K, N 1

k+m
N m k=0
~
vi m = N + 1,K,1
ru ( mTa )

1
1 N m~
uk ~
yk + m

~
ruy ( mTa ) N m k = 0
~
vi
ryu ( mTa )

(2.47)

m = 0,1,K, N 1

vi

(2.48)

m = N + 1,K,1

Mt iu cn ch thm l mc d nhng cng thc trn cho php tnh

c gn ng 2N1 gi tr

~
ru ( mTa ) , ~
ruy ( mTa ) ,

m= N+1,K,1,0,1, K , N1

~ ,
u
k

k=0,1, K , N1 ca tn hiu

ca hm tng quan t N gi tr o c
vo u(t) v N gi tr

~
yk ,

k=0,1, K , N1 o c ca tn hiu ra y(t), nhng

v thi gian o l hu hn nn vi |m| cng ln, s cng c t gi tr

~ ,~
u
k y k tham gia vo cng thc (2.45)(2.48), (hnh 2.10), do sai s s
cng ln. Bi vy, trong s 2N1 gi tr

~
ru ( mTa ) , ~
ruy ( mTa ) tnh

c ch c

mt s t cc gi tr xung quanh im 0 l tng i chnh xc.

~
u
k

Hnh 2.10: M t sai s ph thuc vo m ca cc

gi tr hm tng quan ~
ruy ( mTa ) .

~
yk + m
mTa

~ , ~
Thnh phn u
k yk
tham gia vo cng thc
tnh hm tng quan

Vy ly bao nhiu th ?. tr li cu hi ny, ngi ta lp bi ton

thng k v i n kt lun trong [10], [12] rng con s l khong 520%
ca 2N1, tc l ch ly thc s cc gi tr
~
ru ( mTa ) , ~
ruy ( mTa )

|m|M

vi

( 2 N 1)
20

( 2 N 1) ,
5

67

trong M c gi l ch s Lag (ct bt).

Mt hm cor()vit trn ngn ng lp trnh C thc hin vic ci t thut
ton nhn dng hm h tng quan ~ruy ( mTa ) theo cc cng thc
(2.45)(2.48) cho di y tham kho.
Hm cor()c 6 bin hnh thc, bao gm:
a) Con tr u ch u mng s thc u[] cha cc gi tr

~ ,
u
k

k=0,1, K ,

~
yk ,

k=0,1, K ,

N1.
b) Con tr y ch u mng s thc y[] cha cc gi tr

N1.
c) S nguyn N cha di hai dy { u~k }, { ~yk }, tc l cha ch s N.
d) S nguyn M cha ch s Lag, tc l di cn phi c ca dy kt
qu r[].
e) S nguyn bias xc nh gi tr hm tng quan s c tnh theo
cng thc bias (bias=1) hay unbias (bias1).
f) Con tr r ch u mng s thc r[] cha cc gi tr ~ruy ( mTa ) , m = 0,1,
K , M tnh c theo th t r[0]= ~ruy (0) , r[1]= ~ruy (Ta ) , K ,
r[M]= ~ruy ( MTa ) .
Hm tr v gi tr bo li bng 0 nu M<N hoc bng 1 trong trng hp
ngc li. Hm khng lm thay i ni dung cc mng u[], y[].
int cor(double *u, double *y, int N, int M, int bias, double *r)
{
int m,k,err=0;
if (M<N)
for (m=0;m<=M;m++)
{
r[m]=0.;
for(k=0;k<N-m;k++) r[m]=r[m]+u[k]*y[k+m];
if (bias==1) r[m]=r[m]/N;
else r[m]=r[m]/(N-m);
}
else err=1;
return (err);
68

}
Mun tnh gi tr hm t tng quan

~
ru ( mTa ) ,

m=0,1, K , M ta gi hm

trn vi hai dy u vo u[k], y[k] cha cng mt gi tr l u[k]= y[k]= u~k ,

k=0,1, K , N1. Cng nh vy, tnh nhng gi tr cn li

~
ruy ( mTa ) ,

m=M,K,1,0 ca hm h tng quan ta gi hm cor()vi cc gi tr u

vo u[k]= ~yk , y[k]= u~k , k=0,1, K , N1. Kt qu s l r[0]= ~ruy (0) ,
r[1]= ~ruy ( Ta ) , K , r[M]= ~ruy ( MTa ) .
V d: Vit chng trnh nhp d liu v gi hm cor()
void main()
{
double *u,*y, *r;
int N,M,i,k,bias;
printf ("N= "); scanf ("%d",&N);
printf ("M= "); scanf ("%d",&M);
printf ("bias= "); scanf ("%d",&bias);
u=new double [N+1]; y=new double [N+1]; r=new double [M+1];
for (i=0;i<N;i++){printf ("u[%d]=",i); scanf ("%lf",u+i);}
for (i=0;i<N;i++){printf ("y[%d]=",i); scanf ("%lf",y+i);}
printf("err=%d\n",i=cor(u,y,N,M,bias,r));
if (i==0) for (k=0;k<=M;k++) printf("r[%d]=\t%1.4f\n",k,r[k]);
delete [] u;
delete [] y;
delete [] r;
getch();
}
sau thc hin vi cc gi tr sau cho t bn phm
N =4, M =2, bias =1, u[0]=y[0]=1, u[1]=y[1]=2, u[2]=y[2]=3, u[3]=y[3]=4,
ta s nhn c
err=0, r[0]=7,5; r[1]=5,0 v r[2]=2,75.

69

2.2.2

Nhn dng mt ph

Khi nim nhn dng gin tip mt ph c hiu l xc nh cc gi

tr mt ph thng qua vic nhn dng hm tng quan, tc l nhn dng
hm tng quan trc ri sau s dng dft() tnh gi tr mt ph.
xc nh mt Su(), Suy(j) ta i t cng thc WienerChitchin
(2.40) cho ~ru ( ) v ~ruy ( ) s c
T

~
Su ( ) =

~ru ( )e

~
Suy ( j ) =

~ruy ( )e

(2.40)

Ging nh lm vi tn hiu x(t) mc 2.2, y ta li s dng hm

(t) m t qu trnh trch mu ~ru ( ) , ~ruy ( ) thnh ~ru ( mTa ) , ~ruy ( mTa ) , m=N+1,
K ,1,0,1, K , N1 v i n cng thc tng ng vi (2.29) nh sau
~
Su ( n N ) =

~
Suy ( jn N ) =

trong N=
cc hm

N 1

Ta

~
ru ( mTa )e

jmn

2
2 N 1

(2.49a)

m = N +1

N 1

Ta

~
ruy ( mTa )e

jmn

2
2 N 1

(2.49b)

m = N +1

2
(2 N 1)Ta

l khong thi gian ly mu gi tr mt ph ca

~
~
Su ( ) , Suy ( j ) trong

min phc v nh vy ta c th s dng k

thut DFT thc hin hai cng thc trn.

Tuy nhin, nh cp mc trc, do ch c cc gi tr
~
ru ( mTa ) , ~
ruy ( mTa ) vi ch s |m| nh l cn tng i chnh xc, nn ta s
khng ly tt c 2N1 gi tr

~
ru ( mTa ) , ~
ruy ( mTa )

c vo vic tnh mt

ph m ch ly mt s t nm xung quanh im 0, gii hn bi ch s Lag M

~
ru ( mTa ) , ~
ruy ( mTa )

|m|M.

Cc gi tr khc khng b i m n thun c xem l bng 0. Ni cch

khc ta s xc nh nh Fourier ca dy gi tr gm 2N1 phn t nh sau
0,L,0, ~ru ( MTa ) ,L, ~ru ( Ta ) , ~ru (0) , ~ru (Ta ) ,L, ~ru ( MTa ) ,0,L,0
70

(2.50a)

0,L,0, ~ruy ( MTa ) ,L, ~ruy ( Ta ) , ~ruy (0) , ~ruy (Ta ) ,L, ~ruy ( MTa ) ,0,L,0 (2.50b)
Vi vic p dng ch s Lag ct bt nhng gi tr

~
ru ( mTa ) , ~
ruy ( mTa )

c sai

s ln , hai cng thc (2.49) tr thnh:

~
Su ( n N ) =

Ta ~ru ( mTa )e

jmn

2
2 N 1

m=M

~
Suy ( jn N ) =

Ta ~ruy ( mTa )e

jmn

2
2 N 1

m=M

~
ru ( ) , ~
ruy ( )

~
ru ( ) , ~
ruy ( )

Dy gm c 2N-1 s hng

Dy gm c 2N-1 s hng

Hnh 2.11: p dng thut ton FFT cho dy gi tr (2.50).

Cng vic cui cng c th p dng c hm dft() mt cch trc tip

cho dy (2.50) tnh nh Fourier S~u ( n N ) , S~uy ( jn N ) ca n l phi
chuyn hai cng thc trn v dng { ~x k } nh (2.29) yu cu, tc l ch s m
ca cc s hng trong dy khng chy t N+1 n N1 nh trong (2.50)
m phi i t 0 n 2N2.
lm c iu ny, ta p dng nh l 2.6 cho cng thc (2.29) s
thy gi tr mt ph nhn c S~u ( n N ) , S~uy ( jn N ) trong (2.49) khng
ch n thun l nh Fourier ca dy (2.50) m l ca mt dy tun hon
trong (2.50) l cc gi tr trong mt chu k. Bi vy c
~
~
Su ( n N ) , Suy ( jn N ) ng nh dng m (2.29) yu cu, ta c th p dng
DFT cho nhng gi tr trong mt chu k khc bt u t im 0 (hnh 2.11)
v i n dng dy thch hp cho FFT nh sau:

71

~
ru ( 0 ) , ~
ru (Ta ) ,L, ~
ru ( MTa ) ,0,L,0,L,0, ~
ru ( MTa ) ,L, ~
ru ( Ta ) ,

(2.51a)

2(NM1) s hng 0

~
ruy (0 ) , ~
ruy (Ta ) ,L, ~
ru ( MTa ) ,0,L,0,L,0, ~
ru ( MTa ) ,L, ~
ru ( Ta ) ,

(2.51b)

2(NM1) s hng 0

Tng kt li tt c nhng kt qu nu trn v vn nhn dng mt

ph tn hiu S~u ( n N ) , S~uy ( jn N ) t cc gi tr tn hiu vo/ra { u~k },{ ~yk },
k=0,1, K , N 1 o c ca tn hiu u(t), y(t) ta i n thut ton:
1) Chn mt s M trong khong 520% ca 2N1 lm ch s Lag.
2) S dng hm cor() tnh 2M+1 cc gi tr hm tng quan
~
ru ( mTa ) , ~
ruy ( mTa ) , m=M, K ,1,0,1, K ,M t cc gi tr tn hiu
{ u~k },{ ~yk }, k=0,1, K , N 1.
3) Chn hm ca s w(t) xc nh trong khong | t | MTa nhm lm gim
sai s r r khi thc hin cng thc (2.49) bng cch ly mt trong s 8
hm ca s wi(t), i=0,1, K ,7 cho ti mc 2.1.6 vi T=2MTa ri
dch sang tri mt khong MTa sao cho hm c gi tr cc i ti t=0
(nm i xng qua trc tung).
4) Nhn cc gi tr ~ru ( mTa ) , ~ruy ( mTa ) vi w(mTa) c
)
ru ( mTa ) = ~
ru ( mTa )w( mTa )
)
ruy ( mTa ) = ~
ruy ( mTa )w( mTa )

5) Chn s nguyn l ly tha ca 2 khng nh hn 2N1. Sp xp li

dy { r)u ( mTa ) }, { r)uy ( mTa ) }, m=M, K ,0, K , M thnh
)
)
)
)
)
ru ( 0 ) , ru ( Ta ) ,L, ru ( MTa ) ,0,L,0, ru ( MTa ) ,L, ru ( Ta )
)
)
)
)
)
ruy (0 ) , ruy (Ta ) ,L, ruy ( MTa ) ,0,L,0, ruy ( MTa ) ,L, ruy ( Ta )

bng cch thm 2M1 s 0 vo gia, sao cho mi dy c ng

phn t.
6) Nhn tng phn t ca dy trn vi chu k trch mu Ta ri s dng fft()
tnh nh S~u ( n ) , S~uy ( jn ) , n=0,1, K , , trong = 2 .
Ta

72

Ch : Hiu ng aliasing v leakage ca ton t DFT cng tc ng ln

vic nhn dng S~u ( n ) , S~uy ( jn ) v u vo ca chng trnh ch l dy gi
tr

~
ru ( mTa ) , ~
ruy ( mTa ) ,

m=M, K ,0, K , M ch khng phi bn thn hm

tng quan. Hn na, do ta s dng s Lag M hn ch s tham gia cc

gi tr ~ru ( mTa ) , ~ruy ( mTa ) c sai s ln vo vic tnh mt ph, nn ton b
2N2 gi tr ph tnh c

~
~
Su ( n ) , Suy ( jn ) ,

n= 0,1, K , 2N2 khng c

chnh xc nh nhau. C th l khi ch s n cng cao, sai s ca

~
~
Su ( n ) , Suy ( jn ) cng ln. Theo kt qu thng k trong [12] th ch c
nhng gi tr

~
~
Su ( n ) , Suy ( jn )

trong khong 0n2M l c sai lch khng

ng k.
Thut ton trn c ci t thnh hm v chng trnh chun trong
cc phn mm tin dng nh hm spa() trong Toolbox Identification ca
MatLab. Mt chng trnh khc c tn spec() c ci t trn C phc v
vic tnh

~
~
Su ( n ) , Suy ( jn )

t { u~k }, { ~yk }, k=0,1, K , N 1 di dng

hm cho di y tham kho.

Hm spec() ny s dng thm hm con cor() phc v vic tnh
~
ruy ( mTa )

~
ru ( mTa ) ,

theo cng thc bias (2.45), (2.46) hoc unbias (2.47), (2.48).

Hm spec() c cc bin hnh thc sau:

a) Con tr u ch u mng s thc u[] cha cc gi tr

~ ,
u
k

k=0,1, K ,

~
yk ,

k=0,1, K ,

N1.
b) Con tr y ch u mng s thc y[] cha cc gi tr
N1.
c) S thc Ta cha hng s thi gian trch mu.
d) S nguyn N cha di hai dy { u~k }, { ~yk }, tc l cha ch s N.
e) S nguyn Sexp cha s m ly tha 2 ca di ca dy kt qu
{ S~uy ( jn ) }, n = 0,1, K , 2Sexp1.

73

f) S nguyn M cha ch s Lag, tc l di cn phi c ca dy gi tr

hm tng quan { ~ruy ( mTa ) }.
g) S nguyn bias xc nh gi tr hm tng quan s c tnh theo
cng thc bias (bias=1) hay unbias (bias1).
h) S nguyn w xc nh ch s 0i7 ca hm ca s s c s dng
nhm lm gim sai s r r (mc 2.1.6) khi s dng k thut DFT.
Nu ni dung ca w l mt s ngoi khong [0,7] th hm s s dng
hm ca s w0(t).
i) Con tr S ch u mng s phc S[] cha kt qu { S~uy ( jn ) } theo
th t S[0]= S~uy (0) , S[1]= S~uy ( j ) , K , S[n]= S~uy ( jn ) , K. Nh vy
mng S[] phi c di t nht l 2Sexp.
Hm spec() khng lm thay i ni dung ca hai mng u[] v y[].
Hm tr v gi tr 1 nu M N. Trng hp M< N hm s tr v gi tr
l di thc c ca dy kt qu { S~uy ( jn ) } trong mng S[].
int spec(double *u,double *y,double Ta,int N,int Sexp,int M,
int bias,int w,complex *S)
{ int i,j,p=pow(2,Sexp);
double *r,T=Ta*2*M,s;
r=new double[M+1];
if(cor(u,y,N,M,bias,r)!=0) return(-1);
for(i=0;i<=M;i++) S[i]=complex(r[i]);
for(i=M+1;i<p-M;i++) S[i]=complex(0.);
if(cor(y,u,N,M,bias,r)!=0) return(-1);
for(i=1;i<=M;i++) S[p-i]=complex(r[i]);
for (i=0;i<=M;i++)
{
s=fw(w,Ta*i,T);
S[i]=S[i]*s*Ta;
if(i>0) {j=p-i; S[j]=S[j]*s*Ta;}
}
fft(Sexp,S);
delete [] r;
return(p);
74

}
Mun s dng hm spec() tnh { S~u ( n ) } ta ch cn gi hm vi hai
dy u vo ging nhau u[k]= y[k]= u~k , k=0,1, K , N1.
2.3
2.3.1

Nhn dng m hnh khng tham s

Xc nh ng c tnh tn bin pha

Cho mt i tng cn nhn dng. Gi s rng thng tin Apriori cho

ta bit i tng c th m t c bi mt m hnh tuyn tnh. Nu chn
dy hm trng lng {gk} lm lp m hnh tuyn tnh th nhim v t ra
cho bi ton nhn dng s l: Thng qua vic quan st cc tn hiu vo ra
u(t), y(t) vi kt qu quan st l dy gi tr {uk}, {yk}, trong
uk = u(kTa), yk = y(kTa)
v Ta l chu k trch mu, hy xc nh dy hm trng lng {gk} sao cho
tng bnh phng cc sai lch ek l nh nht (hnh 2.12).
n(t)
Hnh 2.12: Pht biu bi ton nhn dng
m hnh khng tham s.

u(t)

i tng

y0(t)

y(t)
Quan st tn hiu
(trch mu)

uk

M hnh

{gk}

K hiu

ykM

ykM

yk
ek

l gi tr tn hiu u ra ca m hnh ti thi im kTa th sai

lch ek cng ti thi im s l

ek = yk ykM = yk gk*yk = yk gnuk n

n =

do tng bnh phng cc sai lch c tnh bng

k =

k =

Q = ek 2 =

yk

g n uk n

n =

y l hm theo bin {gk}. Hm c dng ton phng vi gi tr khng

m v bng 0 khi v ch khi {gk} m t chnh xc i tng, tc l tn hiu
75

u ra ca i tng ng bng tn hiu u ra ca m hnh. Bi vy Q

c gi tr nh nht th cn v l
Q
gl

=0

vi mi l.

iu ny dn n

yk gnuk n uk l
k =
n =

0=

g n uk n u k l .

n =
k =

= u k l yk
k =

Thay kl bng q trong tng th nht v kn bng p trong tng th hai

g u u

n
p p+ n l

n =
p =

u q yq + l =

q =

sau ly gi tr trung bnh ca hai v

ruy(lTa) = gn ru (( n l )Ta ) =gl*ru(lTa)

n =

ri chuyn sang min phc, chng hn nh vi chng trnh spec() c

trnh by trong mc 2.2, s c

~
~
Suy ( jn ) =G(jn ) Su ( n )
~
Suy ( jn )
G(jn ) = ~
,
Su ( n )

trong =

2
Ta

(2.52)

vi l mt s nguyn ly tha ca 2 nh nht nhng

khng nh hn 2N1, S~u ( n ) , S~uy ( jn ) , n=0,1, , K , 1 l cc gi tr

nhn dng c ca hm mt ph Su(), Suy(j) ti cc im tn s =
n v N l s cc gi tr tn hiu uk , yk quan st c.
Cng thc (2.52) ni rng hm trng lng g(t) ca i tng tuyn tnh,
nhn dng theo phng php cc tiu ha sai lch u ra, c cc gi tr nh
Fourier l t s gia gi tr mt ph cho v gi tr mt ph hp tn
hiu vo/ra. Kt qu ca phng php nhn dng ny s khng b nh
hng bi nhiu n(t) nu nhiu tc ng ti u ra ca i tng, c gi
tr trung bnh mn=0 v khng tng quan vi tn hiu vo u(t), v
76

Suy ( j ) = Suy0 ( j ) + Sun ( j ) = Suy0 ( j ) .

1424
3
=0

Cng t cng thc trn ta i n thut ton xc nh nh Fourier G(jn )

ca dy hm trng lng {gk} t N cc gi tr tn hiu uk , yk nh sau:
1) Nhn dng mt ph

~
~
Su ( n ) , Suy ( jn ) ,

n = 0,1, K ,1 t nhng

gi tr tn hiu vo/ra uk , yk , k=0,1, K , N1 ca i tng theo thut

ton trnh by trong mc 2.2, chng hn nh theo chng trnh
spec(). Chng c xem l nhng gi tr gn ng ca Su(n ),
Suy(jn ).
2) Xc nh gi tr nh Fourier G(jn ), n=0,1, K ,2M ca hm dy trng
lng {gk} theo cng thc (2.52).
Thut ton trn c ci t thnh hm nonpar() vit trn C cho di
y tham kho. Hm ny c cc bin hnh thc sau:
a) Con tr u ch u mng s thc u[] cha cc gi tr uk, k=0,1, K ,
N1.
b) Con tr y ch u mng s thc y[] cha cc gi tr yk, k=0,1, K ,
N1.
c) S thc Ta cha hng s thi gian trch mu.
d) S nguyn N cha di hai dy {uk}, {yk}, tc l cha ch s N.
e) S nguyn M cha ch s Lag, tc l di cn phi c ca dy gi tr
hm tng quan { ~ruy ( mTa ) }, ng thi cng xc nh di ca dy
kt qu {G(jn )} l 2M+1, tc l n=0,1, , K , 2M vi =

2
Ta

trong l mt s nguyn ly tha ca 2 nh nht nhng khng

nh hn 2N1.
f) S nguyn bias xc nh gi tr hm tng quan s c tnh theo
cng thc bias (bias=1) hay unbias (bias1).
g) S nguyn w xc nh ch s 0i7 ca hm ca s s c s dng
nhm lm gim sai s r r (mc 2.1.6) khi s dng k thut DFT.

77

Nu ni dung ca w l mt s ngoi khong [0,7] th hm s s dng

hm ca s w0(t).
h) Con tr G ch u mng s phc G[] c di 2M+1 cha kt qu
{G(jn )} theo th
G[2M]=G(j(2M) ).

G[0]=G(0),

G[1]=G(j ),

Hm nonpar() tr v gi tr bo li 1 nu M N. Trng hp khng c

li (M<N) hm s tr v gi tr . Hm khng lm thay i ni dung ca cc
mng u[], y[].
int nonpar(double *u,double *y,double Ta,int N,int M,int bias,
int w,complex *G)
{
int p,Sexp=0,k=2*N-1,i;
complex *Su,*Suy;
while ((p=pow(2,Sexp))<k) Sexp++;
Su=new complex[p];
Suy=new complex[p];
if((p=spec(u,u,Ta,N,Sexp,M,bias,w,Su))>0)
if((p=spec(u,y,Ta,N,Sexp,M,bias,w,Suy))>0)
{
k=2*M;
for(i=0;i<=k;i++) G[i]=Suy[i]/Su[i];
}
delete [] Su;
delete [] Suy;
return(p);
}
Ch rng trong s cc gi tr

~
~
Su ( n ) , Suy ( jn )

tnh bng chng

trnh spec() va trnh by trong mc 2.2 th ch nhng gi tr c ch s n

trong khong 0n2M l c sai s chp nhn c ([12]). Bi vy khi s
dng (2.52) xc nh G(jn ) ta cng ch nn cho n chy t 0 n 2M.
Hnh 2.13 l mt v d minh ha cho iu khng nh trn. ng m
nt trong hnh l th biu din phn thc v o ca ng c tnh tn
G(j) i tng qun tnh bc hai:
78

G(s) =

2,5
(1 + 1,6 s)(1 + 0,55 s)

(ng c tnh tn chnh xc).

S dng hm nonpar() vi 2048 gi tr tn hiu vo ra {uk}, {yk}, trong
thi gian trch mu Ta=0,1ms, ch s Lag M=280 ta c c dy
{G(jn )}, =15,8s1 tnh theo thut ton va trnh by. ng nt thanh
trong hnh l ng biu din dy cc gi tr (ng c tnh tn nhn
dng c).

Gi tr phn thc

ng m nt l ng c tnh tn chnh xc
ng nt thanh l ng c tnh tn nhn dng
c
Nhng gi tr nhn dng
c c th chp nhn
c l nhng gi tr trong
khong t 0 n 2M=560

Gi tr phn o

0,5

0
1
Phn o

0,5

1
Phn thc

1
150

300

450

600

750

900

1150

1300

Hnh 2.13: So snh ng c tnh tn G(j) nhn dng c vi ng thc phi c ca

mt i tng qun tnh bc 2.

Ta nhn thy ngay rng trong khong

0 n 560 =2M,
sai lch gia hai ng l khng ng k, thm ch chng gn nh trng
nhau. Ngc li, khi n >2M=560 ng c tnh tn nhn dng c c mt
sai lch kh ln so vi ng c tnh tn chnh xc.

79

2.3.2

Xc nh hm trng lng t ng c tnh tn

tnh ngc gi tr gk ca hm trng lng g(t) t dy G(jn ), n=0,1,

K ,2M ta s dng chng trnh invdft() trnh by trong mc 2.1.8. Kt
qu nhn c s l dy cc gi tr gk=g(kTa) ca g(t).
1) S dng hm nonpar() xc nh {G(jn )}, n=0,1, , K , 2M vi

2
Ta

, trong l mt s nguyn ly tha ca 2 nh nht nhng

khng nh hn 2N1 v N l di dy gi tr tn hiu {uk}, {yk} o

c vi chu k ly mu Ta.
2) Gn thm nhng gi tr 0 vo sau dy G(jn ), n=0,1, K ,2M dy
mi c ng phn t.
3) S dng hm invdft() chuyn ngc {G(jn )}, n=0,1, , K , 1,
trong G(jn )=0 nu n > 2M sang min thi gian. Kt qu thu c
s l {gk}, k=0,1, K , 1 vi gk = g(kTa).
Cu hi n tp v bi tp
1. Vi nhng iu kin g th vic nhn dng nh Fourier ca mt tn hiu
N 1

theo cng thc X(jn)=

k=0

x( kTa )e

jkn

2
N

vi =

2
NTa

s khng c hiu

ng trng ph v vi nhng iu kin g th vic nhn dng nh Fourier

ca mt tn hiu cng theo cng thc s khng c hiu ng r r.
2. Vi nhng tn hiu nh th no th vic nhn dng nh Fourier ca n
N 1

theo cng thc X(jn)=

k=0

x( kTa )e

jkn

2
N

vi =

2
NTa

s cho ra kt qu

ng, tc l khng cha c hai loi sai s trng ph v sai s r r?.

3. Hy ch rng t dy gm N gi tr uk , yk, k=0,1, K , N1 o c ca
tn hiu u(t), y(t) trong khong thi gian [0, T) vi chu k ly mu Ta ,
tc l uk = u(kTa), yk = y(kTa) v T = NTa th cc gi tr ca hm tng
quan

80

ruy(mTa)

1
p

N m 1

uk yk + m , m = N+1,K,1,0,1, K , N1

k=0

N nu nhn dng bias

trong p =

N m nu nhn dng unbias

c th c tnh nhanh theo thut ton sau:

a) Tm mt s nguyn ly tha ca 2 nh nht nhng khng nh hn
2N1, sau xy dng dy c phn t nh sau
uk nu 0 k N 1

~
u
k

~
yk

0 nu N k 1

yk N +1 nu N 1 k 2 N 2
0

nu 0 k N 2 hoc

2N 1 k 1

b) Gi hm fft() tnh nh Fourier

~
U a ( jn )

ca dy { u~k } v

~
Ya ( jn )

ca dy { ~yk }, n = 0,1 K , 1.
c) Xc nh dy

~
~
~
Ra ( jn ) = U a ( jn )Ya ( jn ) ,

n = 0,1 K, 1.

d) Chuyn ngc { R~a ( jn ) } sang min thi gian bng cch s dng
hm fft() mt ln na vi dy u vo

~
~
~
Ra ( jn ) = U a ( jn )Ya ( jn ) .

e) Chia tng phn t ca dy kt qu thu c sau khi chuyn ngc

sang min thi gian cho hng s p ta s c dy cc gi tr
{ruy(mTa) } theo th t
{ruy((N+1)Ta) , K , ruy(Ta) , ruy(Ta) , K , ruy((N+1)Ta) }
4. Hy xy dng mt chng trnh tnh nhanh cc gi tr mt ph tn
hiu Suy(jn ), n = 0,1 K, 1 t cc gi tr tn hiu uk , yk , k=0,1, K ,
N1 o c ca tn hiu u(t), y(t) trong khong thi gian [0, T) vi chu
k ly mu Ta bng cch s dng thut ton cho bi 3, trong T =
NTa , l s nguyn nh nht c dng ly tha ca 2 nhng khng nh
hn 2N1 v =

2
Ta

5. Chng minh rng cc gi tr mt ph

81

N 1

Suy(jn) = Ta

m=0

vi =

2
NTa

ruy ( mTa )e

jmn

2
N

, tnh t N gi tr uk , yk, k=0,1, K , N1 o c ca tn

hiu u(t), y(t) trong khong thi gian [0, T) vi chu k ly mu Ta , c

th c xc nh theo cng thc
Suy(jn) = Ta U a ( jn )Ya ( jn )
p

N nu nhn dng bias

trong p =

N m nu nhn dng unbias

N 1

Ua(jn) =

k=0

uk e

jkn

2
N

N 1

Ya(jn) =

k=0

yk e

jkn

2
N

ni cch khc Ua(jn) l nh Fourier thu c nh fft() ca {uk},

k=0,1, K , N1 v Ya(jn) l nh Fourier ca {yk}, k=0,1, , K ,
N1.

82

Nhn dng m hnh lin tc, tuyn tnh c tham s t m hnh

khng tham s

M hnh lin tc c tham s c dng m t i tng tuyn tnh

chng ny l hm truyn t biu din t s gia nh Laplace Y(s) ca
tn hiu u ra y(t) v nh Laplace U(s) ca tn hiu u vo u(t):
G(s) = Y ( s) =
U ( s)

b0 + b1 s + L + bnb s nb
a0 + a1 s + L + ana s na

na nb

trong na , nb c th l cho trc (m hnh c cu trc) hoc l nhng

tham s cn phi c xc nh (m hnh khng c cu trc). Bi ton t ra
l t m hnh khng tham s c, hy xc nh b0 , b1 , K ,
,

ana thuc

bnb ,

a0 , a1 , K

R cho (3.1).

M hnh khng tham s c l hm qu h(t) thu c ti u ra nh

phng php nhn dng ch ng vi tn hiu chn trc l hm Heaviside
1(t) u vo, hoc dy cc gi tr nh Fourier G(jn) ca hm trng
lng g(t) thu c trn c s quan st cc tn hiu vo/ra (nhn dng b
ng). Phng php nhn dng dy gi tr G(jn), n = 0,1, K , 2M vi M
l mt ch s Lag chn trc trn c s phn tch ph tn hiu, c n
nhim v lc nhiu c trnh by trong chng 2.
3.1 Xc nh tham s m hnh t hm qu
3.1.1

Nhng kt lun tng qut

Mt s kt lun tng qut trnh by di y c th cha cho vic xc

nh ton b cc tham s b0 , b1 , K ,

bnb

, a0 , a1 , K , ana R ca m hnh

(3.1) t hm qu h(t), song cng l cn thit c c nhng kin thc

ban u h tr cho cc cng vic tip theo. Nhng kt lun s l:

Kt lun v bc m hnh, tc l v na v nb .
Kt lun v cc thnh phn c bn nh khu khuch i P, tch phn I,
vi phn D c trong m hnh (3.1).
Kt lun v dng cc im cc cng nh cc im khng ca (3.1) v
nu c th th cn v s phn b ca chng trong mt phng phc.
Kt lun 1: 1) Nu h(+0) = 0 th na > nb . Ngc li nu h(+0) 0 th
na = nb .
2) Nu

d
h(+0 ) =
dt

0 th na nb >1. Ngc li nu

d
h(+0 ) 0
dt

th na

= nb+1.
3) Nu h(+) = th a0 = 0, hay trong G(s) c mt khu I ni tip:
G(s) =

b0 + b1 s + L + bnb s nb

s( a1 + a2 s + L + ana s na 1 )

4) Nu h(+) = 0 th b0 = 0, hay trong G(s) c mt khu D ni tip:

G(s) =

s( b1 + b2 s + L + bnb s nb 1 )
a0 + a1 s + L + ana s na

5) Nu h(+) l mt hng s khc 0 th trong G(s) c mt khu P

ni tip vi h s khuch i k = b0 :
a0

G(s) = k

~
~
1 + b1 s + L + bnb s nb
~ s+L+ a
~ s na
1+ a
1

na

chng minh kt lun 1 ta c th s dng cc cng thc sau ca ton t

Laplace:
1) x(+0) =
2) x(+) =

lim sX ( s)

(3.2a)

lim sX ( s)

(3.2b)

s 0

3) L{ dx } = sX(s) x(+0)
dt

84

(3.2c)

trong k hiu L{} ch php tnh ly nh Laplace v vic dnh cho bn

c nh nhng bi tp n luyn.
Hm c h(+0)0 nn m hnh (3.1) ca n phi
c na = nb .

h(t)
h1(t)

h2(t)
Hnh 3.1: Xc nh quan h ban u gia
bc ca a thc t s v a thc
mu s thng qua gi tr ca hm
qu h(t) ti im t=0.

Hm c h(+0)=0 nn m hnh (3.1) ca

n phi c na > nb .

h3(t)
t

Cc hnh 3.1, 3.2 v 3.3 minh ha trc quan ni dung kt lun 1.

Hm h1(t) c o hm ti t=0 khc 0 nn m hnh (3.1) ca n phi c na nb =1

h(t)

h2(t)

Hai hm h2(t) v h3(t) c o hm ti t=0 bng 0 nn m

hnh (3.1) ca n phi c na nb >1

h1(t)
h3(t)

Hnh 3.2: Mt s dng hm qu ca i tng m m hnh (3.1) ca n c bc ca t

s ln hn bc ca mu s.

h(t)

h3(t)

h2(t)
k

Hm c cha thnh phn tch phn (I)

Hm c cha thnh phn khuch i (P)

h1(t)

Hm c cha thnh phn vi phn (D)

t
Hnh 3.3: Xc nh cc thnh phn c bn (P, I, D) c trong m hnh (3.1) thng qua dng
hm qu khi t .

85

V d 1: Mt i tng vi hm tryn t G(s) dng (3.1) c hm qu

(hnh 3.4)
h(t) = 1 t

+ 15t 2 42t + 6

6et

Do h(+0) = 0 nn na > nb . Thm na o hm

d
h(t ) =
dt

ti im t =+0 c
Ngoi ra, v

18 t 2 + 72t 48
6et

dh( +0 )
0
dt

lim h( t ) =

nn na nb =1.

1 nn trong G(s) c thnh phn khu khuch i, tc

l hai tham s u s tha mn

b0
a0

=1.

h(t)
G(s) =

1,5
1

Tt
>1
Tm

(1 + 2s)3
(1 + s)4

0,5

t
1

Hnh 3.4: Hnh minh ha cho v d 1.

h(t)

Tt
>1
Tm

Hnh 3.5: Hm qu cho v d 2.

V d 2: T hm qu h(t) cho trong hnh 3.5 ca mt i tng ta c th

suy ra c nhng kt lun cho m hnh G(s) =

1 + Tt s
1 + Tm s

ca n nh sau:

Tt > Tm

nu h(t) khi t < lun c gi tr ln hn h() =1.

Tt < Tm

nu h(t) khi t < lun c gi tr nh hn h() =1.

Tng qut ha kt qu minh ha ca v d 2, tip theo ta s xt i tng

m t bi
86

G(s) = k

(1 + T1 ' s )(1 + T2 ' s) L (1 + Tn' b s )

(3.2)

(1 + T1 s )(1 + T2 s ) L (1 + Tn' a s)

tc l t h(t) nhn bit c rng i tng c thnh phn khuch i. Tham

s Ti c gi l hng s thi gian ca a thc mu s v Ti' l hng s thi
gian a thc t s. Khng mt tnh tng qut nu ta gi thit
T1 T2 K Tna

T1' T2' K Tn' b

Kt lun 2: Nu h(t) khng ln sng v khng gim, tc l h(t) khng

cha thnh phn qu iu chnh, th cc tham s Ti , Ti' ca m hnh
(3.2) tng ng phi l nhng s thc v phi tha mn:
Tna

>

Tn' b , Tna 1 > Tn' b 1 ,

K,

Tna nb 1 >

T1'

(3.3)

Hnh 3.6 minh ha mt s dng hm qu h(t) khng gim, khng ln

sng (khng c qu iu chnh) m m hnh (3.2) tng ng ca n c
dng nh kt lun 2 va nu.

h(t)

G1(s)=

1 + 0,75 s
1+ s

0,8

h(t)
2

0,6

G2(s)=

(1 + 0,5s )
(1 + s )(1 + 0,8 s )

G1(s)=

0,4

G3(s)=

0,2

1
1+ s

G2(s)=
1

Hnh 3.6: Mt s dng hm qu minh ha

cho kt lun 2

(1 + 0,5s )(1 + 1,8 s )

(1 + 0,75 s)(1 + 1,5s)

(1 + s)(1 + 2s)(1 + 3s)

(1 + 0,5s)(1 + 1,2s)(1 + 2,2s)2
t

Hnh 3.7: Mt s dng hm qu minh ha

cho kt lun 3.

Kt lun 3: Nu h(t) khng ln sng, c qu iu chnh nhng sau

gim dn v h()=k v khng nh hn k th tham s Ti , Ti' ca m hnh

87

(3.2) tng ng phi l nhng s thc v phi tn ti duy nht mt ch s

l{1,2, K , nb } mt trong nb bt ng thc (3.3) khng c tha mn.
Hnh 3.7 l mt s v d v cc hm qu h(t) c dng tha mn gi
thit ca kt lun 3 cng vi m hnh (3.2) tng ng ca n. y ta thy
trong G1(s) c
T2 =1,5 < T2'=1,8
v trong G2(s) c
T4 =2,2 < T3'=3.
Kt lun 4: Nu h(t) c m im cc tr, trong im cc i nm trn
ng h()=k v im cc tiu nm di ng h()=k th nhng
tham s Ti , Ti' ca m hnh (3.2) tng ng phi l nhng s thc v
phi tn ti m ch s trong khong {1, 2, K , nb} c m bt ng
thc trong (3.3) khng c tha mn.
minh ha cho kt lun 4 ta xt li v d 1 vi hm h(t) cho trong hnh
3.8. Hm ny c dng tha mn gi thit yu cu trong kt lun 4 vi m=3
im cc tr. Kim tra li m hnh (3.2) tng ng ca n
3

G(s) = (1 + 2s)4
(1 + s)

ta thy ng l c 3 bt ng thc (3.3) khng c tha mn v l

Ti+1 =1 < Ti' =2 , i = 1, 2, 3.
Ngc li, t
d
h(t ) =
dt

d
h(t ) =0
dt

18 t 2 + 72t 48
6et

ti

t1 0,8 , t2 4,6 , t3 12,6.

Suy ra: hmax1 2,4 , hmin 0,9 , hmax2 1,01 .

h(t)
G(s) =

h(t)

(1 + 2s)3
(1 + s)4

88

t
0,8

4,6

12

Hnh 3.8: Hm qu vi 3 im cc tr.

Hnh 3.9: Dng hm qu c v s im cc

tr phn b cch u nhau trn v di
ng gii hn h()=k.

Theo kt qu ca kt lun 4, nu nhn thy t ng th hm qu l

h(t) c hu hn m im cc tr phn b xen k trn v di ng gii hn
h()=k th c th khng nh ngay c rng m hnh (3.1) ca n phi c
na nb m.
Mt dng na ca hm qu h(t) thng gp m ta cn phi l h(t)
c v s im cc tr phn b xen k trn/di ng gii hn h()=k v
cch u nhau nh hnh 3.9 m t. Chc chn rng cc hm h(t) dng ny
phi c cha nhng thnh phn dao ng (c th bin tt dn) dng
e t (sint + cost)
bi vy m hnh (3.1) tng ng ca n cng phi c cc im cc phc
(khng nm trn trc thc) v ta i n kt lun th 5 nh sau:
Kt lun 5: Nu h(t) c v s im cc tr cch u nhau, trong im
cc i nm trn ng h()=k v im cc tiu nm di ng
h()=k th m hnh (3.1) ca n phi c cc im cc l nhng gi tr
phc (a thc mu s c nghim phc).
V d 3: Xt i tng vi hm truyn t
G(s) =

1
1 + 2 Ds + s 2

D < 1.

a thc mu s c hai nghim phc s1,2 =Dja. Hm qu tng ng ca

n c dng
h(t) =

1
[ D sin( at ) + a cos( at )]e Dt ,
a

vi a = 1 D 2 . Hm h(t) c v s cc im cc tr phn b nm xen k

trn/di ng gii hn h()=1 v cch u nhau (hnh 3.10).
h(t)

D=0,01
D=0,1

Hnh 3.10: Hm qu c v s im
cc phn b xen k v cch u
nhau minh ha cho v d 3.

89
t

Nm kt lun trn t mt c s cho s suy lun v dng m hnh ta

c th tip tc gii quyt c bi ton xc nh tham s t hm qu h(t).
Tuy nhin mt iu phi ch l khng bao gi li chn m hnh c cu
trc phc tp qu mc cn thit, v d nh t h(t) m ta suy ra c
nanb >1, h(t) khng c dng ln sng, c thnh phn khuch i h()=k
v khng bao gi vt qu gi tr gii hn h()=k, tc l m hnh c cc gi
tr Ti , Ti' thc tha mn (3.3), th nu ta gi thit m hnh ca n l:
G(s) =

k
(1 + T1 s)(1 + T2 s)

Vi phng chm xy dng m hnh chnh xc nh yu cu ch

khng phi chnh xc nh c th, sau y ta s tp trung ch yu vo vic
xc nh tham s cho:
1) M hnh PT1 :

G(s) =

k
1 + Ts

2) M hnh IT1 :

G(s) =

k
s(1 + Ts )

3) M hnh ITn:

G(s) =

4) M hnh PT2 :

G(s) =

5) M hnh PTn:

G(s) =

.
.

s(1 + Ts) n

k
(1 + T1 s)(1 + T2 s)
k
(1 + Ts) n

, T1 T2 .

6) M hnh Lead/Lag:
7) M hnh khu dao ng bc hai tt dn: G(s) =
3.1.2

G(s) =
k
1 + 2 DTs + T 2 s 2

1 + Tt s
1 + Tm s

, 0<D<1.

Xc nh tham s m hnh qun tnh bc nht

Gi s rng khi kch thch mt i tng tuyn tnh bng hm Heaviside

1(t) ti u vo ta o c hm h(t) u ra c dng nh hnh 3.11. Da
theo 5 kt lun va nu trong mc trc th:

bc ca a thc mu s phi ln hn bc ca t s mt bc, tc l

nanb =1, v h(t) xut pht t 0 v c o hm ti khc 0,
90

 do c h()=k nn hm truyn t G(s) ca i tng phi tha mn

G(0)=k,
hm h(t) khng c dng ln sng, lun c xu hng tng dn n gi
tr gi hn k nn cc im cc v khng ca G(s) phi l s thc tha
mn (3.3).
h(t)
k
ng tim cn ti
ng tip tuyn ti 0

Hnh 3.11: Hm qu ca khu qun tnh

bc nht.

t
T

Cn c nhng s kin nh vy ta thy hon ton c th m t i

tng nu s dng hm truyn t
G(s) =

k
1 + Ts

v vn cn li l phi xc nh nt tham s T, v c k = h().

Xut pht t (3.4) v cng thc gii hn (3.2a) ta c ti im 0:
tg = dh(+0) = g(+0) = lim sG( s) = lim
dt

ks

s 1 + Ts

k
T

cho nn T c th s c xc nh mt cch n gin nh sau:

1) K ng tip tuyn vi h(t) ti t=0.
2) Xc nh giao im ca ng tip tuyn vi ng tim cn
k=h().
3) Honh ca giao im va xc nh chnh l tham s T cn tm (hnh
3.11).
Tuy nhin phng thc xc nh T va nu cng c nhc im l ph
thuc kh nhiu vo chnh xc vic k ng tip tuyn, tc l ph thuc
vo s kho tay ca ta. Nu ri ro ta t ng tip tuyn ti 0 "sai mt ly"
th c th s nhn c kt qu T c sai s "mt dm", nht l nhng hm
91

h(t) c h s khuch i k tng i ln. trnh iu "ri ro" ny ngi ta

i t (3.4) c H(s) = G( s) ri chuyn ngc sang min thi gian s
s

c:
h(t) = k(1 e

t
T

v nh vy ti thi im T th:
h(T) = k(1e1) 0,632k

(3.5)

Ni cch khc, ti ng thi im T hm h(t) s t c 63,2% gi tr

cc i. Gi tr (3.5) c xem nh cng thc xc nh tham s T cho m
hnh (3.4) t ng thc nghim h(t). Ta i n thut ton (hnh 3.12):
1) K ng tim cn vi h(t) ti t= c k=h().
2) Xc nh im c tung bng 0,632k ca h(t).
3) Honh ca im va xc nh chnh l tham s T cn tm.
Trong kh nhiu trng hp, vi mt l do khch quan no ngi ta
khng to ra c hm Heaviside u vo m thay vo l hm
u(t)=u01(t) th do tnh cht tuyn tnh ca i tng, p ng y(t) ti thi
im T cng c gi tr ng bng 63,2% gi tr cc i y() ca n. Bi vy
thut ton trn vn s dng c xc nh tham s m hnh (3.4) t tn
hiu y(t)= u0 h(t) o c u ra vi mt thay i nh nh sau:
1) K ng tim cn vi y(t) ti t c y(), sau suy ra k =

y( )
u0

2) Xc nh im c tung bng 0,632 y() ca y(t).

3) Honh ca im va xc nh chnh l tham s T cn tm.
V d: Xt i tng l l nhit in tr vi tn hiu u vo u(t) o theo p
trong di t 0V n 10V. Tn hiu u ra y(t) ca l in tr l nhit . Khi
t in p 10V ti thi im t=0 ngi ta o c cc gi tr sau u
ra:

92

t [giy 0
s]
y(t) [0C] 0

10

20

30

40

50

60

70

80

90

20
5

33
5

39
5

43
5

44
1

44
9

45
3

45
7

45
9

y(t)
500
316

Hnh 3.13: Minh ha cho v d nhn dng

10 20 30 40 50 60 70 80

tham s m hnh PT1.

Dng ng th t cc kt qu o c ta c hnh 3.13. Vi ng

th ny ta c h(t)=

y(t )
10

. Theo cc bc ca thut ton va trnh by, ta

c
y() = 500

k =h() = 50

Sau ng khong thi gian T, tn hiu u ra y(t) s t c gi tr xp x

bng 63,2% gi tr cc i y() ca n, tc l khi n c gi tr
0,632 y() = 316.
Suy ra
y(T) = 316

T 14

Vy m hnh ca l in tr l:
G(s) =
3.1.3

50
1 + 14 s

Xc nh tham s cho m hnh tch phn qun tnh

Cho mt i tng tuyn tnh cn nhn dng. Bng phng php thc
nghim ch ng vi tn hiu u vo t trc l hm 1(t), ngi ta o
c u ra hm qu h(t) c dng cho trong hnh 3.14. Hm h(t) cng

93

c th nhn c thng qua phng php nhn dng b ng c n s

nh hng ca nhiu bng phn tch ph tn hiu c trnh by
chng 2.
Cn c theo nhng kt lun trnh by mc 3.1.1 ta i n nhn nh
ban u v m hnh tham s ca i tng nh sau:

bc ca a thc mu s phi ln hn bc ca a thc t s t nht l 2

bc, tc l na nb 2, v h(t) xut pht t 0 v c o hm ti cng
bng 0,
do c

lim

h(t)= nn hm truyn t G(s) ca i tng phi c cha

thnh phn tch phn, ni cch khc n phi c dng

G(s) =

b0 + b1 s + L + bnb s nb
s( a1 + a2 s + L + ana s na 1 )

hm h(t) khng c dng ln sng nn cc im cc v khng ca G(s)

phi l s thc.
h(t)

k = h
t

h
t

Hnh 3.14: Hm qu ca khu IT1.

Trn c s cc s kin va nu v theo nguyn tc khng phc tp m

hnh qu mc cn thit, ta c th gi thit rng i tng c hm truyn t
thuc lp IT1 :
G(s) =

k
s(1 + Ts )

(3.6)

hoc lp cc m hnh ITn:

G(s) =

94

k
s(1 + Ts) n

(3.7)

trong n c th l cho trc, song cng c th l mt tham s cn c

xc nh.
Xc nh tham s m hnh tch phn qun tnh bc nht
Trc tin ta tp trung vo m hnh IT1 (3.6). Bi ton t ra y l
phi xc nh cc tham s k v T t ng thc nghim h(t) c.
K ng tim cn ca h(t) khi t. Theo cng thc tnh gii hn (3.2b)
c
tg = lim dh( t ) = lim g( t ) = lim sG( s) = k ,
t

dt

s0

do mun xc nh k ta ch cn ly mt on bt k ca ng tim cn,

chiu n ln hai trc ta c h v t (hnh 3.14), ri tnh:
k = tg =

h
t

Vn cn li l tm T v lm c vic ny ta chuyn ngc H(s)

sang min thi gian:

= G( s )
s

h(t) =

k[t T (1 e

t
T

)]

ng tim cn vi h(t) khi t phi l ng thng c sai lch so vi

h(t) tin ti 0, mt khc khi t th
s chnh l:

t
T

0 nn m hnh ng tim cn

htc(t) = k(t T).

Suy ra T l giao im ca ng tim cn htc(t) vi trc honh. Ta i n
thut ton:
1) K ng tim cn htc(t) vi h(t) ti t=.
2) Giao im ca ng tim cn htc(t) vi trc thi gian (trc honh)
chnh l tham s T ca m hnh (3.6).
3) Ly mt on bt k ca ng tim cn, chiu n ln hai trc ta
c h v t ri tnh k =

h
t

95

 nhng trng hp c tn hiu u vo khng phi l hm 1(t) m l

u(t)=u01(t) th vi tnh cht tuyn tnh ca i tng, tn hiu u ra s l
y(t)= u0h(t). Thut ton tng ng cho cc trng hp nh vy c dng nh
sau:
1) K ng tim cn ytc(t) vi y(t) ti t=.
2) Giao im ca ng tim cn ytc(t) vi trc thi gian chnh l tham s
T.
3) Ly mt on bt k ca ng tim cn ytc(t), chiu n ln hai trc ta
c y v t ri tnh k = y .
u0 t

V d 1: minh ha cho thut ton trn ta xt bi ton nhn dng m hnh

ng c chnh v tr vi tn hiu vo l in p u(t) tnh theo Volt v tn hiu
ra l qung ng bn trt i c y(t) tnh theo cm (hnh 3.15 bn tri).
Ch ng kch thch i tng bng in p u(t)=50V ti u vo ta thu
c qung ng bn trt i c y(t) nh sau:
t [giy 0
s]
y(t)
0
[cm]

0,5

1,5

2,5

3,5

4,5

0,1 0,3 0,8 1,6 2,2 2,7 3,3 3,9 4,4

5
5
5
5
5

Biu din kt qu o c di dng th ta c hnh 3.15 bn phi. T

ng th ca y(t) v sau khi k ng tim cn vi y(t) khi t ta
c T=1s l honh giao im ca ng tim cn vi trc thi gian.
Ly hai im A, B bt k trn ng tim cn ri chiu on AB ln hai
trc ta ta c y=1,45cm v t=1s. Suy ra:
k = 1,45cm 0,03
50V 1s

cm
V s

Vy m hnh tham s ca ng c chnh v tr l:

G(s) =

0,03
s(1 + s)

y(t)

Tn hiu vo u(t)
2,5

Tn hiu ra y(t)

Bn trt

Chiu trt

1,5

1,45

96

Chiu quay

0,5
0,5

Hnh 3.15: i tng nhn dng l ng c chnh v tr.

1
1

1,5

2,5

Xc nh tham s m hnh tch phn qun tnh bc cao

Thut ton xc nh cc tham s k v T ca m hnh (3.6) c th c m
rng cho c trng hp m hnh tham s ITn ca i tng dng (3.7), tc
l
G(s) =

k
s(1 + Ts ) n

trong n c th l cho trc hoc c th l mt tham s m hnh cn phi

xc nh. c bit m hnh (3.7) ny cng tha mn cc s kin ng vi
dng hm qu h(t) cho trong hnh 3.14. Bi vy thut ton xc nh tham
s k, T, n m hnh (3.7) s l s quan tm tip theo ca ta.
t tn hiu u(t)=u01(t) ti u vo, nh Laplace Y(s) ca tn hiu ra y(t)
s c suy ra t (3.7) nh sau
Y(s) =

u0 k
2

s (1 + Ts ) n

(3.8)

Phn tch (3.8) thnh tng cc phn thc ti gin

1

Y(s) = u0 k

n ( n + 1 i )T 2
nT
+
i
s
i =1 (1 + Ts )

ri p dng cng thc bin i Laplace ngc

1

L {

1
(1 + Ts) i

}=

t i 1 e

t
T

T i ( i 1)!

ta c p ng u ra ca ITn:
y(t)

n ( n + 1 i )t i 1 e T
= u0 k t nT +

T i 2 ( i 1)!
i =1

y(t)
k=

y
u0 t

y
B

t
yT

Hnh 3.16: Hm qu ca khu ITn.

Ttc

97

Vi t rt ln th tt c cc thnh phn e T trong tng trn c th

c xem nh bng 0. Do ng thng ytc(t) tim cn vi y(t) ti t
s l
ytc(t) = u 0 k(t nT)
ng tim cn c h s gc u 0 k nn tm k ta ly mt on bt k ca
n, chiu ln hai trc ta c y v t. H s khuch i k khi c
tnh bng
k = tg =
u0

y
u0 t

(3.9)

Giao im ca ng tim cn ytc(t) vi trc honh l Ttc=nT (hnh

3.16). Nu nh n l cho trc, ta c th tnh ngay ra c tham s T bng
cch chia Ttc cho n. Ta i n thut ton xc nh hai tham s k v T cho m
hnh (3.7) t ng thc nghim y(t) khi bit truc n nh sau:
a) Dng ng tim cn ytc(t) ca y(t) khi t. Ly mt on AB bt
k trn ytc(t) sau chiu ln hai trc ta c y v t. H s
khuch i k s c tnh t y v t theo (3.9).
b) Xc nh Ttc l giao im ca ng tim cn ytc(t) vi trc thi gian.
c) Tnh T = Ttc .
n

Trong trng hp n khng bit trc th trc tin ta phi xc nh n.

lm c iu ny ta tnh gi tr p ng y(t) ti thi im Ttc :
yT = y(Ttc) = u0 ke n T ( n + 1 i)n
n

i 1

( i 1)!

i =1

Sau lp t s

yT
u0 kTtc

yT
u0 knT

n n

= e 2 ( n + 1 i)n = f0(n)
( i 1)!
n

(3.10)

i =1

ri biu din quan h gia v n di dng bng tra (bng 3.1) nhm phc
v cng vic xc nh ngc n t sau ny c thun tin.

98

Bng 3.1: Bng tra cu n t gi tr .

n

1
2
3
4
5
6
7
8
9
10
0,36 0,27 0,22 0,19 0,17 0,16 0,14 0,13 0,13 0,11
79
07
4
54
55
06
9
96
18
44
Bng 3.1 trn c thit lp bi hm phi_n() thc hin cng thc (3.10)
vit trn ngn ng lp trnh C cho di y. Hm phi_n() c bin hnh thc
n cha gi tr u vo n v tr v gi tr tnh c:
double phi_n(int n)
{
int i,j,mau_so;
double phi,sum=0.,tu_so=1./n;
for(i=1;i<=n;i++)
{
mau_so = 1;
for(j=2;j<i;j++) mau_so=mau_so*j;
sum=sum+(tu_so*(n+1-i))/(float)mau_so;
tu_so=tu_so*n;
}
phi=sum*exp(-n);
return(phi);
}
Vi bng 3.1, ta thy ch c th xc nh c n=10 (ng vi gi tr
=0,1144) l cao nht. Tt nhin l ta c th m rng bng 3.3 vi s tr
gip ca hm phi_n(). Nhng tng qut hn c l xy dng hm gii ngc
phng trnh (3.10) xc nh n t . thc hin iu ny ta da vo tnh
cht nghch bin ca (3.10) v i n:

Xut pht vi k=1 v tnh f0(k) theo (3.10).

Nu f0(k)> th tip tc tng k cho ti khi c c f0(k) .
Trong trng hp 2 > [f0(k1)+ f0(k)] th n= k1, ngc li th n=k.
Theo cc bc tnh nh trn th s nguyn n c c s lm cho sai lch |
f0(n) | l nh nht. Mt hm n_phi() vit trn C phc v vic xc nh n

99

t theo cc bc va nu cho di y tham kho. Bin hnh thc phi

ca hm cha gi tr u vo v s tr v s nguyn n tm c.
int n_phi(double phi)
{
int n=1;
double save=0.3679, result;
do
{ n=n+1;
result=save;
save= phi_n(n);
} while (save>phi);
save=(save+result)/2.;
if (save<phi) return(n-1); else return (n);
}
Ch : Gi tr u vo thch hp cho hm n_phi() phi tha mn
0,3679.
Cng vi bng 3.1 hoc hm n_phi() ta i n thut ton xc nh tham
s k, n v T cho m hnh (3.7) t ng thc nghim y(t) nh sau:
a) Dng ng tim cn ytc(t) ca y(t) khi t. Ly mt on AB bt
k trn ytc(t) sau chiu ln hai trc ta c y v t. H s
khuch i k s c tnh t y v t theo k =

y
u0 t

b) Xc nh giao im Ttc ca ytc(t) vi trc thi gian v gi tr yT =

y(Ttc) t ng thc nghim.
c) Tnh =

yT
u0 kTtc

d) Xc nh n theo t bng 3.1 hoc s dng hm n_phi().

e) Tnh T =

Ttc
n

V d 2: Gi s bng phng php nhn dng b ng vi vic o c tn

hiu vo u(t) v ra y(t) ta c dy gi tr G(jn) ca ng c tnh tn
ca mt i tng tuyn tnh cn nhn dng, trong = 0,061359375s1
v n = 0, 1, 2 K , 1 vi =1024. Ly ch s Lag M=100 ri chuyn ngc
100

dy {G(jn)}, n=0, 1, 2 K , 200 sang min thi gian ta c c dy gm

200 gi tr hm trng lng gk=g(kTa) vi Ta = 2 = 0,1s v k=0, 1, 2 K ,

200. Tip theo ta xc nh hm qu theo cng thc h(lTa) =

Ta

gk ,

k=0

l=0,1, K , 200 ri biu din cc gi tr h(lTa) di dng th ta c hnh

3.17.
h(t)
4,78
4,0
0,85

Hnh 3.17: Hnh minh ha cho v d 2.

1,0
0,8 1

ng p ng h(t) ng vi kch thch u vo 1(t) nn y c u0 =1.

T th h(t) v ng tim cn ca n khi t ta c ra c Ttc = 0,8 ;
yT = 0,85 ; y = 4 v t =1. Do
k=

y
u0 t

= 4 v

yT
u0 kTtc

= 0,266.

Tra bng 3.1 ta c n =2 (c chn ng vi gi tr gn nht l

=0,2707). Ta cng c th s dng hm n_phi() vi u vo =0,66, hm s
tr v gi tr n =2. Vy:
T = Ttc =
n

0,8
2

= 0,4.

v m hnh tham s ca i tng l

G(s) =
3.1.4

s(1 + 0,4 s)2

Xc nh tham s m hnh qun tnh bc cao

Ngay chng 1 ta m u vi mt v d v vic nhn dng m hnh

ng c mt chiu bng phng php ch ng kch thch u vo tn

101

hiu 1(t) ri thu c u ra ng thc nghim h(t) c dng m t trong

hnh 3.18.
Trong thc t c kh nhiu i tng c ng thc nghim h(t) ging
nh vy. Chng u c chung nhng c im sau:
a) h(t) xut pht t 0 v c o hm ti cng bng 0. Theo kt lun 1
ca mc 3.1.1 th m hnh (3.1) tng ng ca i tng phi c
nanb 2.
b) ng thc nghim h(t) c gi tr hng s k khi t nn cng theo
kt lun 1 hm truyn t G(s) phi tha mn G(0) = b0 = k.
a0

c) ng h(t) khng c dng ln sng, c tc khng m (khng c

qu iu chnh) v gi tr lun tng dn n h()=k nn theo kt
lun 2, cc hng s thi gian ca t s cng nh ca mu s phi l
nhng s thc tha mn (3.3).
Nh vy c th m t i tng nu ta s dng m hnh (3.1) c
cu trc:
G(s) =

k
(1 + T1 s)(1 + T2 s)

T1 T2

vi

(m hnh PT2)

(3.11)

hoc
G(s) =

k
(1 + Ts) n

(m hnh PTn)

(3.12)

Vn tip theo t ra cho bi ton nhn dng l t ng th ca h(t)

ta phi xc nh loi m hnh no trong s (3.11), (3.12) thch hp vi i
tng, cng nh cc tham s k, T1, T2 hoc k, T, n cho m hnh .
h(t)
k

h(Tu)
Hnh 3.18: Hm qu ca khu

PT2 v PTn.

102

t
0

Tu

Trong khi tham s k ca c hai m hnh c th c c ngay mt cch

trc tip t h(t) theo cng thc:
k = lim h( t ) = h()
t

hay k chnh l tung ca giao im ng tim cn ca h(t) khi t, th

vic xc nh nhng tham s cn li (T1, T2 hoc T, n) c phn phc tp hn
v chng s c xc nh da vo hai gi tr a, b (hnh 3.19) c t th
h(t).
ng thc nghim ca h(t) c mt c im mu cht m ta s s dng
xc nh T1, T2 hoc T, n t a, b l trong khong thi gian 0 t<Tu (hnh
3.19) h(t) c tc tng dn (gia tc dng), sau l gim dn vn tc v
0 khi t (gia tc m), ni cch khc h(t) c vn tc cc i
v* = max dh( t )
dt

ti thi im Tu v nh vy ti Tu ng cong h(t) c im un.

ng tip tuyn htt(t)

h(t)
k

im un

h(Tu)

Tu
a

Hnh 3.19: Xc nh hai tham s a v b t h(t).

K ng tip tuyn htt(t) ca h(t) ti Tu th phng trnh ng tip

tuyn s l
htt(t) = tg (t a),

103

trong a c nh ngha l honh giao im ca ng tip tuyn ca

h(t) ti im un. Gi b l khong thi gian ng tip tuyn i c
t 0 ti k ta c:
v*= tg = k

b=

k
v*

(3.14)

a = Tu h(Tu ) = Tu h(Tu )
tg

(3.15)

v*

Xc nh tham s m hnh PT2 (T1 T2)

Khng mt tnh tng qut nu ta gi thit T1 > T2 , nh vy th t (3.11) ta
c m hnh ca ng thc nghim h(t) bng php bin i ngc ton t
Laplace nh sau:
h(t)

t
t

T e T1 T e T2
2
= k 1 1
T1 T2

(3.16)

Suy ra:

dh( t )
dt

=k

t
T1

e T2
T1 T2

(3.17)

t
t

T1
T2

d h( t )
e
.
= k e
+
2
T1 (T2 T1 ) T2 (T1 T2 )
dt

Bi vy c Tu ta xc nh thi im m
Tu =

T1T2
T
ln 2
T2 T1
T1

(3.18)
d 2 h( t )
dt 2

b trit tiu v i n
(3.19)

Thay (3.19) vo (3.17) c

v* =

dh(Tu )
dt

= k
T1

T2

T
1

T2

T1 T2

(3.20)

v thay (3.19), (3.16) vo (3.15) c

a = Tu b + T1+ T2
104

(3.21)

Do nu ta k hiu
x=

T2
T1

(0<x<1 v T1 > T2).

(3.22)

th cng vi (3.14), (3.19) ta s c

b
T1

= k = T2
T1 v * T1

T2

T2 T1

= x x 1 = f1(x).

(3.23)

v vi (3.21), (3.21) c
a
b

v * ( kTu bv*)
k2

1
x x

x ln x + x 2 1
1 = f2(x)
x 1

(3.24)

Ba cng thc (3.22), (3.23) v (3.24) chnh l cng c tm T1 , T2 t a

v b. C th nh sau:

Tm x tha mn 0<x<1 t

a
b

bng cch gii ngc (3.24), tc l x

= f21 a
b

Tm T1 t x theo (3.23), tc l T1 =

b
f1 ( x )

Tm T2 theo (3.22), tc l T2 = xT1

Nhng phi ch rng cc bc xc nh T1 , T2 t a v b trn y khng
phi lc no cng p dng c. Ti sao li nh vy?. Cu tr li nm
ngay iu kin l gi tr x tm c bc u tin phi tha mn 0<x<1.
Nu nh rng gi tr x tm c bc u tin nm ngoi khong (0,1) th
ta c th dng ngay cng vic tnh ton v a ra kt lun rng i tng
khng th m t bi m hnh PT2.
Hn na, hm f2(x) nh ngha theo (3.24) l hm ng bin (phn chng
minh dnh cho bi tp) vi gi tr gii hn
x

x ln x + x 2 1

1 =0,103648
lim f2 ( x ) = lim x 1 x
x 1
x 1
x 1

nn ta c th kim tra iu kin thc hin thut ton m khng cn gii

ngc phng trnh (3.24) bng cch kim tra xem t s a c nm trong
b

khong
105

0 < a < 0,103648

(3.25)

hay khng.
Tng kt li tt c cc kt qu nu trn, ta c c thut ton xc nh
cc tham s k, T1, T2 ca m hnh (3.11) t ng thc nghim h(t) nh sau:
1) Tm hng s k theo k = h().
2) K ng tip tuyn htt(t) vi h(t) ti im un. Sau xc nh hai
tham s a l honh giao im ca ng tip tuyn htt(t) vi trc thi
gian v b l khong thi gian ng tip tuyn i c t 0 ti k.
3) Lp t s

a
b

. Nu t s ny nm ngoi khong (3.25), tc l

a
b

0,103648, th dng thut ton vi kt lun rng i tng khng m t

c bng m hnh (3.11).
4) Tm x tha mn 0<x<1 t a bng cch gii ngc (3.24), tc l x
b

f21

a
.
b

5) Tm T1 t x theo (3.23), tc l T1 =

b
f1 ( x )

6) Tm T2 theo (3.22), tc l T2 = xT1.

Da vo tnh cht l f2(x) = a n iu tng trong khong 0<x<1, mt
b

hm vit trn ngn ng lp trnh C c tn x_adivb() theo nguyn tc chia

i khong nghim sau mi ln tnh cho di y phc v vic xc nh
ngc x = f21 a nh bc 4) yu cu. Hm ny c bin hnh thc adivb
b

cha gi tr u vo l t s
105.

a
b

v tr v gi tr x tnh c vi chnh xc

double x_adivb(double adivb)

{
double x1=0., x2=1.,f2,x,mu,err=0.00001;
do {
x=(x1+x2)/2.;
mu=pow(x,(x/(1.-x)));
106

f2=(mu*(x*log(x)+x*x-1.)/(x-1.))-1.;
if (adivb<f2) x2=x; else x1=x;
} while(fabs(f2-adivb)>err);
return(x);
}
Bng 3.2 di y c thit lp nh tr gip ca hm x_adivb() biu din
mt vi gi tr x c tnh ngc t nhng t s

a
b

c trng.

Bng 3.2: Mt s gi tr x c t nhng gi tr a/b tng ng.

a/b 0,01 0,02 0,03 0,04 0,05 0,06 0,07 0,08 0,09 0,1
x 0,01 0,02 0,04 0,70 0,10 0,13 0,19 0,26 0,37 0,61
2
75
67
7
08
93
04
22
40
13
Nu tn hiu kch thch ch ng u vo ca i tng khng phi l
hm Heaviside 1(t) m l u(t)=u01(t) v tn hiu o c u ra l y(t) th
do tnh tuyn tnh ca i tng, hm qu h(t) s l
h(t) =

y( t )
u0

(3.26)

Do , cng vi (3.26) thut ton trn cng c mt sa i nh cho ph hp

vi bi ton xc nh cc tham s k, T1, T2 ca m hnh (3.11) t ng thc
nghim y(t) nh sau
1) Tm hng s k theo k =

y( )
u0

2) K ng tip tuyn ytt(t) vi y(t) ti im un. Sau xc nh hai

tham s a l honh im m ti c ytt(t)=0 ca ng tip tuyn
v b l khong thi gian ng tip tuyn i c t 0 ti y().
3) Lp t s

a
b

. Nu

a
b

0,103648, th dng thut ton vi kt lun rng

i tng khng m t c bng m hnh (3.11).

4) Tm x = f21 a bng cch gii ngc (3.24).
b

5) Tm T1 t x theo (3.23), tc l T1 =

b
f1 ( x )

107

6) Tm T2 theo (3.22), tc l T2 = xT1.

V d 1: Gi s ta phi xc nh m hnh c tham s dng (3.1) cho b cm
bin chuyn i p sut thnh dch chuyn nh hnh 3.20 bn tri m t.
Kch thch vi u vo u(t)=1,5bar ngi ta o c u ra ng thc
nghim y(t) cho hnh 3.20 bn phi.
T ng thc nghim y(t) v sau khi k ng tip tuyn ytt(t) vi n ti
im un ta c
k = 2,5 = 1,7,
1,5

a = 0,1

b = 1,15.

Suy ra
a
b

= 0,087 < 0,103648

v do ta p dng c thut ton trn tm T1, T2 . Gi hm

x_adivb()vi gi tr adivb =0,087 u vo ta c x = 0,334.
y(t)
khong dch
chuyn

y(t)

2,5
p sut u(t)

t
0,1

1,25

Hnh 3.20: Xc nh m hnh b cm bin chuyn i p sut/ dch chuyn.

Vy T1 =

b
f1 ( x )

bin l:
G(s) =

0,6638 , T2 = xT1 0,2214 v m hnh tham s ca b cm

1,7
(1 + 0,6638 s)(1 + 0,2214 s)

Cc bc 3), 4), 5) v 6) ca thut ton xc nh tham s m hnh PT2

trn c ci t thnh hm pt2() vi 4 bin hnh thc a, b, T1 v T2
c vit trn ngn ng lp trnh C cho di y tham kho, trong hai
gi tr u vo a, b l ni dung ca hai bin hnh thc a, b v hai tham s
108

u ra T1, T2 tnh c s c hm ct gi trong cc bin hnh thc T1, T2

.
Hm pt2() c s dng thm hm x_adivb() tnh ngc x t

a
b

theo

cng thc x= f21 a . Gi tr tr v ca pt2() l mt s nguyn. Nu pt2() tr

b

v gi tr 0 th i tng m t c bi m hnh PT2 , trng hp ngc li

th khng.
int pt2(double a, double b, double &T1, double &T2)
{
double adivb, x;
adivb=a/b;
if ((0<adivb)&&(adivb<0.103648))
{
x=x_adivb(adivb);
T1=b/pow(x,(x/(x-1.)));
T2=x*T1;
return 0;
} else return 1;
}
V d 2: Gi s t ng thc nghim y(t) ngi ta xc nh c a=2,5
v b=30. Gi chng trnh pt2() bng lnh
void main()
{
double a=2.5,b=30,T1,T2;
if (pt2(a,b,T1,T2)== 0) printf("T1=%1.4f\tT2=%1.4f\n",T1,T2);
getch();
}
ta s nhn c T1 = 18,0312 v T2 = 5,2829.

Xc nh tham s m hnh qun tnh bc cao

thut ton trn c mt iu kin rng buc l t s

a
b

phi tha mn

(3.25) v nu iu khng xy ra ngi ta phi ngh ti mt m hnh khc.

109

M hnh u tin c nhiu kh nng thch hp l m hnh PTn (3.12) vi n

l mt tham s cn phi xc nh.
Xut pht t (3.12) vi cng thc bin i Laplace ngc sang min thi
gian s c
h(t)

= k 1 e T

t

n 1 T
i!
i=0

(3.27)

v nh vy ta c
dh( t )
dt

= ke

i
i

t
t

n 1 T

n 1 T
t T
i
!
(
i
1
)!

i=0

i=0

t
T

tT

d 2 h( t )
dt 2

= ke2

t
T

t T2

d 2 h( t )
dt 2

(3.28)
i

t
t
t
iT (T + 2t ) i 2 T 2 t 2
n 1 T
T

i
!
i=0

(3.29)

= 0 v gii ra tm Tu ta i n

Tu = (n 1)T

(3.30)

Thay (3.30) vo (3.28) v (3.27) c

1 n

( n 1) n 2
T ( n 2)!

v* = dh(Tu ) = k e
dt

n 1 ( n 1) i

h(Tu) = k e n 1

i=0

i!

(3.31)
(3.32)

Thay tip (3.31) vo (3.14)

b=

( n 2)!
( n 1) n 2

e n 1 T

v (3.30), (3.31), (3.32) vo (3.15)

a = ( n 1)T

110

T ( n 2)! n 1 n 1 ( n 1) i
e

i !
( n 1) n 2
i=0

(3.33)

Suy ra
a
b

= e1 n ( n 1)

( n 1) !

n 1 ( n 1) i

i=0

i!

1 = f3(n).

(3.34)

Cng thc (3.34) chnh l cng thc xc nh tham s n cho m hnh

(3.12) bng cch gii ngc
n = phn nguyn gn nht ca

a
f31 .
b

v sau khi c n t (3.35) ta cng s c nt tham s T cn li nh (3.33):

T=

b( n 1) n 2
e n 1 ( n 2)!

(3.36)

Do nN nn khi n tng i nh (3.35) c th c thay th bng bng

tra cho n gin, tc l sau khi c t s a ta ch cn tra bng c n m
b

khng cn gii ngc phng trnh (3.35). Mt bng tra nh vy l bng 3.3
cho di y.
Bng 3.3: Bng tra gi tr n t t s a/b.
n 2
3
4
5
6
7
8
9
10
11
a/b 0,10 0,21 0,31 0,41 0,49 0,57 0,64 0,70 0,77 0,83
36
8
94
03
33
17
92
32
41
Bng 3.3 c to lp bi hm adivb_n() vi gi tr u vo n l ni
dung ca bin hnh thc n v gi tr tr v l t s a vit trn C nh sau:
b

double adivb_n(int n)
{
int i;
double tu_so,mau_so,sum;
mau_so=1.;
tu_so=n-1.;
sum=1.;
for (i=1;i<n;i++)
{ mau_so=mau_so*i;
sum=sum+(tu_so/mau_so);
111

tu_so=tu_so*(n-1.);
}
return((exp(1.-n)*((tu_so/mau_so)+sum))-1.);
}
Tng qut, mt hm khc vit trn C vi tn n_adivb() cho sau y c
tc dng thc hin cng thc (3.35) tnh ngc n t t s a m khng cn
b

tra bng 3.3. Gi tr u vo ca hm

a
b

l ni dung ca bin hnh thc

adivb v hm s tr v gi tr n tnh c c sai lch | f3(n)

a
b

| nh nht.

int n_adivb(double adivb)

{ int n=2;
double save=0.1036, result;
do
{ n=n+1;
result=save;
save=adivb_n(n);
} while (save<=adivb);
save=(save+result)/2.;
if (save<adivb) return(n); else return (n-1);
}
Ch : Gi rng tng qut, song hm n_adivb() cng c nhc im l
khng thc hin c khi

a
b

> 4,75 do trn nh. Vi

a
b

= 4,75 hm s tr

v gi tr n=127. Nhng mt m hnh (3.12) vi n>50 c xp vo loi

m hnh c cu trc phc tp, t c ngha thc t nn nhc im ny s
khng hn ch kh nng ng dng ca hm.
Ngoi ra, do i tng l tuyn tnh nn cc cng thc (3.35), (3.36)
cng nh hm n_adivb() xc nh n, T t a, b khng ph thuc vo tn hiu
ch ng kch thch i tng u vo u(t) l 1(t) hay u01(t). Bi vy khi
u(t)=u01(t), thut ton xc nh cc tham s k, T v n t ng thc nghim
y(t) o c ti u ra s c dng nh sau:
1) Tm hng s k theo k =

112

y( )
u0

2) K ng tip tuyn ytt(t) vi y(t) ti im un. Sau xc nh hai

tham s a l honh giao im ca ng tip tuyn ytt(t) vi trc thi
gian v b l khong thi gian ng tip tuyn i c t 0 ti
y().
3) Lp t s

a
b

. Nu

a
b

< 0,103648, th dng thut ton vi kt lun rng

i tng phi c m t bng m hnh (3.11). Ta cng dng thut ton

khi a > 4,75.
b

4) Tm n bng cch tra bng 3.3 hoc nh hm n_adivb().

5) Tm T t n v b theo (3.36).
Mt phn thut ton trn, c th l cc bc 3), 4), 5) nhm xc nh
tham s n, T cho m hnh PTn c ci t thnh hm ptn() vi 4 bin
hnh thc a, b, n v T vit trn C cho di y tham kho. Hai gi tr u
vo a, b l ni dung ca a, b. Hai tham s u ra n, T s c hm ct trong
n v T. Gi tr tr v ca ptn() l mt s nguyn. Nu ptn() tr v gi tr 0
th i tng m t c bi m hnh PTn (3.12), 1 nu i tng phi c
m t bi m hnh PT2 (3.11) v 2 nu i tng khng th m t bi m
hnh PTn v PT2 . Ch khi gi tr ca hm tr v bng 0 th kt qu n, T m
hm tnh c mi c ngha.
int ptn(double a, double b, int &n, double &T)
{
double adivb=a/b;
int k,p=0;
if (adivb<0.103648) p=1;
else if (adivb>4.75) p=2;
else
{ n=n_adivb(adivb);
T=b*(double)(n-1)/exp(n-1);
for (k=2;k<n-1;k++) T=T*(n-1)/k;
}
return (p);
}

113

V d 3: Gi s khi kch thch bng tn hiu 1(t) ti u vo ca mt i

tng cn nhn dng ngi ta thu c u ra ng thc nghim h(t) cho
hnh 3.21. Vi ng thc nghim th k =3 v sau khi k ng tip
tuyn ti im un ta c thm a =1,7 ; b = 2,9.
h(t)
3

Hnh 3.21: Hm qu ca i
tng trong v d 3.

t
0
1,7

2,9

Gi hm ptn(a,b,n,T) vi hai gi tr u vo trn s nhn c n = 7, T =

0.4658. Vy m hnh ca i tng l
G(s) =
3.1.5

(1 + 0,4658 s)7

Xc nh tham s m hnh Lead/Lag

Nu ng thc nghim h(t) ca mt i tng c dng ging hnh 3.22

bn tri th vi cc s kin:

h(t) khng xut pht t 0 v c o hm ti 0 cng khc khng nn theo

kt lun 1 trong mc 3.1.1, bc ca t s v bc ca mu s ca m
hnh tham s (3.1) phi bng nhau, tc l na = nb ,
khi t hm h(t) tin ti mt hng s k 0 nn cng theo kt lun 1,
m hnh (3.1) phi tha mn k = b0 ,
a0

h(t) khng c dng ln sng, lun c xu hng tng dn ti k nn theo

kt lun 2 cc hng s thi gian ca a thc t s v mu s phi l
nhng s thc v phi tha mn cc bt ng thc (3.3),
ta c th m t i tng mt cch tm bng m hnh Lag (ct bt) nh
sau

114

G(s) =

1 + Tt s
1 + Tm s

Tt < Tm

Hnh 3.22 bn phi l biu Bode ca (3.37). T biu Bode ta

thy m hnh (3.37) khng u tin nhng thnh phn tn hiu c tn s cao
khi i qua n, chnh v vy m m hnh (3.37) c tn l l m hnh Lag.
|G(j)|

h(t)
h()

h(0)
t

Tm1

Tt1

Hnh 3.22: Hm qu v biu Bode ca m hnh Lag (ct bt).

Tng t, trng hp ng thc nghim h(t) ca mt i tng c dng

nh hnh 3.23 bn tri, ta s c cc s kin sau:

v h(t) khng xut pht t 0 v c o hm ti 0 khc khng nn na =

nb ,
do vi t hm h(t) tin ti mt hng s k 0 nn k = b0 ,
a0

h(t) khng c dng ln sng, c mt im cc i ti t=0 sau gim

dn ti k nhng khng nh hn k nn theo kt lun 3 cc hng s thi
gian ca a thc t s v mu s phi l nhng s thc v phi c mt
bt ng thc trong (3.3) khng c tha mn.
T cc s kin nu trn ta c th i n nhn nh rng i tng s m
t c mt cch tm bi m hnh Lead (dn qua) nh sau:
G(s) =

1 + Tt s
1 + Tm s

Tt > Tm

(3.38)

115

trong tn gi Lead ca (3.38) c suy ra t tnh cht l (3.38) s u tin

cc tn hiu c tn s cao khi i qua n (xem biu Bode tng ng trong
hnh 3.23 bn phi).
Vn cn li l xc nh cc tham s k, Tt v Tm cho m hnh.
|G(j)|

h(t)
h(0)

h()
t

Tt1

Tm1

Hnh 3.23: Hm qu v biu Bode ca m hnh Lead (dn qua).

Xc nh tham s m hnh Lag

Kch thch mt cch ch ng ti u vo ca i tng c th m t bi
c m hnh Lag (3.37) bng tn hiu u(t)=u01(t) ta s thu c u ra tn
hiu y(t) c dng cho trong hnh 3.24.
y(t)
y() = u0k

Hnh 3.24: Xc nh tham s

cho m hnh Lag (ct
bt).

kTt
y(0) = u0
Tm

Tm

t
Tm

Nhim v by gi l phi xc nh cc tham s k, Tt v Tm cho m hnh

t ng thc nghim y(t) thu c . Trong khi tham s k xc nh ngay
c bi
k=

116

y( )
1
lim y( t ) =
u0
u0 t

(3.39)

tc l bng t s ca gi tr y() v u0 th vic xc nh hai tham s Tt , Tm

cn li c phn phc tp hn.
Trc ht ta c
Y(s) = u0 G( s) = u0
s

k(1 + Tt s)
s(1 + Tm s)

(3.40)

cho nn
y(0) = lim sY ( s) = u0
s

kTt
Tm

(3.41)

K tip ng tip tuyn ytt(t) vi y(t) ti im t=0 v gi tg l h s

gc ca ng tip tuyn th (hnh 3.24)
tg = dy(0) = lim sY& ( s)
s

dt

trong

Y& ( s)

l k hiu ch nh Laplace ca

dy( t )
dt

. Vi (3.40), (3.41) v

cng thc bin i (3.2c) ta c

Y& ( s)

= sY(s) y(0) = u0 k(1 + Tt s) kTt

1 + Tm s

Tm

Suy ra
tg =

u0 k u0
Tm

kTt
Tm

y( ) y(0 )
Tm

Do Tm chnh l honh ca giao im gia ng tip tuyn ytt(t) vi

ng tim cn y(). T Tm ta cng c lun Tt nh (3.41) nh sau
Tt =

y(0 )Tm
u0 k

(3.42)

Ta i n thut ton th nht:

a) K ng tim cn y() vi y(t) ti t= ri xc nh k theo (3.39).
b) K ng tip tuyn ytt(t) vi y(t) ti t=0, sau xc nh Tm l
honh ca giao im gia ng tip tuyn ytt(t) vi ng tim
cn y().
c) Xc nh Tt theo (3.42).

117

Thut ton trn vng li vn c cp khi nhn dng tham s T

cho m hnh PT1 mc 3.1.2 l im y(0) ni bt u t ng tip tuyn
nm kh xa ng tim cn y(). iu ny dn ti nguy c kt qu s b sai
s kh ln khi m ch cn c mt sai lch nh trong vic dng ng tip
tuyn.
trnh nguy c ny ngi ta s khng dng ng tip tuyn ti y(0)
na m thay vo l ti mt im khc nm tng i gn hn so vi
ng tim cn y(), chng hn im A c ta

a
nh
b

hnh 3.25 m t.

y(t)
B

y()
b

Tm

Hnh 3.25: Xc nh tham s Tm c sai s

nh cho m hnh Lag (ct bt).

y(0)

t
a

ng tip tuyn ny s c phng trnh

ytt(t) = tg (ta)+b

(3.43)

xc nh h s gc tg ta i t nh Laplace Y(s) ca y(t) theo cng

thc (3.40) v sau khi chuyn ngc sang min thi gian s c
t

y(t)

T
T
= u0 k(1 m t e Tm )
Tm

tg = y& (a) = u0 k Tm 2 Tt

a
Tm

Tm

(3.44)

Gi B l giao im ca tip tuyn ytt(t) vi ng tim cn y() v T l

honh ca B th
ytt(T) = tg( Ta)+b = y() = ku0
do cng vi (3.43), (3.44) c

118

T a =

y( ) y( a)

2
Tm

tg

u0 k(Tm Tt )e

a
Tm

u k u k(1 Tm Tt e Tm
0
0
Tm

= Tm

Vy Tm chnh l khong thi gian cn thit ytt(t) i c t im A ti

im B. Ta c c thut ton th hai:
1) K ng tim cn y() vi y(t) ti t= ri xc nh k theo (3.39).
2) Ly mt im A bt k trn y(t) v k ng tip tuyn ytt(t) vi y(t) ti
A, sau xc nh B l giao im gia ng tip tuyn ytt(t) vi ng
tim cn y().
3) Chiu on

AB ln

trc thi gian (trc honh) c Tm.

4) Xc nh Tt t Tm v k theo (3.42).
Xc nh tham s m hnh Lead
V c bn, vic xc nh cc tham s k, Tt v Tm cho m hnh Lead cng
ging nh cho m hnh Lag. im khc bit duy nht l ng thc nghim
y(t) ca m hnh Lead lun nm pha trn ng tim cn y() nn phi c
Tt > Tm (hnh 3.26).
Thut ton tm k, Tt v Tm t ng thc nghim y(t) c dng nh sau:
1) Xc nh im y(0).
2) Dng ng tim cn y() ca y(t) v tnh k =

y( )
1
lim y( t ) =
u0
u0 t

3) K ng tip tuyn ytt(t) vi y(t) ti mt im A bt k trn y(t), sau

xc nh giao im B ca ytt(t) vi ng tim cn y(). Thng thng
im A c chn l im khng nm qu xa ng tim cn y().
4) Tnh Tm l hnh chiu ca on
5) Tnh Tt =

y(0 )Tm
u0 k

AB ln

trc honh.
y(t)

kTt
y(0) = u0
Tm

y() = u0k
Hnh 3.26: Xc nh tham s cho
m hnh Lead (dn qua).

Tm
Tm

119
t

3.1.6

Xc nh tham s m hnh i tng dao ng bc hai tt dn

Xt mt i tng tuyn tnh cn phi nhn dng m khi kch thch ch

ng ti u vo bng hm u(t)=1(t) ta thu c u ra ng thc
nghim ca hm qu h(t) c dng ging nh trong hnh 3.27.
h(t)

h
Hnh 3.27: Hm qu ca i tng dao
ng bc hai.

ng thc nghim ny c nhng c im sau:

Hm h(t) xut pht t im 0 v c o hm ti 0 bng 0. Theo kt lun

1 nu trong mc 3.1.1 th m hnh (3.1) ca n phi c na nb >1.
Khi t th h(t) tin ti mt hng s h . Cng theo kt lun 1 th m
hnh tham s (3.1) ca n c a0 0.
Hm h(t) c v s im cc tr phn b xen k, cch u nhau, trong
cc im cc i ln hn h cn cc gi tr cc tiu th nh hn h .
Theo kt lun 5, m hnh tham s (3.1) phi c nhng im cc l s
phc lin hp.
Vi nhng kt lun nh vy, ta hon ton c th m t i tng bng
m hnh
G(s) =

kq 2
2

s + 2qDs + q 2

trong

0<D<1

(3.45)

T m hnh ny ta c c ngay:
h = lim h( t ) = lim G( s) = k
t

s0

bi vy vn cn li phi lm ch l xc nh nt D v q.

120

(3.46)

Gi s1 v s2 l hai im cc ca m hnh (3.45), ta c

s1,2 = Dq jq

1 D2

Suy ra

h(t) = k1

sin q 1 D 2 t + arcos D

1 D2

e Dqt

v
dh( t )
dt

=k

qe Dqt

sin q 1 D 2 t

1 D
2

Gii phng trnh

dh( t )
dt

= 0 tm cc im cc tr (k c ti im t=0)

c:
Ti =

i
q 1 D2

i = 0, 1, K .

h(t)
hmax

h qu iu chnh
k=h

Hnh 3.28: Xc nh tham s m hnh dao

ng bc hai t hm qu .

t
T1

T2

T3

Do

D
2
1 D

hmax = h(T1) = k1 sin( + arcos D) exp

1 D2

2
1 D

= k1 + exp

(3.48)

Tr (3.48) cho (3.46) ta s c qu iu chnh (hnh 3.28):

121

D
2
1 D

h = hmax h = k exp

(3.49)

Nu chia (3.49) cho (3.46) theo tng v c:

D
2
1 D

h
k

= exp

D=
1+

(3.50)

2
ln 2

h
k

v chnh l cng thc cho php xc nh tham s D t ng thc

nghim h(t).
Tham s q cn li s c xc nh t D vi s tr gip ca T1 theo
(3.47) nh sau:
T1 =

q 1 D

q=

T1 1 D 2

(3.51)

Ba cng thc (3.36), (3.50) v (3.51) t c s cho vic xc nh cc

tham s k, D, q ca m hnh (3.45) t ng thc nghim h(t). Nu nh
rng v mt l do no ta khng c c hm qu h(t) m ch c p
ng y(t) khi i tng c kch thch bi u(t)= u01(t) th do i tng l
tuyn tnh, nhng cng thc trn s c mt sa i nh li thnh (phn
chng minh dnh cho bi tp):
y = lim y( t ) = ku0
t

D=

1+

ln 2

q=

, trong y = ymax y

(3.52b)

y
y

T1 1 D 2

Tng kt li, ta i n thut ton:

122

(3.52a)

(3.53c)

1) K ng tim cn vi y(t) ti t= ri xc nh k theo (3.52a), tc l k

=

y
u0

2) Xc nh ymax v T1 l ta ca im cc i u tin ca ng y(t).

3) Tnh D theo (3.52b), trong y = ymax y
4) Tnh q t T1 v D theo (3.53c).
Cc bc tnh ton bao gm tnh k, D v q t y , ymax v T1 ca thut
ton c ci t thnh chng trnh con ptc()vit trn C cho di y
tham kho. Chng trnh ptc() c 7 bin hnh thc, trong u0, yp, ym,
T1 cha cc s kin u vo u0 , y , ymax , T1 cn k, D, q cha kt qu tnh
c l cc tham s m hnh k, D, q.
void ptc( double u0,double yp,double ym,double T1,
double &k,double &D,double &q)
{
k=yp/u0;
D=1./sqrt(1.+(pow(M_PI,2.)/pow(log(fabs(ym-yp)/yp),2.)));
q=M_PI/(T1*sqrt(1.-D*D));
}
V d: Gi s rng khi kch thch mt i tng bng tn hiu u(t)=1(t)
u vo ta thu c ti u ra ng thc nghim cho trong hnh 3.29. T
ng thc nghim ta c ra c:
y =2,2

ymax =3,5 T1 =2,6

y(t)
ym = ymax =3.5
yp = y =2.2

Hnh 3.29: V d minh ha thut ton xc

nh tham s m hnh dao ng bc
hai.

t
T1=2.6

123

Gi chng trnh ptc() vi cc gi tr

double u0=1.,yp=2.2,ym=3.5,T1=2.6,k,D,q;
ptc(u0,yp,ym,T1,k,D,q);
s thu c kt qu
k =2,2
3.2

D =0,165161

q =1,22513

Xc nh tham s m hnh t nhng gi tr G(jn) c

Nhng phng php xc nh m hnh tham s t p ng u ra y(t) ca

i tng tuyn tnh cn nhn dng khi i tng c kch thch bi tn
hiu u vo u(t)= u01(t) c trnh by trong mc 3.1 c u im l ch
cn t dng ng thc nghim y(t) ngi ta c th khoanh vng lp cc
m hnh thch hp cho i tng, nhng li c mt nhc im chnh hn
ch ng dng tng qut l vic xc nh tham s cho m hnh thuc lp cc
m hnh ph thuc kh nhiu vo dng lp cc m hnh c th v khng
tng qut ha c cho mt lp m hnh c cu trc bt k (bc m hnh l
cho trc). Chnh v vy, cc phng php ch c th c gi gn trong
phm vi s dng vi nhng m hnh n gin (bc m hnh thp) thuc mt
trong 7 lp:
1)
2)
3)
4)
5)
6)

Lp cc m hnh PT1
Lp cc m hnh IT1
Lp cc m hnh ITn
Lp cc m hnh PT2
Lp cc m hnh PTn
Lp cc m hnh Lead/Lag

7) Lp cc m hnh khu dao ng bc hai tt dn.

b p c hn ch trn, mc ny s gii thiu thm cc phng
php xc nh tham s b0 , b1 , K , bnb , a0 , a1 , K , ana , cho m hnh thuc
lp
G(s) = Y ( s) =
U ( s)

124

b0 + b1 s + L + bnb s nb
a0 + a1 s + L + ana s na

na nb

(3.54)

t cc gi tr {G(jn )}, n=0,1, K , 2M ca G(s) c gi thit l c,

chng hn nh nh thut ton nhn dng b ng bng phn tch ph v hm
nonpar() gii thiu chng 2. Cc phng php ny cng cn thm gi
thit na l bc ca m hnh na , nb bit trc (m hnh c cu trc).
Do cc phng php nhn dng b0 , b1 , K , bnb , a0 , a1 , K , ana c s
dng phng php tnh Cholesky gii h phng trnh tuyn tnh phc
c11

c21
M

c
n1

c12
c22
M
c n2

L c1n
x1 k1
L c2n
M = M
O M
kn
xn
L cnn

, vi cij , ki C

(3.55)

nn tin cho vic theo di, thut ton Cholesky s c gii thiu trc
khi i vo c th cc phng php nhn dng tham s b0 , b1 , K , bnb , a0 , a1
, K , ana .
3.2.1

Thut ton Cholesky

Nu s dng cc k hiu
C

c11

c
= 21
M
c
n1

c12
c22
M
c n2

L c1n

L c2n
,
O M
L cnn

x1

M ,
x
n

x =

k1

M
k
n

k =

phng trnh (3.55) vi cc h s phc cij , ki , i, j = 1, K , n vit c

thnh
Cx = k

(3.56)

trong nghim x cng l vector gm cc phn t phc.

Vic gii phng trnh trn khng th c thc hin n gin l tnh ma
trn nghch o C 1 a ra nghim x= C 1k v nh lm nh vy, s lng
cc php tnh phi thc hin l rt nhiu ko theo sai s ln, c bit sai s
tnh ton s cng ln khi ma trn C tuy khng suy bin nhng c nh thc
tng i nh. Bi vy gii phng trnh (3.56) ngi ta cn phi c

125

nhng thut ton thch hp v mt trong nhng thut ton l thut ton
ca Cholesky.
iu kin p dng c thut ton Cholesky l cn phi c gi thit
rng ma trn C xc nh dng v i xng Hermitian, tc l
xHCx 0, xHCx = 0 khi v ch khi x = 0,
CH= C,
trong k hiu m H ch php tnh chuyn v v ly cc phn t lin hp
ca mt ma trn (hay vector). Gi thit trn, nh sau ny ch r, hon ton
ph hp vi bi ton nhn dng tham s m hnh ca ta.
T tng chnh ca thut ton Cholesky l phn tch ma trn C thnh tch
C=DDH vi D l ma trn m cc phn t pha trn ng cho chnh ng
nht bng 0
D

d11

d
= 21
M
d
n1

0
d22
M
dn 2

L 0

L 0
, tc
O
M
L dnn

l dij = 0 khi i<j

Vic phn tch C thnh C=DDH lun thc hin c nu C xc nh

dng v tha mn CH= C.
Nu C c phn tch thnh C=DDH thi cng vic gii h phng
trnh (3.56) s khng cn n ma trn nghch o C 1 na m tr nn n
gin hn nhiu bng vic gii hai h phng trnh tuyn tnh:
D

=k

d11

d21
M

d
n1

0
d22
M
dn 2

L 0

L 0
O
M
L dnn

y1 k1

M = M
y k
n n

(3.57a)

d11

M
0

d21 L dn1
d22 L dn2

M O
M
0 L dnn

x1 y1

M = M
x y
n n

(3.57b)

v
DHx = y

126

trong

dij l

k hiu ch s phc lin hp ca dij .

Nh ni, vic tm nghim hai phng trnh trn khng cn phi thng
qua ma trn nghch o D 1. Tht vy gii phng trnh (3.57a) ta ch
cn tin hnh cc bc sau:
1) Xc nh y1 =

k1
d11

2) Ln lt vi i=2, K , n tnh yi =

1
dii

i 1

k d y
i
ij
j

j =1

v gii phng trnh (3.57b) ta thc hin (phn chng minh dnh cho bi
tp):
1) Xc nh xn=

yn
d nn

2) Thc hin ln lt cho j =n1, K , 1 cng thc xj =

1
d jj

y d x
j
ij i

i = j +1

iu bn khoan rng hai thut ton trn c thc hin c khng, tc l

thc s cc phn t dii trn ng cho chnh ca D c khc 0 hay khng,
s c tr li vi tnh cht xc nh dng ca C nh sau:
nh l 3.1: Nu ma trn C vi cc phn t cij l nhng s phc c tnh xc
nh dng th
a) C khng suy bin.
b) Cc phn t trn ng cho chnh cii l nhng s thc dng.
Chng minh: a) Tnh khng suy bin ca C c suy ra t nh ngha v
tnh xc nh dng, v nu C suy bin th tn ti x 0 c Cx=0 v do
xHCx=0.
V b) ta ch cn thay x=ei vo cng thc xHCx > 0 khi x 0, trong ei l
vector n v c phn t th i bng 1 cn cc phn t khc bng 0, s c
e iH C e i

>0

cii > 0

(.p.c.m).

127

Vi nh l 3.1 v quan h C= DDH th D cng phi l ma trn khng

n

suy bin, tc l det D 0. Nhng do det D = dii nn phi c dii 0 vi

i =1

mi i v chnh l iu kin thut ton gii phng trnh (3.57) thc

hin c.
By gi ta s xc nh cng thc thc hin phn tch C=DDH. T
d11

d21
M

d
n1

0
d22
M
dn 2

L 0

L 0
O
M
L dnn

d21 L dn1 c11

d22 L dn2 c21

=

M O
M M
0 L dnn cn1

d11

M
0

c12
c22
M
c n2

L c1n

L c2n
O M
L cnn

c
n

min( i, j )

q =1

q =1

cij = diq d jq =

(3.58)

diq d jq

Suy ra
j

cjj = d jq d jq =
q =1

q =1

d jq

Cng thc ny khng nh li mt ln na rng cc phn t trn ng cho

chnh cjj ca C l nhng s thc dng. n gin ta s tm ma trn D c
cc phn t trn ng cho chnh cng l cc s thc dng, khi th
j 1

cjj = d 2jj +

q =1

d jq

djj =

c jj

j 1

q =1

d jq

(3.59)

Mun tm nhng phn t dij vi i>j cn li ta i t (3.58). Do c gi

thit i>j nn (3.58) tr thnh
j 1

cij = diq d jq = dij d jj + diq d jq

q =1

q =1

dij =

1
d jj

c d d
ij q =1 iq jq

j 1

(3.60)

v chnh l cng thc xc nh dij khi i>j.

Da vo (3.59), (3.60) ta c thut ton tm D: Thc hin vi j =1,2, K ,
n:
128

a) Tnh djj theo (3.59).

b) Tnh ln lt cc gi tr dij c i = j+1, K , n theo cng thc (3.60).
Nu ghp chung thut ton tm D va pht biu vi hai thut ton gii h
phng trnh (3.57a) v (3.57b) ta s i n thut ton Cholesky gm cc
bc tnh sau:
1) Phn tch C thnh DDH, tc l tm dij vi i j, bng cch thc hin ln
lt cc bc sau vi j =1,2, K , n:
a) Tnh djj =

c jj

j 1

q =1

d jq

b) Ln lt vi i = j+1, K , n tnh dij =

2) Ln lt vi i=1, K , n tnh yi =
3) Ln lt vi j =n, K , 1 tnh xj =

1
dii

1
d jj

j 1

c d d
ij
iq
jq

q =1

i 1

k d y
i j =1 ij j

1
d jj

y d x
j
ij
i

i = j +1

Thut ton va trnh by trn c ci t thnh hm cholesky() vit

trn C cho di y tham kho. Hm ny c 3 bin hnh thc:
a) S nguyn n cha bc ca ma trn C, tc l cha s cc phng trnh
l n.
b) Con tr c ch u mng s phc c[] cha gi tr cc phn t cij ca
ma trn C. Do ma trn C c gi thit l i xng Hermitian
(C=CH) nn hm cng ch cn cc gi tr cij c i j l . Nhng
phn t ny l cc gi tr u vo ca hm cholesky() v phi c
a vo mng c[] theo th t nh sau:
c11

c21
M

c
n1

c22
M
c n2

L cnn

a vo

c[0]

c[1]
c[2]

M
M
O

n(n + 1)
c n(n - 1)
L
L
c
1

2
2

ni cch khc, phn t cij phi c a vo c[p] vi p= i( i 1) 1 + j .

2

129

Sau khi hm thc hin xong, mng s cha cc phn t dij ca D

cng theo ng th t nh trn.
c) Con tr k ch u mng s phc k[] cha cc gi tr u vo ki, i=1,
K , n theo th t ki nm trong k[i-1]. Khi hm cholesky() thc hin
xong, mng ny s cha kt qu xi, i=1, K , n cng theo ng th t
.
Hm tr v gi tr 0 nu qu trnh thc hin khng c li (ma trn C xc
nh dng) hoc l mt gi tr i khc 0 thng bo C c phn t cii 0.
int cholesky(int n,complex *c,complex *k)
{
int i,j,q,p,l;
double s;
for(j=1;j<=n;j++)
{ p=(j*(j-1)-2)/2;
s= real(c[p+j]);
for(q=1;q<j;q++)
s -= pow(real(c[p+q]),2)+pow(imag(c[p+q]),2);
if(s<=0.) return(j); else s=sqrt(s);
c[p+j]=complex(s);
for(i=j+1;i<=n;i++)
{ l=(i*(i-1)-2)/2;
for(q=1;q<j;q++) c[l+j]-= c[l+q]*conj(c[p+q]);
c[l+j]=c[l+j]/s;
}
}
for(i=1;i<=n;i++)
{ p=(i*(i-1)-2)/2;
for(j=1;j<i;j++) k[i-1]-= c[p+j]*k[j-1];
k[i-1]=k[i-1]/c[p+i];
}
for(j=n;j>0;j--)
{ for(i=j+1;i<=n;i++)
{ p=(i*(i-1)-2)/2;
k[j-1]-= conj(c[p+j])*k[i-1];
}
k[j-1]=k[j-1]/c[(j*(j+1)-2)/2];
130

}
return(0);
}
V d: Gi hm trn vi cc gi tr u vo n=3,
36

c[0]

=
c[1]
c[2]
j
24
+
6
42

c[3] c[4] c[5] 6 + 6 j 15 + 8 j 16

k[0] 102 30 j

k[1] = 153 18 j
k[2] 84 + 22 j

s thu c kt qu
6

c[0]

5
= 4 + j

c[1] c[2]
c[3] c[4] c[5] 1 + j 2 + j 3

3.2.2

k[0] 1

k[1] = 2 .
k[2] 3

Nhn dng tham s m hnh

Sau khi c hm cholesky() gii phng trnh tuyn tnh phc, ta quay
li bi ton nhn dng tham s m hnh (3.54).
Gi s rng bng cch no , chng hn nh thng qua nhn dng m
hnh khng tham s nh phn tch ph tn hiu vi hm nonpar() trnh
by chng 2, ta c dy cc gi tr {G(jn )}, =

2
Ta

, n=0,1, K ,

2M ca hm truyn t G(s) t dy cc gi tr tn hiu o c {uk}, {yk}

vi chu k ly mu Ta ca tn hiu vo ra u(t), y(t), trong l s nguyn
ly tha 2 nh nht nhng khng nh hn 2N1, N=

T
Ta

, T l khong thi

gian quan st (o) tn hiu [0, T) v M l ch s Lag. Nhim v t ra by

gi l xc nh cc tham s b0 , b1 , K , bnb , a0 , a1 , K , ana cho m hnh
(3.54) t cc gi tr G(jn ) c ny.
Nu nh t thng tin Apriori ngi ta khng nhng bit c i tng
l tuyn tnh cng nh bc ca m hnh na , nb m cn bit thm rng i
tng khng c thnh phn tch phn ni tip, v d nh hm qu h(t)
khng tin n khi t, th do a00 m hnh (3.54) hon ton c th
c thay th bi dng tng ng
131

GM(s) =

b0 + b1 s + L + bnb s nb
1 + a1 s + L + ana s na

, (na nb).

(3.61)

Vi (3.61) v G(jn ), n=0,1, K , 2M th khi thay s bi jn vo v phi

ca (3.61) cn v tri l nhng gi tr G(jn ) c, s c:
G(jn )

en =

b0 + b1 ( jn ) + L + bnb ( jn ) nb

(3.62)

1 + a1 ( jn ) + L + ana ( jn ) na

na

nb
G( jn ) bi ( jn )i G( jn ) ai ( jn ) i
i =1

i = 0

(3.63)

L do cho vic du = (3.61) c thay bi du trong (3.62) v do

en0 l v tri ca (3.62) ch l nhng gi tr G(jn ) nhn dng c m
c nn khng phi l gi tr ng thc s ca hm truyn t.
T (3.63) ta thy b tham s b0 , b1 , K , bnb , a1 , K , ana tt nht s l b
m vi n tng bnh phng cc sai lch en c gi tr nh nht:
2M

Q = en 2 min!.

(3.64)

n=0

Nu s dng k hiu

e0

e
= 1 ,
M
e ~
M

G( 0 )

G( j )
g =
,
M

~
G( jM
)

0
1

1 ( j )
=
M
M
~
1 ( jM
)

L
0
L ( j ) nb
O
M
~
L ( jM ) nb

b0

M
b
= nab
1

a
n
a

0
( j )G( j )
M
~
~
( jM )G( jM )

L
0

na
L
( j ) G( j )

O
M

~
~
na
L ( jM ) G( jM )

(3.65)
~
th cng thc (3.63), (3.64) cho tt c n=0,1, K , M
=2M s vit c thnh

e = g Ux
Q = eHe min!.
132

Suy ra
Q = g H g g HU x x HU H g + x HU HU x
= g H g g H U (U H U ) 1 U H g + (U H g U H U x ) H (U H U ) 1 (U H g U H U x )
144444444424444444443
~
Q

V ch c thnh phn th 3 l
nh nht khi v ch khi

~
Q

cha vector cc tham s x phi tm nn Q

~
Q = (U H g U H U x ) H (U H U ) 1 (U H g U H U x )

min!.

~
Hn na theo (3.65) ma trn U c M
+1 hng na+nb+1 ct. Nhng do bi
~
ton nhn dng thng c M > na+nb nn na+nb+1 vector ct l c lp
tuyn tnh, tc l U c hng na+nb+1, dn n UHU khng suy bin. Khi
UHU khng suy bin, n s xc nh dng, ko theo (U H U )1 cng l mt
ma trn xc nh dng (phn chng minh dnh cho bi tp). Bi vy gi tr
nh nht ca Q~ ch c th l 0 vi

U H g U HU x

=0

U HU x = U H g

(3.66)

v chnh l cng thc xc nh b tham s x cho m hnh (3.61).

So snh (3.66) vi (3.56) ta thy chng hon ton ging nhau, trong
C = UHU v

k =U H g

(3.67)

nn (3.66) c th c gii trc tip nh hm cholesky() vit trn ngn ng

lp trnh C gii thiu ti mc trc.
Gi cc phn t ca C l cik, i, k=1, K , na+nb+1, ca U l uqk, q= 1,
~
K ,M
+1, k=1, K , na+nb+1 v ca k l ki, i = 1, K , na+nb+1 th t (3.67)
c

[ j( q 1)

]k 1 khi 1 k nb + 1
[ j( q 1) ]k nb 1 G( j( q 1) ) khi nb + 1 < k na + nb + 1

uqk=

~
M +1

cik = uqiuqk

(3.68)
(3.69)

q =1

133

~
M +1

ki = uqi G( j( q 1) ) .

(3.70)

q =1

Thay (3.68) vo (3.69) c

c11 =

cik

~
M +1

%
M

k 1
khi
1 < k i nb + 1
( 1)
( jq )i+ k2
q =1

%
M
= ( 1)k1 ( jq )i+ k2 nb G( jq ) khi 1 < k nb + 1 < i
q =1

%
M
( 1)k nb 1 ( jq )i + k22nb G( jq ) 2 khi n + 1 < k i

q =1

(3.71)

v (3.68) vo (3.70) c
ki

M%
i 1
khi
1 i nb + 1
( jq ) G( jq )
q =0
= %
2
M
i 1 nb
khi
G( jq )
nb + 1 < i
( jq )
q=1

(3.72)

Hai cng thc (3.71), (3.72) cng nh hm nonpar() cho mc 2.3.1

(chng2) t c s cho vic xy dng thut ton tm b tham s ti u b0 ,
b1 , K , bnb , a1 , K , ana cho m hnh (3.61) trc tip t dy cc gi tr tn
hiu {uk}, {yk}, k=1, K , N1 o c trong khong thi gian quan st [0,
NTa), trong Ta l thi gian trch mu.
Thut ton ny c dng nh sau:
1) Gi hm nonpar() vi u vo {uk}, {yk}, k=1, K , N1 c G(jn ),
~
n=0,1, K , M
, trong

~
M =2M,

M l ch s Lag (mc 2.2.1), =

2
Ta

l s nguyn ly tha 2 nh nht nhng khng nh hn 2N1.

2) Xc nh ma trn C = UHU v vector k = U H g bng cch thc hin ln
lt vi i=1, K , na+nb+1 cc bc sau:
a) Khi k=i, K , na+nb+1, tnh cik theo (3.71).
b) Tnh ki theo (3.72).

134

3) Gi hm cholesky() vi cc tham s u vo c bc 2) xc
nh x cha b tham s b0 , b1 , K , bnb , a1 , K , ana ti u.
Thut ton trn c ci t thnh hm par() cho di y tham
kho. Hm par() c cc bin hnh thc:
a) Con tr u ch u mng s thc u[] cha dy {uk}, k=1, K , N1.
b) Con tr y ch u mng s thc y[] cha dy {yk}, k=1, K , N1.
c) S thc Ta cha thi gian trch mu Ta.
d) S nguyn N cha di hai dy {uk}, {yk}, tc l cha N.
e) S nguyn M cha ch s Lag, tc l di cn phi c ca dy gi tr
~
hm tng quan { ~ruy ( mTa ) }, ng thi cng xc nh di M
=2M
ca dy kt qu {G(jn )} ca hm nonpar() l
,K,

~
M

vi =

2
Ta

~
M +1,

tc l n=0,1,

, trong l mt s nguyn ly tha ca 2

nh nht nhng khng nh hn 2N1.

f) S nguyn bias xc nh gi tr hm tng quan s c tnh theo
cng thc bias (bias=1) hay unbias (bias1).
g) S nguyn w xc nh ch s 0i7 ca hm ca s s c s dng
nhm lm gim sai s r r khi s dng k thut DFT. Nu ni dung
ca w l mt s ngoi khong [0,7] th hm s s dng hm ca s
w0(t).
h) S nguyn na xc nh bc a thc mu s ca m hnh (3.61).
i) S nguyn nb xc nh bc a thc t s ca m hnh (3.61).
j) Con tr x ch u mng s phc x[] c di na+nb+1 cha kt qu
theo th t x[0]= b0, K , x[nb]= bnb , x[nb+1]= a1 , K , x[nb+na]=

ana .
Hm s tr v gi tr bo li 2 nu na<nb , 1 khi M N hoc i > 0 thng
bo UHU suy bin vi phn t th ii khng phi l s dng. Trong trng

135

hp khng c li, hm tr v gi tr 0. Hm khng lm thay i ni dung hai

mng u[] v y[].
int par(double *u,double *y,double Ta,int N,int M,int bias,
int w,int na,int nb,complex *x)
{ int i,k,m=na+nb+1,q,L,ik,Q=2*M;
double om,*s;
if(nb>na) return(-2);
complex ci,*G,*c,im=complex(1.);
G=new complex[Q+1];
c=new complex[m*(m+1)/2+1];
s=new double[Q];
if((L=nonpar(u,y,Ta,N,M,bias,w,G))>0)
{ c[0]=complex(Q+1);
x[0]=G[0];
om=(2.*M_PI)/(Ta*L);
for(i=0;i<Q;i++)
{ s[i]=1.;
x[0]=x[0]+G[i+1];
}
for(ik=1;ik<=2*na;ik++)
{ for(q=0;q<Q;q++) s[q]=s[q]*om*(q+1);
im=im*complex(0.,-1);
if(ik<=nb)
{ x[ik]=complex(0.);
for(q=0;q<Q;q++) x[ik]+=im*G[q+1]*s[q];
}
if(ik<=na)
{ x[nb+ik]=complex(0.);
for(q=0;q<Q;q++) x[nb+ik]+=im*s[q]*pow(abs(G[q+1]),2.);
}
for(i=1;i<=na+nb+1;i++)
for(k=1;k<=i;k++)
{ if(i<=nb+1) L=i+k-2;
else L=(k<=nb+1)? i-nb+k-2:i-2*nb+k-2;
if(L!=ik) continue;
L=k%2;
ci=complex(0.);
if(i<=nb+1) for(q=0;q<Q;q++) ci += im*s[q];
136

else if(k<=nb+1)
for(q=0;q<Q;q++) ci += im*conj(G[q+1])*s[q];
else
{ for(q=0;q<Q;q++) ci+=im*s[q]*pow(abs(G[q+1]),2.);
L=(k-nb)%2
}
c[i*(i-1)/2-1+k]=(L==0)? ci : ci;
}
}
L=cholesky(na+nb+1,c,x);
}
delete [] G;
return (L);

delete [] c; delete [] s;

}
Ch : Thut ton trn cng nh hm par() ch s dng c khi i tng
khng c thnh phn tch phn I, tc l lim h( t ) <.
t

V d: Cho mt i tng tuyn tnh c m hnh

GM(s) =

b0

1 + a1 s + a2 s 2

trong
b0 =2,5 , a1 =1,6.103 v a2 =5,5.107.
i tng lm vic tn hiu vo u(t) l ngu nhin egodic c di tn s ln.
o 2048 gi tr tn hiu vo u(t) v ra y(t) ca i tng vi tn s trch mu
Ta=Ta=104s c dy {uk}, {yk}, k=1, 2, K , 2047.
S dng hm par() vi hm ca s Hanning (w=w=3), na=na=2,
nb=nb=0, N=N=2048, bias=1 cho cc gi tr M=M khc nhau ta s c
nhng kt qu sau:
Lag M

b0 =2,5

a1 =1,6.103

a2 =5,5.107

195
225
300

2.39445e+00
2.41471e+00
2.42715e+00

1.46897e03
1.51376e03
1.53705e03

5.43231e07
5.54454e07
5.50963e07
137

350
365
390

2.42666e+00
2.44589e+00
2.34944e+00

1.50772e03
1.51191e03
1.45696e03

5.43697e07
5.50411e07
5.22151e07

Khi i tng c cha thnh phn tch phn I th khng mt tnh tng
qut ta c th gi thit b00, tc l khng cha thnh phn vi phn D ni
tip, v trong trng hp a0=b0=0 th sau khi gin c tha s chung ca t
v mu ca (3.54) l s h bc ta li c m hnh mi khng cha ng thi
c hai thnh phn I v D.
Khi b00, ta lm tng t nh trn vi m hnh rt gn
GM(s) =

1 + b1 s + L + bnb s nb

(3.73)

a0 + a1 s + L + ana s na

s i n
GM(jn )

~
Suy ( jn )
~
Su ( n )

nb
na

~
~
Su ( n )1 + bi ( jn )i Suy ( n ) ai ( jn )i

i=0
i =1

en =

e = s Lx

na
nb
~

~
~
Su ( n ) Suy ( n ) ai ( jn ) i Su ( n ) bi ( jn ) i

i=0
i =1

trong

e0

e
= 1 ,
M
e
2M

a0

M
a
= nba ,
1

b
nb

S
~ u (0 )
Su ( )
=
,
M

S
u (2 M )

vi
lnk

~
( jn ) k S
uy ( jn ) nu k na

=
k na ~
( jn )
Su ( jn ) nu na < k

n=0,1, , K , 2M v k=0,1, , K , na+nb .

138

L =(lnk)

Nh vy b tham s b1 , K , bnb , a0 , a1 , K , ana ca m hnh (3.73) m

vi n phim hm sai lch (3.64) t gi tr nh nht s l nghim ca
LHLx = LHs
v cng vi kt lun ta c thut ton xc nh b tham s ti u x cho
m hnh (3.73) t dy gi tr tn hiu {uk}, {yk}, k=1, K , N1 o c
trong khong thi gian quan st [0, NTa) vi thi gian trch mu Ta nh sau:
1) S dng hm spec() tnh
s Lag, =

2
Ta

~
~
Su ( n ) , Suy ( n ) ,

n=0,1, K ,2M vi M l ch

v l s nguyn ly tha 2 nh nht nhng khng nh

hn 2N1.
2) Tnh C=LHL v k= LHs.
3) Gi hm cholesky() tm x cha b tham s b1 , K , bnb , a0 , a1 , K
, ana ti u.
Vic ci t thut ton trn thnh chng trnh trn ngn ng lp trnh C
c tin hnh tng t nh lm vi hm par() v s c dnh cho bn
c nh bi tp n luyn.
3.2.3

Nhn dng lp tham s m hnh

V d minh ha cho hm par() trnh by trong mc 3.2.2 nhn dng

tham s b0 , b1 , K , bnb , a1 , K , ana cho m hnh i tng khng cha thnh
phn tch phn
GM(s) =

b0 + b1 s + L + bnb s nb
1 + a1 s + L + ana s na

, (na nb)

(3.74)

xc nhn kh nng p dng tt ca thut ton. Tuy nhin khng phi trong
mi trng hp ta u c th s dng thut ton . Chng hn nh bi
ton nhn dng b ng c nhiu tc ng ln lm cho kt qu o {uk}, {yk}
phn nh khng c st thc tn hiu hin c ca i tng. iu ny nh

139

hng trc tip ti gi tr G(jn ), n=0,1, K , 2M thu c ca hm truyn

t v gia gi tr thu c vi gi tr ng GM(jn ) tn ti sai lch
khng th b qua.
V d 1: Gi s mt i tng tuyn tnh m t chnh xc c bi
GM(s) =
vi

b0 + b1 s
1 + a1 s + a2 s 2

b0 =2 , b1 =0,5 , a1 = 0,8 v a2 = 2.

o 1000 gi tr tn hiu vo u(t) v ra y(t) ca i tng vi tn s trch

mu Ta=Ta=102s c dy {uk}, {yk}, k=1, 2, K , 999, trong c u
vo/ra ca i tng c ln 12% nhiu phn b chun vi gi tr trung bnh
bng 0. S dng hm par() vi ca s Hamming (w=4), na=2, nb=1,
N=1000, bias=1 v M=200 ta thu c kt qu c sai lch ng k ([12]):
b0 = 0,38 , b1 = 0,12, a1 = 0,35 v a2 = 0,17.
Nhm hiu chnh kt qu thu c nh hm par() mt cch tt hn,
ngi ta cn phi loi b s nh hng ca nhiu trong G(jn ) v mt
trong nhng phng php loi b s nh hng ca nhiu l nhn dng
theo nguyn l lp qua nhiu bc c trnh by sau y.
Xut pht t m hnh (3.74) v cc gi tr G(jn ), n=0,1, K , 2M c
ta lp phng trnh m t sai lch u ra:
en = G(jn ) GM(jn )
=

na

nb
G( jn ) bi ( jn )i G( jn ) ai ( jn ) i
i =1

i = 0

1+

na

ai ( jn )i

i =1

Nu k hiu ai( k) , bi( k) l cc tham s ca m hnh (3.74) thu c ti bc

lp th k, ta s ci bin sai lch trn mt t cho ph hp vi thut ton lp
nh sau:

140

~
en

na

nb
G( jn ) bi( k ) ( jn )i G( jn ) ai( k ) ( jn ) i
i =1

i = 0

1+

na

ai( k 1) ( jn )i

i =1

nb

na

G( jn ) bi( k ) ( jn )i G( jn ) ai( k ) ( jn ) i
i =1
i = 0

(3.75)

wn( k 1)

trong
wn( k 1) = 1 +

na

ai( k 1) ( jn )i

wn( 0 ) =1,

i =1

n.

Vi k hiu ma trn U vector g cho trong (3.65) v

e
~
~0
e

~
e = 1 ,
M

~
e2 M

xk

( k 1 ) 0
W
=

b( k )
0
M
( k)

b
= nb( k) ,
a1
M
( k)
an
a

w1( k 1)

w2( k 1)

M
1

0
1

M
0

w2( kM1)

th (3.75) cho tt c n=0,1, K , 2M s vit chung li c thnh

~
e=

W ( k 1 ) g W ( k 1 ) U xk

(3.76)

Nu xem b tham s xk tt nht ca bc lp th k l b m vi n tng

bnh phng cc sai lch
2M

Q = ~en 2 =

H
~
e ~
e

n=0

t gi tr nh nht, th tng t nh lm vi (3.64) ti mc 3.2.2 n

(3.66), y ta cng c phng trnh xc nh nghim xk nh sau:

) (
H

1 )
( k 1 )
W4( k4
W4
U3 x k = W ( k 1)U W ( k 1) g
1
4U424
44
1444424444
3
C
k

v phng trnh ny hon ton gii c trc tip nh hm cholesky() vi

nhng gi tr G(jn ), n=0,1, K , 2M cng nh b tham s

ai( k 1) ,

i=1, K ,

na c t bc lp th k1 trc .
141

Ta i n thut ton lp xc nh b tham s ti u b0 , K , bnb , a1 , K

, ana (sai lch u ra nh nht) cho m hnh i tng khng cha thnh
phn tch phn t nhng gi tr G(jn ), n=0,1, K , 2M c (chng hn
nh nh phng php nhn dng b ng m hnh khng tham s trnh
by chng 2) nh sau:
1) Xc nh b tham s khi pht

b0( 0 ) , b1( 0 ) ,

K,

bn( 0 ) , a1( 0 ) , a2( 0 ) ,

b

K,

an( 0 )
a

G(jn ), n=0,1, K , 2M (c th s dng mt phn hm par() khng c

cng on gi nonpar() tnh G(jn ), n=0,1, K , 2M t {uk}, {yk},
k=1, K , N1).
2) Thc hin ln lt cc bc sau vi k=1, 2, K
a) Tnh C = (W(k1)U)H(W(k1)U) v k = (W(k1)U)HW(k1) g
b) Gi hm cholesky() tnh
c) Nu sai s bi( k 1) bi( k)

b0( k ) , b1( k ) ,

K,

+ ai( k 1) ai( k )

bn(k ) , a1( k ) , a2( k ) ,

b

K,

an( k ) .
a

< vi l mt s dng

nh cho trc th dng thut ton v cho ra kt qu b0 = b0( k) , K ,

bnb = bn(k ) ,
b

a1 = a1( k) , K ,

ana = an(k ) .
a

Nu nh bit chc rng b tham s m hnh phi xc nh vi t nht hai

vng lp th ta c th bt u ti ngay bc 2, trong gi tr khi pht
b0( 0 ) , b1( 0 ) , K , bn( 0 ) , a1( 0 ) , a2( 0 ) , K , an( 0 ) ch cn chn sao cho c c wn( 0 ) =1,
b
a

n. V d nh vi
a1( 0 ) =

K = an( 0a) = 0

b0( 0 ) , b1( 0 ) ,

K,

bn( 0 )
b

l ty .

tin cho vic ci t thut ton trn, nht l ti bc 2a) khi phi xc
nh C cng nh k ta c th gi U~ = W(k1)U v u~qn l cc phn t ca U~ ,
q=1, K , 2M+1, n=1, K , na+nb+1. Vy th

142

 [ j( q 1) ]n 1

khi
1 n nb + 1

wq( k11)
~
uqn =
n n 1
[ j( q 1) ] b
G( j( q 1) ) khi nb + 1 < n na + nb + 1

wq( k11)

trong

w0( k 1) =1.

Nu gi tip C=(W(k1)U)H(W(k1)U) v cmn , m, n=1, K ,

na+nb+1 l cc phn t ca n s c
2M

c11 = 1 +

q =1

1
wq( k 1)

cmn = (u~ qmu~qn )

2M

q =1

2 M ( jq )m + n 2

n 1

khi
1 < n m nb + 1

( 1)
2
( k 1)
q =1

wq

m + n 2 nb
2M
= ( 1)n1 ( jq ) 2
G( jq ) khi 1 < n nb + 1 < m
q =1

w(qk1)

m + n 2 2 nb
2M
2
( 1)n nb 1 ( jq )
khi nb + 1 < n m
G( jq )
2

( k 1)
q =1
wq

Cng nh vy, nu ta tip tc gi kn, n = 1, K , na+nb+1 l cc phn t

ca k th
2 M +1

kn=

q =1

~ qn G( j( q 1) )
u

w(qk11)

2M
n 1 G( jq )
khi
n nb + 1
( jq )
2
q =0
w(qk 1)
kn=
2
2M
G( jq )
( jq )n nb 1
khi nb + 1 < n
q =0
w(qk1)

S dng cc cng thc xc nh C v k va nu trn, ta tin hnh vic ci

t thut ton nhn dng b0 , K , bnb , a1 , K , ana cho i tng khng cha
thnh phn tch phn t nhng gi tr G(jn ), n=0,1, K , 2M ca n bng
143

ngn ng lp trnh C s c c hm itpar() cho di y. Hm itpar() ny

c cc bin hnh thc sau:
a) Con tr G ch u mng phc G[] cha cc gi tr G(jn ), n=0,1, K
, 2M.
b) Con tr x ch u mng phc x[] cha cc tham s c t vng lp th
k1 trc theo th t:
x[0]= b0( k 1) ,

x[nb]= bn( kb 1) ,

x[nb+1]= a1( k 1) ,

x[na+nb]= an( ka1)

Sau khi hm thc hin xong, cc gi tr tham s mi s c ghi li
vo mng ny cng theo ng th t , tc l:
x[0]= b0k , K , x[nb]= bnkb , x[nb+1]= a1k , K , x[na+nb]= anka .
c) S thc Om cha gi tr .
d) S nguyn M2 cha di dy {G(jn )}, tc l M2=2M.
e) S nguyn na cha bc a thc mu s na ca m hnh.
f) S nguyn nb cha bc a thc t s nb ca m hnh.
Hm tr v gi tr bo li 1 nu na<nb hoc i > 0 thng bo C suy bin
vi phn t th ii khng phi l s dng. Trong trng hp khng c li,
hm tr v gi tr 0. Hm khng lm thay i ni dung mng G[].
int itpar(complex *G,complex *x,double Om,int M2,int na,int nb)
{ int n,m=na+nb+1,q,L,mn;
double *s,*w;
if(nb>na) return(-1);
complex cik,*c,im=complex(1.);
c=new complex[m*(m+1)/2+1];
s=new double[M2];
w=new double[M2];
c[0]=complex(0.,Om);
for(n=1;n<na;n++) c[n]=c[n-1]*complex(0.,Om);
for(n=0;n<M2;n++)
{ cik=complex(1.);
144

for(m=0;m<na;m++)
cik+=c[m]*pow(n+1,m+1)*real(x[nb+1+m]);
w[n]=1./(pow(real(cik),2)+pow(imag(cik),2));
}
c[0]=complex(1.);
for(n=0;n<M2;n++) c[0]+=complex(w[n]);
x[0]=G[0];
for(q=0;q<M2;q++)
{ s[q]=1.;
x[0]=x[0]+G[q+1]*w[q];
}
for(mn=1;mn<=2*na;mn++)
{
for(q=0;q<M2;q++) s[q]=s[q]*Om*(q+1);
im=im*complex(0.,-1);
for(m=1;m<=na+nb+1;m++)
for(n=1;n<=m;n++)
{
if(m<=nb+1) L=n+m-2;
else L=(n<=nb+1)? m-nb+n-2:m-2*nb+n-2;
if(L!=mn) continue;
cik=complex(0.);
L=(n-1)%2;
if(m<=nb+1) for(q=0;q<M2;q++) cik+=im*s[q]*w[q];
else if(n<=nb+1)
for(q=0;q<M2;q++) cik+=im*conj(G[q+1])*s[q]*w[q];
else
{ for(q=0;q<M2;q++)
cik+=im*s[q]*pow(abs(G[q+1]),2.)*w[q];
L=(n-nb-1)%2;
}
c[m*(m-1)/2-1+n]=(L==0)? cik:-cik;
}
if(mn>na) continue;
if(mn<=nb)
{ x[mn]=complex(0.);
for(q=0;q<M2;q++) x[mn]+=im*G[q+1]*s[q]*w[q];
}
x[nb+mn]=complex(0.);
145

for(q=0;q<M2;q++)
x[nb+mn]+=im*s[q]*pow(abs(G[q+1]),2.)*w[q];
}
L=cholesky(na+nb+1,c,x);
delete [] c; delete [] w; delete [] s;
return (L);
}
V d 2: Hm itpar() trn y c th c dng thay cho hm par() gii
thiu mc 3.2.2 xc nh tham s m hnh b0 , K , bnb , a1 , K , ana cho
nhng i tng khng cha thnh phn tch phn mt cch trc tip t dy
cc gi tr {G(jn )} ch khng phi t dy gi tr tn hiu vo/ra {uk},
{yk} bng cch gi hm itpar() vi u vo x[n]= 0, n=0,1, K , na+nb . V
d vi cc lnh
void main()
{ complex *G,*x,b0,b1,a1,a2;
int i;
b0=complex(2.); b1=complex(0.5);
a1=complex(0.8); a2=complex(2.);
G=new complex [1000]; x=new complex [7];
G[0]=complex(2.);
for(i=1;i<1000;i++) G[i]=(b0+b1*i))/(complex(1.)+b1*i-b2*i*i);
for(i=0;i<7;i++) x[i]=complex(0.);
if(itpar(G,x,1.,999,2,1)==0)
for(i=0;i<4;i++)
printf("x[%d]=(%f,%f)\n",i,real(x[i]),imag(x[i]));
delete [] G; delete [] x;
getch();
}
s c
x[0]=(2.0,0.0)
x[2]=(-0.8,0.0)

x[1]=(0.5,0.0)
x[3]=(-2.0,0.0).

V d 3: Quay li xt v d 1 ban u l i tng tuyn tnh cn nhn dng

c m hnh
146

GM(s) =

b0 + b1 s
1 + a1 s + a2 s 2

vi
b0 =2 , b1 =0,5 , a1 = 0,8 v a2 = 2.
T dy {G(jn )}, n=0, 1, K , 999, = 1,5s1 b ln nhiu phn b
chun ta s dng thut ton lp vi cc bc lp k=1,2,3,4 chng hn nh
nh lnh
for(i=0;i<7;i++) x[i]=complex(0.);
for(k=0;k<3;k++)
{
i=itpar(G,x,1.5,999,2,1);
printf("k=%d\titpar()=%d\n",k,i);
if(i==0)
for(i=0;i<4;i++)
printf("x[%d]=(%f,%f)\n",i,real(x[i]),imag(x[i]));
}
s thu c kt qu:
k
1
2
3
4

b0 =2
0.3876989
1.9936758
1.9999577
1.9999984

b1 =0,5
0.121715708
0.47759602
0.49980766
0.49802213

a1 = 0,8
0.35801470
0.80031561
0.80189254
0.80144393

a2 = 2
0.174858337
1.79909552
1.99115383
1.99111318

Thut ton lp trn y cng c th c ci bin cho i tng cha

thnh phn tch phn I nhng khng c thnh phn vi phn D vi m hnh
rt gn
GM(s) =

1 + b1 s + L + bnb s nb
a0 + a1 s + L + ana s na

Trc ht ta xem quan h xp x

147

GM(jn ) G(jn )

1+

nb

bi ( jn )i

i =1
na

ai ( jn )i

~
Suy ( jn )
~
Su ( n )

i=0

nh l mt sai lch ti bc lp th k
en =

na
nb
~

~
~
Su ( n ) Suy ( n ) ai( k ) ( jn ) i Su ( n ) bi( k ) ( jn ) i

i=0
i =1

na
~
Su ( n ) ai( k 1) ( jn ) i

i=0

ri tm
b1( k ) ,

K,

bn(k ) , a0( k ) , a1( k ) ,

b

K,

an(k )
a

t dy
{ S~u ( n ) }, { S~uy ( jn ) }
cng nh t

ai( k 1) ,

i=0, K , na , trong

a0( 0 ) =1, a1( 0 ) =

K = an( 0a) = 0 sao cho

2M

Q = en 2
n=0

t gi tr nh nht. Khi ta s c

) (

H ~
~ 1 ) H ~ ( k 1 )
~
W ( k 1 ) L W ( k 1 ) s
W4( k4
W444L
1
4L
424
3 xk = 1
444424444
3
C
k

(3.77)

vi
a( k )
0
M
( k)
a

xk= n(ak) ,
b1
M
( k)
bn
b

~
S

~ u (0 )
Su ( )
=
,
M

~
S

(
2
M
)

u

L =(lnk),

( jn )k S% ( jn ) nu k n

uy
a

lnk =

( jn )k na S% u ( jn ) nu na < k
0

nu m n

1
na

148

~
Su ( n ) ai( k 1) ( jn )i
i=0

nu

m= n

~
~ ( k 1 ) )
W ( k 1 ) = ( w
mn

~ ( k 1 ) =
w
mn

m,n=0,1, , K , 2M v k=0,1, , K , na+nb .

Nh vy ta s c c thut ton xc nh b tham s ti u xk t dy
gi tr tn hiu {uk}, {yk}, k=1, K , N1 o c trong khong thi gian
quan st [0, NTa) vi thi gian trch mu Ta cng nh t
an( k 1) ,
a

a0( k 1) , a1( k 1) ,

K,

trong
a0( 0 ) =1, a1( 0 ) =

K = an( 0a) = 0,

nh sau:
1) S dng hm spec() tnh
2) Tnh C= (W~ ( k 1) L)

(W~

( k 1 )

~
~
Su ( n ) , Suy ( n ) .
L

) v k= (W~

( k 1 )

~
W ( k 1 ) s .

3) Gi hm cholesky() gii phng trnh (3.77) theo xk.

Cu hi n tp v bi tp
1. Gi s rng khi kch thch ti u vo ca i tng cn nhn dng mt
tn hiu u(t)= u01(t) ngi ta thu c u ra ng thc nghim y(t)
c dng mt khu dao ng tt dn (hnh 3.30) vi m hnh tham s
thuc lp
G(s) =

kq 2
2

s + 2qDs + q 2

, 0<D<1

Gi y l gi tr gii hn ca y(t) khi t v Ai , i = 0, 1, K l khong

cch ca cc im cc tr ti ng y=y . Chng minh rng
D1 =

1+

2
ln 2

Ai + 1
Ai

y(t)
A1
y
Hnh 3.30: Cho bi tp 1.

149

A2
t

2. Vi kt qu ca bi tp 1, hy xy dng thut ton nhn dng cc tham

s k, D, q ca i tng c m hnh (3.54) t ta cc im cc i
ca ng thc nghim y(t) thu c khi kch thch i tng bng tn
hiu u(t)= u01(t) u vo. Ci t thut ton va xy dng thnh
chng trnh vit trn C.
3. Chng minh rng ma trn U cho trong cng thc (3.65) khi 0 v
G(jn ) khng phi l hng s vi mi n=0,1, K , M v Mna+nb s c
hng l na+nb+1.
4. Chng minh rng nu ma trn U c m hng, n ct vi m > n v cc
vector ct l c lp tuyn tnh th UHU s khng suy bin vi hng l
n. Hy ch rng UHU v (U H U ) 1 l cc ma trn xc nh dng.
5. iu g s xy ra khi s dng thut ton nhn dng tham s m hnh
theo phng php b ng trnh by trong cc mc 3.2.2 v 3.2.3
(chng hn nh vi hm par() hay itpar()) nu tn hiu u vo c di
tn s rt hp, v d tn hiu hnh sin hoc cos.

150

Nhn dng tham s m hnh ARMA

4.1

t vn

4.1.1

Pht biu bi ton nhn dng m hnh ARMA

Cng vi s bng n ng dng lp m hnh tham s khng lin tc biu

din mi quan h vora cho mt h tuyn tnh, tham s hng trong iu
khin t ng, ngnh nhn dng cng chuyn bc t nhn dng m hnh
lin tc trc y m trng tm ch yu l xy dng hm trng lng hoc
hm c tnh tn binpha di dng mt dy s (phc) sang lnh vc nhn
dng m hnh ri rc.
Ni dung chnh ca chng ny l trnh by nhng phng php nhn
a1

= M ,

ana

dng tham s K, a

b1

= M

bnb

cho m hnh ri rc ARMA

(Autoregressive moving average)

G(z) = Y ( z) = K
U ( z)

1 + b1 z 1 + L + bnb z nb

1 + a1 z 1 + L + ana z na

trn c s quan st, o tn hiu vo u(t) v ra y(t) sao cho sai lch gia m
hnh v i tng l nh nht. Vi nhng kiu m t sai lch khc nhau s
c cc phng php nhn dng khc nhau.
Cc phng php ny c chia ra lm hai loi chnh:

loi nhn dng active (ch ng). Tn hiu u vo u(t) c chn l tn

hiu n trng c gi tr mt ph bng 1, tc l
mu = 0

v Su() =1.

v loi nhn dng passive (b ng).

c bit, khi nb= 0 m hnh (4.1) tr thnh
G(z) =

K
1 + a1 z

+ L + ana z na

v c gi l m hnh AR (Autoregressive) ca i tng.

(4.3)

Ngc li khi na= 0 th m hnh (4.1) tr thnh

G(z)= K (1 + b1 z 1 + K + bnb z nb )

(4.4)

c tn gi l m hnh MA (Moving average).

Chuyn (4.1) sang min thi gian, s c c m hnh tng ng dng
phng trnh sai phn sau:
yn +

na

nb

k =1

k =1

ak yn k = K un + bkun k

(4.5)

Hon ton tng t, dng thi gian ca m hnh AR l

yn +

na

ak yn k =Kun

(4.6)

k =1

v ca m hnh MA l

nb

k =1

yn = K un + bkun k
4.1.2

(4.7)

Chuyn thnh bi ton tng ng c h s khuch i ca m

hnh bng 1

n gin, ta chuyn bi ton va nu v dng m hnh c h s

khuch i bng 1 (hnh 4.1), bng cch tch G(z) thnh hai khu K v
~
~
G( z ) mc ni tip. Khu G( z ) khi s c hm truyn t
nb
1
~
Y ( z ) 1 + b1 z + L + bnb z
G( z ) = ~
=
U ( z ) 1 + a1 z 1 + L + an a z n a

(4.8)

Tn hiu u vo qua khu khuch i K cng l tn hiu ngu nhin egodic

c gi tr trung bnh bng 0 v gi tr mt ph bng K. Vi s bin i
m h s khuch i ca m hnh c chuyn thnh gi tr mt ph
ca tn hiu u vo, ta c dng tng ng ca bi ton chun cho vic
nhn dng ch ng tham s m hnh ARMA. Bi ton tng ng ny
pht biu nh sau: Trn c s quan st, o tn hiu ra y(t), c dy {yk},

152

hy xc nh cc vector tham s a

a
1
= M ,

an
a

b
1
= M ca

bn
b

m hnh

~
G( z )

v gi

tr mt ph K ca tn hiu u vo u(t) sao cho sai lch gia m hnh v

i tng l nh nht, trong
mu = 0 v Su() =K.
Tng ng, m hnh
yn +

~
G( z ) trong

na

nb

k =1

k =1

(
min thi gian c dng

ak yn k = un + bkun k

(4.10)

Hon ton tng t, dng thi gian ca m hnh AR tng ng l

yn +

na

ak yn k = un

k =1

v ca m hnh MA tng ng l
nb

yn = un + bkun k

k =1

4.2

Nhn dng ch ng tham s m hnh AR

Nhim v ca bi ton nhn dng ch ng l khi i tng c kch

thch ch ng bng tn hiu n trng u(t) tha mn (4.9), hy xc nh cc
vector tham s a, K ca m hnh (4.11) t dy gi tr {yk}, k=0,1, K , N1
o c ca tn hiu ra sao cho sai lch gia m hnh v i tng l nh
nht.
4.2.1

Phng php YuleWalker

Trc ht, ta nhn c hai v ca m hnh (4.11) vi ynm v pha tri

yn m yn +

na

ak yn m yn k = yn mun

k =1

sau lp gi tr trung bnh theo cng thc (1.30) v (1.33) cho c hai v, s
c

153

ry ( mTa ) +

na

ak ry (( m k)Ta ) = ryu ( mTa )

k =1

Nu gi gm =g(mTa) l gi tr hm hm trng lng ca m hnh AR

(4.11) ti cc im trch mu mTa , m=, K , th do i tng c h s
khuch i bng 1 nn
1 khi m = 0
0 khi m < 0

gm =

Ngoi ra, theo gi thit (4.9) cn c

K khi m = 0
ru ( mTa ) =
0 khi m 0

bi vy t iu hin nhin
ryu ( mTa ) = ruy ( mTa ) = ru ( mTa ) * g m =

ru ( kTa ) g m k = Kgm

k =

ta c
K khi m = 0

ryu ( mTa ) = 0 khi m > 0

Kg
m khi m < 0

Suy ra
K khi m = 0

ry ( mTa ) + ak ry (( m k)Ta ) = 0 khi m > 0

.
k =1
Kg
<
khi
m
0
m
na

(4.13)

Vit li (4.13) ln lt cho m=0,1, K ,na di dng ma trn ta i n

ry ( Ta )
ry ( na Ta )
L
ry (0 )
K

ry (0 )
L ry (( na + 1)Ta ) 1 0
ry (Ta )

a M
0
ry ( na Ta ) ry (( na 1)Ta ) L

r
(
0
)
y

1444444444424444444
4443
H na

(4.14)

y l phng trnh xc nh vector tham s a, K t vic o tn hiu ra

y(t) v c tn gi l phng trnh YuleWalker.

154

4.2.2

Sai s d bo tuyn tnh ca phng php YuleWalker

u im c bn ca phng php YuleWalker l vi tham s m hnh

a, K xc nh c, gi tr trung bnh ca bnh phng sai lch d bo
tuyn tnh nh nht. u im ny c Burg s dng xy dng php
truy hi rt c ngha trong ng dng thc t v s c trnh by sau trong
mc 4.2.4.
Hnh 4.2 minh ha khi nim d bo tuyn tnh. Gi s qua vic quan st
tn hiu ta c y(t) trong khong quan st [T1 , T2] . Nhng phng php d
bo cho ra kt qu xp x ca y(t) khi t>T2 c gi l phng php d bo
vt trc hay d bo tin. Ngc li, phng php cho ra kt qu gn
ng y(t) khi t<T1 c gi l d bo li.
Nhng phng php d bo c dng t hp tuyn tnh t cc gi tr tn
hiu quan st c th c gi l d bo tuyn tnh. Cc cng thc d bo
tuyn tnh tng ng vi m hnh AR gm:
1) d bo tuyn tnh tin:
na

(4.15)

ynf = ak yn k
k =1

cho php xc nh

ynf

gi tr c trc

c xem nh l gi tr gn ng ca yn t na cc
yn 1 , K , yn na

. S m f trong ynf khng c ngha

ly tha m n gin ch l k hiu ni rng gi tr xp x c xc

nh theo phng php d bo tuyn tnh tin m i khi trong mt vi
ti liu khc nhau cn gi l phng php d bo tuyn tnh vt trc
(forward).
2) d bo tuyn tnh li:
na

(4.16)

ynb = ak yn + k
k =1

cho php xc nh
tr c sau

ynb

c xem nh l gi tr xp x ca yn t na cc gi

yn +1 , K , yn + na .

S m b trong ynb l k hiu ch rng gi tr

xp x c tnh theo phng php d bo tuyn tnh li (backward).

155

nh l 4.1: Vi cc tham s a, K ca m hnh AR xc nh theo thut ton

YuleWalker, phng php d bo tuyn tnh tin (4.15) l phng
php c gi tr trung bnh bnh phng cc sai lch nh nht.
Chng minh:
Trc ht lp sai lch

enf = yn ynf

. Vy gi tr trung bnh ca bnh phng

sai lch ny s l
M[|

na
= M yn + ak yn k
k =1

2
enf

|]

= M [yn2 ]+ 2 M yn ak yn k + M ak yn k al yn l
=

na

k =1

k =1

na

ry (0 ) + 2 ak ry ( kTa ) +
k =1

na

na

na

l =1

na

ak al ry (( k l)Ta )

k =1 l =1

S dng k hiu
ry ( Ta )

r=
M

r
(
n
T
)
y a a

H na 1

ry ( Ta )
ry (0 )

L ry (( na 1)Ta )

L ry (( na 2)Ta )

ry (0 )
y (( n a 2 )Ta ) L

ry (0 )

ry (Ta )

=
M

ry (( na 1)Ta )

ng thc trn vit c thnh

M[| enf |2]

= ry (0) + r T a + aT r + aT H na 1 a
= ry (0) r T H na11 r + (r + H na 1 a)T H na11 (r + H na 1 a)

Ring biu thc th 3 cha vector tham s a phi tm. Bi vy khi a lm

cho biu thc ny c gi tr nh nht, n cng s lm cho M[|ef|2] c gi tr
nh nht. Nhng ma trn H na 1 xc nh khng m, nn biu thc th 3 s
c gi tr nh nht khi
0

r + H na 1 a = M
0

(r

0
1
H na 1 = M
a 0

(4.17)

So snh vi (4.14) ta thy ngay c l nghim ca (4.14) tha mn (4.17)

v

156

 r (0 )
r T
H na = y
r
H na 1

(4.18)

v l iu phi chng minh.

Mt cch hon ton tng t, ta cng s ch ra c:
nh l 4.2: Vi cc tham s a, K ca m hnh AR xc nh theo thut ton
YuleWalker, phng php d bo tuyn tnh li (4.16) l phng php
c gi tr trung bnh bnh phng cc sai lch nh nht.
Trn y l hai nh l khng nh hai u im trong k thut d bo
tuyn tnh ca cc h s a1, a2, K ,

ana v

K ca m hnh AR (4.3) c xc

nh theo phng php YuleWalker. Hai u im ny c Burg s

dng xy dng thut ton truy hi gii phng trnh (4.14) s gii thiu
sau mc 4.2.4. Bn cnh hai u im va nu, nghim ca phng trnh
YuleWalker cn c mt u im th ba rt l th cho vic nh gi lng
thng tin ngun pht. V u im ny khng lin quan n cng vic chnh
ca chng ta l nhn dng i tng iu khin nn y n ch c gii
thiu di dng mt h qu khng c chng minh tham kho thm.

H qu 4.1: Trong lp tt c cc mt ph tn hiu c dng

Sy() =

K
1+

na

ak e jkTa

k =1

thu c t dy cc gi tr tn hiu {yk} th mt ph c cc h s a1 ,

a2 , K ,

ana ,

K xc nh theo YuleWalker s c lng thng tin

(entropie) nhiu nht v ngun pht tn hiu ngu nhin y(t). Ni cch
khc vi cc h s s c

H1 = ln S y ( )d max!

157

4.2.3

Gii phng trnh YuleWalker nh thut ton Levinson

Ma trn
a)

H na

H na

ca (4.14) c nhng tnh cht rt c bit, l:

l ma trn Toeplitz, tc l cc phn t ti hng th i, ct j c

xc nh t hiu ij v do ngi ta c th xy dng li c ton

b ma trn ch t cc phn t ca hng u tin v ct u tin.
b)

H na
H na

i xng qua ng cho chnh, tc l

H nT = H na
a

. Kt hp vi

l ma trn Toeplitz, ngi ta ch cn cc phn t ca hng u

tin l c c ton b ma trn.

c)

H na

l ma trn xc nh khng m. iu ny c th suy ra t tnh cht

(1.31) ca hm t tng quan theo phng php quy np.

Tnh cht b) v c) l iu kin p dng c thut ton Cholesky v
do ta c th s dng c ngay hm cholesky() gii thiu chng 2
(mc 3.2.1) gii phng trnh 4.14 di dng
1

K 1 0
H na 1 =
K a
M

Tuy nhin cng vi tnh cht a) vic ci t thut ton gii phng trnh
(4.14) s n gin hn nhiu. Mt thut ton chun gii (4.14) theo
phng php truy hi thuc v Levinson.
Thut ton Levinson khng gii trc tip phng trnh YuleWalker
(4.14) bc na c cc tham s a1 , a2 , K ,

ana v

K m ln lt gii (4.14)

vi nhng bc i thp hn, bt u vi i=1, sau cho i tng dn n na .

tin trong trnh by ta s k hiu phng trnh (4.14) cho bc i c n
tnh i xng H iT = Hi nh sau:

158

ry ( Ta )
ry ( iTa ) 1 K i
L
ry (0 )

ry ( 0 )
L ry (( i 1)Ta ) a1 [i] 0
ry (Ta )

=
M
M
O
M
M M

a [i] 0
ry ( iTa ) ry (( i 1)Ta ) L
ry (0 )
144444444
42444444444
3 i
Hi

(4.19)

ni cch khc, cc tham s nay s c k hiu bng a1[i], a2[i], ... , ai[i], Ki
nhn mnh rng chng thuc v phng trnh YuleWalker bc i. Vn
t ra cho bi ton xy dng thut ton truy hi l xc nh i+1 tham s
a1[i], a2[i], ... , ai[i], Ki ca (4.19) t i cc tham s a1[i1], a2[i1], ... ,
ai1[i1], Ki1 ca phng trnh YuleWalker bc i1 c gi thit l
bit:
ry (0 )
ry (Ta )
L ry (( i 1)Ta )

1
K i 1

ry (0 )
L ry (( i 2)Ta ) a1 [i 1] 0
ry (Ta )

= M
M
M
O
M
M

a [i 1] 0
ry (( i 1)Ta ) ry (( i 2)Ta ) L
ry (0 )
i 1

1444444444
424444444444
3
Hi 1

(4.20)

Trc ht ta chng minh nh l sau:

a1 [i]

M
a [i]
i

nh l 4.3: Nu a[i]=

v Ki l nghim ca (4.19) th chng cng s

tha mn
Hi

ai [i] 0

M M
a [ i] = 0
1
1 K

(4.21)

Chng minh:
Nhn c hai v ca (4.19) vi ma trn

0 L 1

J= M N M
1 L 0

v pha tri ta c

K
1
=J i
0
a[i]
i

JHi

Nu tip rng

159

 0

K
M
J i =
0
0
i
K
i

v J, Hi l hai ma trn i xng, tc l tch ca chng cng l mt ma trn

i xng
JHi = (JHi)T = Hi J
ta s c
1
Hi J =
a[i]

K
J i
0i

ai [i] 0

M M
Hi
= 0
a1 [i]
1 K

(.p.c.m)

By gi ta s xc nh quan h truy hi gia cc tham s ca (4.19) v

(4.20).
nh l 4.4: Gia vector cc tham s
a1 [i 1]

M
,
a [i 1]
i 1

a[i1]=

a1 [i]

a[i]= M ,
a [i]
i

b) Ki = Ki 1 (1 ai [i]2 )

vi

k =1, 2, K , i1

a1 [i]

M ,
a [i]
i

160

(4.22a)
(4.22b)

Chng minh:
Vi k hiu

a[i] =

(4.19) v

Ki1 ca (4.20) c quan h truy hi

a) ak[i] = ak[i1]+ ai[i] aik[i1]

ry ( Ta )

,
r[i] =
M
ry ( iTa )

Ki ca

ry ( iTa ) 0 L 1

= M N M r[i]
M
ry (Ta ) 1 L 0

r r [i] =

ai [i] 0 L 1

a r [i] = M = M N M a[i]
a [ i] 1 L 0
1

trong ch s r (reflection) ca vector rr[i] ni rng th t cc phn t ca

n c o li so vi r[i], th t phng trnh (4.17) cho trng hp
na=i+1 ta c:
r[i] + Hi a[i] = 0i

Vector gm c i phn t 0.

K hiu tip
a1 [i]

~
a[i] = M
a [i]
i 1

~[i]
a

a[i] =

ai [i]

v
ry (Ta )

r[i 1] =
M

ry (( i 1)Ta )

r[i 1]

r[i] =

ry ( iTa )

ng thc trn s tr thnh

~[i]
a

a [i] = 0i
i

r[i 1] H i 1 r r [i]

ry ( iTa ) + r T [i] ry ( 0 )

~[i] + r [i]a [i] = 0

r[i 1] + H i 1 a
i
r
i 1

(4.23)

Mt khc, khi na = i, cng thc (4.17) c dng

r[i 1] + H i 1 a[i 1] = 0 i 1 .

(4.24)

Bi vy khi tr (4.23) v (4.24) theo tng v ta s c

~[i] a[i 1]) = r [i]a [i]
H i 1 (a
i
r

~[i] a[i 1] = H 1 r [i] a [i]

a
i 1 r
i

(4.25)

Ngoi ra, do Hi-1 l ma trn i xng nn c JHi-1= Hi1J, trong J l ma

trn reflection
J

0 L 1

=M N M
1 L 0

bi vy sau khi nhn c hai v ca (4.24) vi J s c

J r[i 1] + JH i 1 a[i 1] = 0 i 1

161

r r [i 1] + H i 1 J a[i 1] = 0 i 1

r r [i 1] + H i 1 a r [i 1] = 0 i 1

ni cch khc ng thc (4.24) s khng i khi thay a[i1] bi ar[i1] v

thay r[i1] bng rr[i1]. Suy ra
H i11 r r [i] = a r [i 1]

(4.26)

Th (4.26) vo (4.25) ta i n
~[i] a[i 1] = a [i 1] a [i]
a
i
r

(4.27)

v chnh l cng thc (4.22a) phi chng minh.

Ta chuyn sang chng minh (4.22b). T (4.27) v (4.19) c
1
1
0
~

Ki
1
= Hi

a[i] = H i a[i] = H i a[i 1] + H i a r [i 1] ai [i]

0

a [i]
0
1
i
i

(4.28)

Do s hng th nht v phi c th bin i thnh

1

K i 1
1 H i 1
1

H i 1 r r [i]

a[i 1] =
a[i 1] =
H i a[i 1] = T
0 i 1

0 r r [i] ry (0 ) 0 r T [i] 1
1
T
r a[i 1]

[
]
r
i

r a[i 1]

nn ng thc (4.28) c dng

K i 1
0

Ki
+ H a [i 1] a [i]
=
0
i
i r
i 1
0

1
i
1

r r [i] [
a i 1]

(4.29)

Tng t, ta lm vi s hng th hai trong tng v phi ca (4.29) s c

0

H i a r [i 1] ai [i]

162

0
r (0 ) r T [i]

=
a r [i 1] ai [i]

r[i] H i 1 1

T
a [i 1]
r [i] r

1

a [i]

=
[
]
a
i
1

i
H i 1 r

(4.30)

Mt khc, theo nh l 4.3 th t (4.20) ta cng c iu tng ng

a [i 1] 0 i 1

=
H i 1 r
1 K i 1

Do (4.30) tr thnh
0

H i a r [i 1] ai [i]

T
a [i 1]
r [i] r

1

a [i]
=
0 i 1
i
K i 1

Thay (4.31) vo (4.29) ta i n

T

r [i] a r [i 1]

K i 1
Ki

1

+
a [i]
0 i 1
0 i 1
0 i 1 =

i
0
1
K i 1

r r [i] a[i 1]

v t y suy ra
a [i 1]
ai [i]
K i = K i 1 + r T [i] r
1

(4.32)

v
1
+ K i 1 ai [i]
0 = r Tr [i]
a[i 1]

1
= K i 1 ai [i]
r Tr [i]
a[i 1]

(4.33)

Thay (4.33) vo (4.32) ta c c iu phi chng minh th hai (4.22b):

K i = K i 1 K i 1 (ai [i])2

Nh vy, nh l 4.4 vi hai cng thc (4.22a), (4.22b) cung cp cho

ta kh nng xc nh truy hi cc tham s a1[i], a2[i], ... , ai1[i] v Ki ca
(4.19) t cc tham s a1[i1], a2[i1], ... , ai1[i1], Ki1 ca (4.20) vi gi
thit rng bit ai[ i ] ca (4.19). Ni cch khc vn cn li phi gii
quyt l i tm ai[ i ] .
tm ai[ i ] t cc tham s a1[i1], a2[i1], ... , ai1[i1], Ki1 ca
(4.20), trc ht ta vit li (4.22a) nh sau:

163

1
1

a1 [i] a1 [i 1]
M =
+
M

ai 1 [i] ai 1 [i 1]

ai [i]

ai 1 [i 1]

ai [ i ]
M

a1 [i 1]

sau thay vo (4.19) s c

Ki

0
M =

0

0

a1 [i]
Hi M =
ai 1 [i]

ai [i]

a1 [i 1]
+
Hi
M

ai 1 [i 1]

ai 1 [i 1]
.
ai [ i ] Hi
M

a1 [i 1]

(4.34)

Nhng v
H i 1

Hi =

T
rr

[i]

r r [i] r ( 0 ) r T [i]

= y
ry (0 ) r[i] H i 1

trong
ry (Ta )

,
M

ry ( iTa )

r[i] =

ry ( iTa )

ry (Ta )

rr[i] =

nn (4.34) c th vit c thnh

Ki

0
M =

0

0

H i 1 r r [i]
T

r [i] ry (0 )
r

a
i
[
1
]

1
+

ai 1 [i 1]

a1 [i 1]
K i H i 1

0
a [i 1]
i

1
M =

+

1

0
T a1 [i 1]
r
[
i
]
0
r

a [i 1]
i 1

Mt khc t (4.20) c

164

ai[ i ] ry (0)
r[i]

r T [i]
H i 1

ai 1 [i 1]

T
M

r [i]

ai [i 1]

ai[ i ]

ai 1 [i 1]

H i 1

ai [i 1]

a
i
[
1
]

i 1

a1 [i 1]

(4.35)

K i 1

a [i 1] 0
=
Hi1 1
M
M

a [i 1] 0

i 1

v vi nh l 4.3 cho trng hp i1 thay vo v tr ca i, ng thc (4.35)

c bin i thnh
Ki

0
M

0

0

M
+

0
i 1

ry ( iTa ) + ry [( i k)Ta ]ak [i 1]

k =1

K i 1

ai 1 [i 1]

T
M

r [i]

ai [i 1]

ai[ i ]

K
i 1

So snh ring phn t cui cng ca hai v ta c

0=

ry ( iTa ) +

ai[ i ] =

i 1

ry [( i k)Ta ]ak [i 1] + ai[ i ] Ki 1

k =1

ry ( iTa ) +

i 1

ry [(i k)Ta ]ak [i 1]

k =1

K i 1

v chnh l cng thc cho php xc nh ai[ i ] t cc tham s a1[i1],

a2[i1], ... , ai1[i1], Ki1 bit.
Trong trng hp i=0 th t (4.19) c ngay c K0 = ry(0).
Ta i n thut ton Levinson gii phng trnh YuleWalker (4.14)
nh sau:
1) Gn K0 = ry(0).
2) Thc hin cc bc sau cho i=1, 2, ... , na .
a) Tnh ai[ i ] theo (4.36).
b) Tnh a1[i], a2[i], ... , ai1[i] v Ki theo (4.22a) v (4.22b).
Thut ton trn c ci t thnh hm Levinson() vit trn ngn ng
C cho di y tham kho. Hm c hai bin hnh thc l
165

 con tr r ch u mng r[] cha dy cc gi tr hm tng quan theo

th t
r[0]= ry(0), r[1]= ry(Ta), K , r[i]= ry(iTa), K

bin nguyn na cha kch thc ca mng, tc l na+1 (bc ca

phng trnh).
Cc gi tr a1[na], a2[na], ... ,

ana [na ]

K na tnh

c s c hm a ra

ngoi thng qua mng a[] theo th t

a[0]=

K na ,

a[1]= a1[na], K , a[na]=

ana [na ] .

Nh vy mng a[] t nht phi c na+1 phn t. Hm tr v gi tr nguyn 0

thng bo phng trnh (4.14) gii c, tc l ma trn H na khng suy bin,
hoc 1 khi (4.14) khng gii c.
int levinson(double *r,int na,double *a)
{
int i,k,j,ik,p=0;
double sum,save;
a[0]=r[0];
for (i=1;i<=na;i++)
{
sum=0;
for (k=1;k<i;k++)
sum=sum+r[i-k]*a[k];
if (a[0]!=0.) a[i]=-(r[i]+sum)/a[0];
else {p=1; break;}
j=i/2;
for (k=1;k<=j;k++)
{
ik=i-k; save=a[k];
a[k]=save+a[i]*a[ik];
if (k!=ik) a[ik]=a[ik]+a[i]*save;
}
a[0]=a[0]*(1.-a[i]*a[i]);
}
return(p);
}

166

V d: Gi hm trn bng lnh

k=levinson(r,na,a);
vi cc gi tr u vo na=2, r[0]=2, r[1]=1, r[2]=3, ta s nhn c
k= 0, a[0]= 2,6667, a[1]= 0,3333 v a[2]= 1,6667.
Th li ta thy l kt qu ng:
1
2,6667
2 1 3

0
.
1 2 1 0,3333 =

3 1 2 1,6667
0

Da vo chng trnh Levinson() thut ton xc nh cc tham s a, K

theo phng php YuleWalker c dng:
1) Xc nh gi tr hm t tng quan ry(mTa), m=0,1, K , na bng hm
cor() c trnh by trong chng 2, t dy gi tr {yk} o c ca
tn hiu ra.
2) Gi hm Levinson() tnh a, K t ry(mTa), m=0,1, K , na.
Thut ton trn c ci t thnh hm Yule_Walker() vit trn C
cho sau y tham kho. Hm Yule_Walker() c 5 bin hnh thc, bao
gm:
a) Con tr y ch u mng y[] cha cc gi tr yk , k=0,1, K , N1.
b) S nguyn N cha di dy {yk}, tc l cha ch s N.
c) S nguyn na cha bc m hnh AR.
d) S nguyn bias xc nh gi tr hm tng quan s c tnh theo
cng thc bias (bias=1) hay unbias (bias1).
e) Con tr a ch u mng a[] cha kt qu theo th t:
a[0]=

K na ,

a[1]= a1[na], K , a[na]=

ana [na ] .

Hm tr v gi tr bo li bng 0 nu M<N hoc ma trn

H na

khng suy

bin. Hm s tr v gi tr 1 khi c li. Hm khng lm thay i ni dung

ca y[].

167

int Yule_Walker(double *y,int N,int na,int bias,double *a)

{
int k;
double *r;
r=new double[na+1];
if((k=cor(y,y,N,na,bias,r))==0)
k=levinson(r,na,a);
delete [] r;
return(k);
}
4.2.4

Phng php d bo iu ha v thut ton Burg

Thut ton gii trc tip phng trnh YuleWalker (4.14) da vo

chng trnh con Levinson() trnh by trong mc 4.2.3 cn phi c mt
bc trung gian l nhn dng cc gi tr hm tng quan ry(mTa), m=0,1,
K , na c c ma trn

H na

v iu ny lm cho trong kt qu thu c

c ln thm sai s tnh ton khng cn thit.

Nhm trnh cc sai s tha , Burg da vo kt qu ca hai nh l
4.1 v 4.2 v sai s d bo tuyn tnh xy dng ln mt thut ton truy hi
cho php xc nh nhng tham s a1 , a2 , K ,

ana v

K ca m hnh AR trc

tip t cc gi tr tn hiu o c m khng cn thng qua hm tng quan.

Tng t nh thut ton Levinson, thut ton Burg cng tnh truy hi cc
tham s a1[i], a2[i], ... , ai1[i] v Ki ca (4.19) t cc tham s a1[i1],
a2[i1], ... , ai1[i1], Ki1 ca (4.20) theo cc cng thc (4.22a) v (4.22b)
v hai cng thc truy hi ny khng s dng gi tr hm tng quan ry(kTa).
im khc c bn so vi Levinson l Burg khng tnh ai[ i ] theo cng thc
(4.36) m da theo tnh cht v sai s d bo tuyn tnh ca phng php
YuleWalker.
tm ai[ i ] Burg da vo hai nh l 4.1, 4.2 pht biu rng vi b
tham s a1[i], a2[i], ... , ai[i] v Ki v xc nh c theo thut ton
YuleWalker, gi tr trung bnh ca bnh phng sai lch d bo tuyn tnh

168

enf [i] = yn ynf [i]

(4.37a)

enb [i] = yn i ynb i [i]

(4.37b)

l nh nht. K kiu i trong ngoc vung ca

enf [i] , enb [i]

ch rng sai lch

l ng vi m hnh bc i. Nhng gi tr ngoi suy tin ynf [i] v li

ynf [i]

tnh

theo cng thc (4.15), (4.16) cho m hnh bc i c dng nh sau:

i

ynf [i] = ak [i]yn k

(4.38)

k =1
i

ynb [i] = ak [i]yn + k

(4.39)

k =1

Nu gi tr trung bnh ca bnh phng sai lch

M enf [i]

M enb [i]

nh nht th ng nhin tng

N 1

Q=

n=i

(e [i]
f
n

+ enb [i]2

(4.40)

cng nh nht. Nhng trc khi i tm iu kin cho ai[ i ] Q nhn gi tr

cc tiu, ta s tm mi quan h truy hi gia enf [i] , enb [i] v enf [i 1] , enb [i 1] .
nh l 4.5: Gia

enf [i] , enb [i]

enf [i 1] , enb [i 1]

c quan h truy hi

a)

enf [i] = enf [i 1] + ai [i]enb 1 [i 1]

(4.41)

b)

enb [i] = enb 1 [i 1] + ai [i]enf [i 1]

(4.42)

Chng minh:
T nh ngha v sai s d bo tuyn tnh li (4.37b) v gi tr c d bo
(4.39) c
enb 1 [i 1]

i 1

= yn i ynb i [i 1] = yn i + ak [i 1]yn i + k
k =1

i 1

= yn i + ai k [i 1]yn k (th k bi ik)

(4.43)

k =1

Mt khc, vi (4.37a) v (4.38) cho cng thc d bo tin th

enf [i] enf [i 1]

i 1

k =1

k =1

= ak [i]yn k ak [i 1]yn k

169

i 1

= ai [i]yn i + (ak [i] ak [i 1]) yn k

(4.44)

k =1

Thay hiu ak[i] ak[i1] t (4.22a) vo (4.44) c

i 1

enf [i] enf [i 1] = ai [i] yn i + ai k [i 1] yn k

k =1

(4.45)

So snh (4.43) vi (4.45) ta c iu phi chng minh (4.41)

enf [i] enf [i 1] = ai [i] enb 1 [i 1] .

Cng thc (4.42) c chng minh mt cch hon ton tng t.

Quay li cng vic chnh l xc nh ai[i] Q c gi tr nh nht. Vi

nh l 4.5, phim hm Q nh ngha theo cng thc (4.40) tr thnh
N 1

Q=

n=i

[(1 + a [i] )(e [i 1] + e

2

f
n

b
n 1

[i]2 ) + 4ai [i]enf [i 1]enb 1 [i 1]] ,

hn na, do Q l hm xc nh dng nn Q cc tiu th cn v l

0=

[ (

N 1
dQ
= 2ai [i] enf [i 1]2 + enb 1 [i]2 + 4 enf [i 1]enb 1 [i 1]
dai [i] n = i

ai [i] =

N 1

n=i

(e

[i 1]

N 1
n=i

enf

f
n

[i 1]enb 1 [i 1])
2

enb 1

[i 1]

(4.46)

Nh vy vi (4.22a), (4.22b), (4.41), (4.42) v (4.46) ta c y cc

cng thc truy hi xc nh a 1[i], a 2[i], ... , ai [i] v Ki ng vi m hnh
bc i t cc tham s a 1[i1], a 2[i1], ... , ai 1[i1], Ki1 ca m hnh bc
i1. Song xy dng thnh thut ton hon chnh cn cn phi c nhng
gi tr khi pht enf [0] , enb [0] v K0.
Khi i=0 th vi (4.38), (4.39) c
enf [0] = enb [0] =

170

ynf = ynb =0

yn , n=0,1, K , N1

v yn=K0 un , do
(4.47a)

K0 = ry(0) =

1
N

N 1

k=0

yk2

(4.47b)

Cui cng, ta i n thut ton truy hi nh sau:

1) Xc nh

enf [0] , enb [0]

v K0 t {yn}, n=0,1, K , N1 theo (4.47).

2) Thc hin cc bc sau ln lt vi i=1, 2, K ,

na :

a) Tnh

ai [i]

b) Tnh

ak [i]

v Ki , k=0,1, K , i theo (4.22a), (4.22b).

c) Tnh

enf [i] , enb [i] ,

enf [i 1] , enb 1 [i 1]

theo (4.46).

n=0,1, K , N1 theo (4.41), (4.42).

Thut ton trn c ci t thnh hm Burg() vit trn ngn ng lp

trnh C cho di y tham kho. Hm ny c cc bin hnh thc sau:
a) Con tr y ch u mng y[] cha cc gi tr yk , k=0,1, K , N1.
b) S nguyn N cha di dy {yk}, tc l cha ch s N.
c) S nguyn na cha bc m hnh AR.
d) Con tr a ch u mng a[] cha kt qu theo th t:
a[0]=

K na ,

a[1]= a1[na], K , a[na]=

ana [na ] .

Hm tr v gi tr bo li bng 1 nu khng tnh c ai[i] theo (4.46) v

mu s bng 0 hoc tr v gi tr 0 khi khng c li.
Hm Burg() khng lm thay i ni dung ca mng y[].
int Burg(double *y,int N,int na,double *a)
{ int i,k,j,ik;
double *ef,*eb,sum1=0.,sum2;
ef=new double[N];
eb=new double[N];
for(i=0;i<N;i++)
{ ef[i]=eb[i]=y[i];
sum1=sum1+y[i]*y[i];
}
a[0]=sum1/(double)N;
for (i=1;i<=na;i++)
171

sum1=sum2=0.;
for (k=i;k<N;k++)
{ j=k-1;
sum1=sum1+ef[k]*eb[j];
sum2=sum2+ef[k]*ef[k]+eb[j]*eb[j];
}
if(sum2!=0.) a[i]=-2.*sum1/sum2; else return(1);
j=i/2;
for (k=1;k<=j;k++)
{ ik=i-k;
sum1=a[k];
a[k]=sum1+a[i]*a[ik];
if (k!=ik) a[ik]=a[ik]+a[i]*sum1;
}
a[0]=a[0]*(1.-a[i]*a[i]);
for (k=N-1;(k>i)&&(i!=na);k--)
{ j=k-1;
sum1=ef[k];
ef[k]=sum1+a[i]*eb[j];
eb[k]=eb[j]+a[i]*sum1;
}

}
delete [] ef; delete [] eb;
return(0);
}
4.2.5

Kt lun

Mc 4.2.2, c th l hai nh l 4.1 v 4.2, ch rng b tham s a1 , a2 ,

K,

ana ca

m hnh AR lm cho phim hm m t trung bnh bnh phng

sai lch d bo tuyn tnh:

Qf =M[| enf |2] = M yn ynf

Qb =M[| enb |2] = M yn ynb

min!,
min!,

t gi tr nh nht chnh l nghim ca phng trnh YuleWalker (4.14).

172

Tuy nhin iu khng nh ch ng nu nh tt c cc gi tr hm

tng quan ry(mTa), m=0,1, K , na thu c l phi hon ton chnh xc,
song iu ny l khng hin thc v bn thn chng cng ch c nhn
dng (xp x) t dy cc gi tr {yk}, k=0,1, K , N1 ca tn hiu y(t) o
c trong khong thi gian quan st [0,T) tng i ngn. Chnh v iu
ny m Burg a ra gii php nhn dng a1 , a2 , K ,

ana khng

thng qua

bc trung gian xc nh hm tng quan bng cch cc tiu ha phim

hm sai lch iu ha:
N 1

QBurg =

n = na

[ ] + [e ] min!.

f
en

b 2
n

c xem nh mt gii php dung ha ca hai iu kin cc tiu.

Ngoi hai thut ton trn cn c mt s thut ton khc cng c s
dng kh ph bin nhn dng m hnh AR nh thut ton Morf, thut
ton Marple K. Nhng thut ton ny rt thch hp vi cc bi ton c
khong quan st ln (s lng ln cc gi tr yk). c gi quan tm c th
tham kho chng trong ti liu [10], [11].
4.3
4.3.1

Nhn dng ch ng tham s m hnh MA

Thay m hnh MA bng m hnh AR tng ng

Bi ton nhn dng ch ng tham s m hnh MA pht biu nh sau:

khi i tng m t bi
~
G( z ) = 1 + b1 z 1 + K + bnb z nb

(4.48)

c kch thch ch ng bng tn hiu n trng u(t) tha mn

mu = 0

v Su() =K,

hy xc nh cc vector tham s b

(
b1

= M

bnb

ca m hnh (4.48) v K ca tn

hiu vo u(t) t dy N gi tr o c {yk} , k=0,1, K , N1 ca tn hiu ra,

sao cho sai lch gia m hnh v i tng l nh nht.
173

Phi ni rng vic xy dng mt cng thc tng t nh phng trnh

YuleWalker tm b, K l c th, song kh nng ng dng ca n rt thp
do quan h gia vector tham s b v sai lch i tng/m hnh c tnh phi
tuyn mnh, sinh ra bi c th m hnh MA. Chnh v vy ta s khng i
tip vo hng gii quyt m tm cch s dng li nhng thut ton
bit ca nhn dng ch ng m hnh AR phc v vic nhn dng tham s
m hnh MA. tng ny c c trn c s nguyn l i ngu Markov
pht biu nh sau:
nh l 4.6: Vi mi mt m hnh MA (4.48) bao gi cng tn ti mt m
hnh AR tng ng bc v hn. Ni cch khc bao gi cng tn ti
dy v hn cc tham s c1 , c2 , K sao cho
1+

nb

bn z n =

n =1

1+

(4.50)

cn z n

n =1

Gia cc tham s b1 , b2 , K ,
cn + nb =

bnb v c1 , c2 ,

K c quan h truy hi

nb 1

bi +1 cn + i , trong n 1

(4.51)

i=0

Ta s b qua vic chng minh nh l trn v cng nhn chng nh iu

hin nhin. Nhng bn c quan tm c th tm thy phn chng minh trong
cc ti liu [10] hoc [12].
Da theo nh l 4.6 th vic nhn dng tham s m hnh MA s c
thay th bng cc thut ton nhn dng tham s m hnh AR bit, tc l
nhn dng cc tham s c1 , c2 , K . Sau tnh ngc b1 , b2 , K , bnb t c1 , c2
, K theo (4.51). Phng hng gii quyt rt r rng nh vy, song thc
hin n ta s gp cc kh khn g?.
Trc mt c th thy ngay c hai kh khn c bn sau:

M hnh AR tng ng c bc v hn, tc l phi xc nh v hn

cc tham s c1 , c2 , K.
Vic tnh ngc b1 , b2 , K , bnb t c1 , c2 , K theo (4.51) ng ngha vi
vic tm nghim ca h phng trnh c s cc phng trnh (n=1,2,
174

K) nhiu hn s n s b1 , b2 , K , bnb nn ta thng gp phi trng

hp h v nghim.
loi b kh khn th nht, ta s thay m hnh AR bc v hn bng
mt m hnh AR bc hu hn s v cng vi n (4.50) c sa i thnh
1+

nb

bn z n

n =1

1+

cn z

(4.52)
n

n =1

v do phi chp nhn mt sai s sinh ra bi s thay th ny. Cng vi s

thay th , dy v hn c1, c2 , K tr thnh dy hu hn c1, c2 , K , cs . Tt
nhin bc s cng ln, sai s s cng nh.
trnh c kh khn th hai ta c hai cch:
1) Chn s= 2nb . Khi vi n=1,2, K , nb s c c t (4.51) ng
phng trnh cho nb n b1 , b2 , K , bnb .

nb

2) Chn s> 2nb . Vy th khng th s dng (4.51) xc nh b1 , b2 , K

, bnb t c1, c2 , K, cs . Ta s tnh trc tip b1 , b2 , K , bnb nh (4.52), trong
tham s ck c xem nh bng 0 khi k>s.
4.3.2

Thut ton nhn dng cho trng hp s=2nb

Sau khi thay m hnh MA (4.48) bi mt m hnh AR tng ng theo

cng thc (4.52) v xc nh c cc tham s c1, c2 , K , cs ca m
hnh AR tng ng cng nh gi tr mt ph K ca u(t) th vic
cui cng phi lm l tnh b tham s b1 , b2 , K , bnb ca m hnh MA t cc
gi tr c1, c2 , K , cs tm c.
Vi gi thit s= 2nb ta c th p dng trc tip cng thc Markov (4.51)
tm b1 , b2 , K , bnb t c1, c2 , K , cs v khi s cc phng trnh s ng
bng s cc n s. Vit li (4.51) ln lt cho n=1, 2, K ,

2nb

c:

175

 c1

c2
M

cn +1
b

c2
c3
cnb + 2

L cnb
b c

L cnb +1 1 nb +1
M = M

b c
L c2nb nb 2nb

(4.53)

v chnh l h phng trnh tuyn tnh cho php xc nh b1 , b2 , K

, bnb t c1 , c2 , K , c2nb .
Ta i n thut ton th nht:
1) S dng cc thut ton nhn dng tham s m hnh AR bit nh thut
ton Levinson (mc 4.2.3) hay thut ton truy hi ca Burg (mc 4.2.4)
xc nh c1 , c2 , K ,

c2nb v

K t dy N gi tr o c {yk}, k=1, K ,

N1 ca tn hiu u ra.
2) Gii phng trnh tuyn tnh (4.53) c b1 , b2 , K , bnb t c1 , c2 , K ,
c2nb .

Ch rng trong thut ton va trnh by ta phi chp nhn sai s do gi

thit bc m hnh AR tng ng l hu hn v bn thn thut ton khng
lm gim c sai s ny. Ring trng hp khi bc ca m hnh MA l nb
ln th bc ca AR tng ng l 2nb cng s ln, nn sai s s gim.
4.3.3

Thut ton nhn dng cho trng hp s>2nb

Khi s> 2nb ta khng th s dng cng thc Markov (4.51) xc nh

trc tip b1 , b2 , K , bnb t c1, c2 , K , cs . Thay vo ta s dng (4.52).
Nu k hiu
nb

B(z) = 1 + bn z n
n =1

C(z) = 1 + cn z n
n =1

ta s thy B(z) chnh l nh ton t z ca dy gi tr {1, b1 , b2 , K , bnb } v

C(z) l nh z ca {1, c1, c2 , K , cs}. Do theo (4.52), tch ca hai nh bng 1
B(z)C(z) 1
nn tch chp ca hai dy gi tr trn phi l hm dirac
176

nu

n=0

nu

n0

bn*cn
Suy ra
nb

cn + bk cn k 0 vi

n 1.

(4.54)

k =1

ng thc (4.54) ch thc s ng khi m hnh AR tng ng c bc

v cng v cc tham s c1 , c2 K l chnh xc. Nhng y m hnh AR li
c bc hu hn s v cc tham s c1, c2 , K , cs ca n cng ch c nhn
dng bng thut ton YuleWalker hoc Burg, tc l cc gi tr m ta c ch
l nhng gi tr xp x. Ni cch khc
nb

cn + bk cn k = en 0

vi

n1

k =1

trong en l sai s.
Bi vy mt thut ton no xc nh b1 , b2 , K , bnb t c1, c2 , K , cs s
c gi l tt nht nu n mang li gi tr trung bnh ca bnh phng sai
s M{en2} nh nht. Nu nh rng trong bi ton va nu ta xem 1, c1, K ,
cs nh l dy {yk} th n s chnh l bi ton d bo tuyn tnh tin m ta
cp ti mc 4.2.2. Do , theo nh l 4.1, nghim b1 , b2 , K , bnb phi
tha mn phng trnh YuleWalker (4.14) vi vai tr dy {yk} c thay
bng {1, c1, c2 , K , cs }.
Ta i n thut ton th 2 nhn dng tham s m hnh MA nh sau:
1) Chn s> 2nb . Cng c th chn s 2nb .
2) S dng cc chng trnh nhn dng ch ng tham s m hnh AR
bit nh Yule_Walker() hay Burg() xc nh c1, c2 , K , cs v K t
dy N gi tr o c {yk}, k=1, K , N1 ca tn hiu u ra.
3) S dng cc chng trnh nhn dng tham s m hnh AR
Yule_Walker() hoc Burg() mt ln na xc nh b1 , b2 , K , bnb t
dy gi tr 1, c1, c2 , K , cs .
177

Di y l hm MA() vit trn ngn ng lp trnh C m t vic ci t

thut ton va trnh by tham kho. Hm ny s dng hm con
Yule_Walker() cho c hai bc ca thut ton, tc l va nhn dng
tham s c1, c2 , K , cs ca m hnh AR cng nh xc nh b1 , b2 , K
, bnb t dy gi tr {1, c1, c2 , K , cs }.
Hm MA() c cc bin hnh thc sau:
a) Con tr y ch u mng y[] cha cc gi tr yk , k=0,1, K , N1.
b) S nguyn N cha di dy {yk}, tc l cha ch s N.
c) S nguyn nb cha bc m hnh MA.
d) S nguyn s cha bc m hnh AR c thay th tm thi cho m
hnh MA.
e) S nguyn bias xc nh gi tr hm tng quan s c tnh theo
cng thc bias (bias=1) hay unbias (bias1).
f) Con tr b ch u mng b[] cha kt qu theo th t:
b[0]=K , b[1]= b1 , K , b[nb]=

bnb .

Hm tr v gi tr bo li bng 1 nu Yule_Walker() c li hoc 2 khi

gi tr u vo s ca s v nb ca nb khng tha mn iu kin s 2nb .
Trng hp khng c li, hm s tr v gi tr 0 v kt qu c lu gi
trong mng b[]. Hm MA() khng lm thay i ni dung ca mng y[].
int MA(double *y,int N,int nb,int s,int bias,double *b)
{ int i;
if (s<2*nb) return(2);
double K,*c;
c=new double[s+1];
i=Yule_Walker(y,N,s,bias,c);
if(i==0)
{ K=c[0];
c[0]=1.;
i=Yule_Walker(c,s+1,nb,bias,b);
b[0]=K;
}
178

delete [] c;
return(i);
}
Ch : Trong qu trnh xy dng thut ton th hai ta khng s dng
gi thit s> 2nb nn chng trnh MA() hon ton vn s dng c cho c
trng hp s= 2nb . Thc t ng dng ch rng ngay c khi s= 2nb th
MA() cng cho ra kt qu tt hn l p dng trc tip thut ton th nht
gii h phng trnh (4.53).
4.4

Nhn dng ch ng tham s m hnh ARMA

Vic nhn dng trc tip tham s m hnh ARMA (4.10), trong tn
hiu u vo u(t) c gi thit l ngu nhin egodic vi
mu = 0 v Su() =K
c th ni l khng kh thi v quan h gia hm sai lch Q ca m hnhi
tng vi cc tham s m hnh rt phc tp v mang tnh phi tuyn mnh.
Tuy nhin sau khi c cc thut ton nhn dng tham s m hnh AR v
MA, trong v thc cht bi ton nhn dng MA cng c chuyn v
bi ton nhn dng AR tng ng, th vic nhn dng m hnh ARMA
cng s n gin hn v c tnh ng dng cao hn nu ta chuyn bi ton
thnh hai bi ton nhn dng AR v MA ring bit.
u(t) M hnh x(t) M hnh
MA

Hnh 4.3: Chuyn bi ton nhn dng ARMA

thnh hai bi ton AR v MA

4.4.1

y(t)

AR

Nhn dng tham s AR ca m hnh ARMA

Tng t nh lm mc 4.2, ta nhn c hai v ca m hnh (4.10) vi

ynk v pha tri sau lp gi tr trung bnh cho c hai v, s c
ry ( kTa ) +

na

nb

i =1

i =1

ai ry (( k i)Ta ) = ryu ( kTa ) + bi ryu (( k i)Ta ) .

179

Do i tng c h s khuch i bng 1 nn nu gi gk =g(kTa) l gi tr

hm hm trng lng ca m hnh ARMA th theo gi thit (4.9) c
1 khi k = 0
0 khi k < 0

gk =

K khi k = 0
0 khi k 0

ru(kTa) =

Nhng v
ryu ( kTa ) = ruy ( kTa ) = ru ( kTa ) * g k =

ru ( iTa ) g k i = Kgk

i =

nn
K khi k = 0
khi k > 0
Kg
k khi k < 0

ryu(kTa) = 0

Bi vy vi k>nb s c
ry ( kTa ) +

na

ai ry (( k i)Ta ) =0.

(4.54)

i =1

Tuy nhin (4.54) cng ch l cng thc gn ng. L do l cc gi tr

ry(kTa) ca hm tng quan ch c th l cc gi tr xp x, chng c c
l bi ta p dng cc thut ton nhn dng hm tng quan t dy {yk}
o c ca tn hiu u ra (v d nh vi hm cor()). Ni cch khc
ry ( kTa ) +

na

ai ry (( k i)Ta ) = ek 0

i =1

Bi vy cc tham s a1, a2 , K ,

ana cn

phi c xc nh sao cho gi

tr trung bnh ca bnh phng sai lch M{en2} l nh nht. So snh vi

nh l 4.1 th y a1, a2 , K ,

ana

chnh l nghim ca bi ton

YuleWalker ng vi cc gi tr u vo ry[(nb+1)Ta], ry[(nb+2)Ta], L ,

ry(MTa) thay cho dy {yk}, trong M l s Lag ta chn khi s dng
thut ton nhn dng hm tng quan.
Ta i n thut ton nhn dng tham s AR ca m hnh ARMA nh sau:
1) Chn s Lag M >> na v s dng chng trnh nhn dng hm tng
quan cor() xc nh dy gi tr
180

ry ( kTa ) ,

k = 0,1, K , M.

2) S dng cc chng trnh nhn dng offline tham s m hnh AR

bit nh Yule_Walker() hay Burg() xc nh a1, a2 , K ,

ana t

dy

cc gi tr ry[(nb+1)Ta], ry[(nb+2)Ta], L , ry(MTa) ca hm tng

quan.
4.4.2

Nhn dng tham s MA ca m hnh ARMA

Bc tip theo sau khi c cc tham s a1, a2 , K ,

ana l

p dng

chng trnh nhn dng tham s m hnh MA (v d nh MA()) tnh cc

tham s b1 , b2 , K , bnb . Mun nh vy ta cn phi c cc gi tr ca tn hiu
u ra x(t) ca khi MA tng ng trong m hnh ARMA (hnh 4.3) v tn
hiu ny cng chnh l tn hiu u vo ca khi AR nn c xc nh theo
(4.11), tc l
na

xk = yk + ai yk i

(4.55)

i =1

Nh vy vic tnh cc tham s MA ca m hnh ARMA s gm hai

bc:
1) Xc nh dy {xk} t {yk} v a1, a2 , K ,

ana

theo (4.55)

2) p dng chng trnh MA() tnh b1 , b2 , K , bnb vi dy u vo l

{xk}.
Nhng do dy {yk} c di l N nn dy {xk} cng ch c th c di
ln nht l N+ na , tc l khi k N+ na 1th xk 0. Ngoi ra do tng bn v
phi ca (4.55) c dng mt tch chp ca hai dy gi tr {1, a1, a2 , K
, ana }, {yk} v nh Fourier ca mt tch chp chnh l tch ca hai nh
Fourier nn ta c th p dng dft() tnh nhanh {xk} nh sau
1) p dng chng trnh dft() tnh nh A(jk) ca dy {1, a1, a2 , K
,

ana }

v Y(jk) ca {yk} vi =

2
Ta

181

2) Tnh X(jk) =A(jk)Y(jk) .

3) p dng chng trnh invdft() tnh ngc xk t X(jk).
Ch : Tch X(jk)=A(jk)Y(jk) ch c ngha khi {A(jk)},
{Y(jk)} c cng di , trong l s nguyn dng ly tha 2 nh
nht nhng khng nh hn N v na. Do N > na nn trc khi s dng dft()
bc 1 ta phi thm cc phn t 0 vo dy {1, a1, a2 , K ,

ana }

sao cho

nhng dy mi ny c ng N phn t (xem thm hm dft() gii thiu

mc 2.1.7 trong chng 2).
4.4.3

Thut ton nhn dng tham s m hnh ARMA

Tng kt hai phn trn li ta c thut ton chung nhn dng tham s
m hnh ARMA nh sau:
1) Chn s Lag M >> na v s dng hm cor() nhn dng hm tng
quan, tc l xc nh dy gi tr ry(kTa), k=0,1, K , M.
2) S dng cc chng trnh nhn dng ch ng tham s m hnh AR
bit nh Yule_Walker() hay Burg() xc nh a1, a2 , K ,

ana

t dy

cc gi tr ry[(nb+1)Ta], ry[(nb+2)Ta], L , ry(MTa) ca hm tng

quan.
3) Xc nh dy {xk} t {yk} v a1, a2 , K ,

ana

trc tip theo (4.55) hoc

c th tnh nhanh theo cc bc:

a) Lp dy {1, a1 , K , ana , 0, K , 0} bng cch thm cc gi tr 0 vo
cui dy sao cho dy mi c ng N phn t.
b) Tnh nh Fourier A(jk) ca {1, a1 , K , ana , 0, K , 0} v nh
Y(jk) ca {yk} nh dft().
c) Lp tch X(jk) =A(jk)Y(jk), k=0,1, K , 1.
d) p dng invdft() vi dy u vo { X ( jk ) } tnh ngc {xk} t
{X(jk)}.
182

4) p dng hm MA() tnh K, b1 , b2 , K , bnb t {xk}.

Mt hm ARMA() vit trn ngn ng lp trnh C m t vic ci t thut
ton trn c cho di y tham kho.
Hm ARMA() c cc bin hnh thc sau:
a) Con tr y ch u mng y[] cha dy cc gi tr tn hiu {yk}, k = 0,1,
K , N1 o c.
b) S nguyn N cha s cc gi tr yk, tc l cha N.
c) S nguyn na cha bc ca a thc mu s ca m hnh, tc l na.
d) S nguyn nb cha bc ca a thc t s ca m hnh, tc l nb.
e) S nguyn s cha bc m hnh AR c thay th tm thi cho m
hnh MA ca m hnh ARMA cn nhn dng.
f) S nguyn bias xc nh gi tr hm tng quan s c tnh theo
cng thc bias (bias=1) hay unbias (bias1).
g) S nguyn M cha ch s Lag cn thit cho vic nhn dng hm tng
quan.
h) Con tr a ch u mng a[] c di na+1 cha kt qu theo th t:
a[0]=1 , a[1]= a1 , K , a[na]=

ana .

i) Con tr b ch u mng b[] c di nb+1 cha kt qu theo th t:

b[0]=K , b[1]= b1 , K , b[nb]=

bnb .

Hm ARMA() tr v gi tr bo li 3 nu M N, gi tr 4 khi khng thc

hin c hm Yule_Walker()v gi tr 1 hoc 2 khi hm MA() c li.
Trng hp khng c li, hm ARMA() s tr v gi tr 0.
Hm ARMA() s dng thut ton YuleWalker, tc l hm
Yule_Walker() cho bc 2) xc nh a1, a2 , K , ana vi cc gi tr u
vo ry[(nb+1)Ta], ry[(nb+2)Ta], L , ry(MTa) thay cho dy {yk}.
int ARMA(double *y,int N,int na,int nb,int s,int bias,int M,
double *a,double *b)
183

int i,k,err;
double *x;
x=new double[N];
err=2+cor(y,y,N,M,bias,x);
if(err==2)
err=3+Yule_Walker(x+nb+1,M-nb,na,bias,a);
if(err==3)
{ a[0]=1.;
for(k=0;k<N;k++)
{ x[k]=0.;
for(i=0;(i<=na)&&(i<=k);i++) x[k]+=a[i]*y[k-i];
}
err=MA(x,N,nb,s,bias,b);
}
delete [] x;
return(err);

}
4.5

Nhn dng b ng tham s m hnh ARMA

By gi ta xt bi ton tng qut hn cho vic nhn dng tham s m

hnh ARMA. l bi ton nhn dng b ng (cn gi l passive hay
online). Trong bi ton ny, tn hiu u vo u(t) khng c gi thit l
bit trc, n c th l mt tn hiu bt k v nh vy nhn dng ta
phi o c tn hiu vo u(t) ln tn hiu ra y(t).
Bi ton c pht biu nh sau: Cho i tng m t bi m hnh ri
rc, c gi thit l tuyn tnh, di dng phng trnh vi sai phn (4.1).
T cc gi tr o c ca tn hiu u vo l {uk} v ca tn hiu u ra
l {yk}, k=0, K , N, hy xc nh cc tham s K, a1, K ,

ana v

b1 , K ,

bnb

ca m hnh (4.1) sao cho sai lch gia m hnh v i tng l nh nht.
nhiu

{uk}

i tng
ARMA

B(z)
Hnh 4.4: Nhn dng b ng tham
s m hnh ARMA.

184

{yk}
A(z)

{ek}

 gii quyt bi ton va nu ta c hai cch:

Nhn dng cc tham s K, a1, K ,

an a

v b1, K ,

bnb

trc tip t dy cc

gi tr o c {uk}, {yk} sao cho tng bnh phng sai lch m rng
gia m hnh v i tng l nh nht (hnh 4.4).

Chuyn v bi ton nhn dng ch ng v s dng cc thut ton nhn

dng ch ng tham s m hnh ARMA bit.
4.5.1

Nhn dng b ng khi cc tn hiu vo ra l tin nh

n gin, ta chuyn m hnh (4.1) v dng

G(z) =

~ ~
~
b0 + b1 z 1 + L + bnb z nb
1 + a1 z 1 + L + an a z n a

= B( z) .
A( z )

(4.56)

Nh vy th so vi (4.1), trong (4.56) c

~
bi = Kbi

vi

i= 0,1 K ,

nb

v b0=1.

Dng tng ng ca (4.54) vit trc tip theo quan h vo ra ca tn

hiu trong min thi gian, l
~
~
~
yk + a1 yk 1 + L + ana yk na = b0 uk + b1uk 1 + L + bnb uk nb

(4.57)

M hnh (4.57) trn ch c th ng nu nh n(t)0 v cc gi tr o c

{uk}, {yk} l chnh xc. Song v khng c mt s m bo no cho rng
iu thc hin c nn trong thc t gia v phi v v tri tn ti mt
sai s, tc l
yk +

na

nb

i =1

i=0

ai yk i bi uk i

K hiu sai s l ek , th
na

nb

i =1

i=0

ek = yk + ai yk i b~iuk i

(4.58)

185

Gi tr tng bnh phng sai lch m rng khi c vit thnh:

na
nb

~
y + a y
biuk i

k
i
k
i

k = na
i =1
i=0

Q = ek2 =
k = na

(4.59)

trong , c th ch nhng gi tr uk , yk o c trong khong k= 0,1,

K , N, tham gia vo thut ton nhn dng th ek phi c k=na , K , N v
nh vy iu kin ng dng c thut ton s l N na .
Bi ton nhn dng by gi c pht biu nh sau: Trn c s quan st
~
~
b0 , K , bnb sao

cc tn hiu vo ra, hy xc nh a1 , K , ana v

cho Q min.

Vit li (4.59) vi cc k hiu vector

a1

M
a
n
p= ~ a
b0

M
~
b
nb

(y M p)T (y M p) =

yna

y = M ,
y
N

yna 1

y
= nM a

y N 1

L
L

y0
y1

L y N na

una L una nb

una +1 L una nb +1

M
O
M

uN
L u N nb

(4.60)

ta s c
Q=

TM

p p

TMT

y+ p

TMTM

p.

Gi thit thm ma trn vung S=MTM khng suy bin, vy th

Q =

y y

TMS1

MT

+ (MT y S p ) T S 1 (MT y S p ).

ng thc trn c thnh phn th ba bn v phi l thnh phn duy nht

cha vector p phi tm. Bi vy, do S xc nh dng nn Q s nhn gi tr
nh nht khi v ch khi
0 = MT

= S 1 MT

(4.61)

v chnh l cng thc xc nh cc tham s ca m hnh ARMA. Ta i

n thut ton:
1) Lp vector

v ma trn M, S theo (4.60) t dy cc gi tr {uk}, {yk},

k=0, K , N o c ca tn hiu.
186

2) Kim tra tnh khng suy bin cng nh tnh xc nh dng ca ma trn
S.
3) Tnh vector

ca tham s m hnh theo (4.61). C th s dng hm

cholesky() trnh by trong chng 3 gii h phng trnh tuyn

tnh ny.
Ch : Trong khi vector tham s

p c

s chiu c nh l na+nb+1 th s

chiu ca ma trn M v vector y ph thuc vo s mu tn hiu trch c.

S lng mu tn hiu trch c cng ln, khong thi gian quan st tn
hiu s cng rng, lng thng tin thu c v i tng cng nhiu, song
chiu ca ma trn M v vector y cng v th m cng tng ko theo s lng
cc php tnh phi thc hin ln, lm cho sai s tnh ton cng ln. Bi vy
ta cn phi chn khong thi gian quan st khng nn qu ngn nhng cng
khng qu lu v kt qu nhn dng s ph thuc ng k vo khong thi
gian quan st tn hiu c chn. Ngoi ra thut ton trn khng c kh
nng lc nhiu nn ch c th ng dng cho cc bi ton nhn dng m s
nh hng ca nhiu vo i tng l khng ng k v c th b qua c.
Cng nh vy thut ton cng s khng s dng c khi tn hiu vo/ra l
nhng tn hiu ngu nhin.
Nu gi sij vi i, j =1, 2, K , na+nb+1 l cc phn t ca S=MTM th t
(4.60) c:
sij

( N na + 1) ry (( i j )Ta )
nu
1 j i na

= ( N na + 1) ryu (( i j na 1)Ta ) nu 1 j na < i na + nb + 1

nu
na < j i na + nb + 1
( N na + 1) ru (( i j )Ta )

trong ry(mTa), ryu(mTa), ru(mTa) l gi tr hm tng quan c xc

nh theo cng thc bias (2.45) v (2.46) v Ta l khong thi gian trch
mu tn hiu. Cng nh vy nu k hiu ki vi i =1, 2, K , na+nb+1 l
nhng phn t ca vector k=MT y th:
( N na + 1) ry ( iTa )

ki =

nu

( N na + 1) ruy (( i na 1)Ta ) nu

1 i na
na < i na + nb + 1

187

Hai cng thc ny l cng c xy dng dy gi tr u vo cho hm

cholesky() khi ci t thut ton trn. Hm online_d() vit trn ngn ng
lp trnh C cho di y l mt v d v vic ci t thut ton nhn dng b
ng tham s m hnh ARMA khi cc tn hiu vo ra l tin nh.
Hm online_d() s dng thm hm cor() phc v vic thc hin hai cng
thc tnh sij , ki , j i =1, 2, K , na+nb+1 v c cc bin hnh thc sau:
a) Con tr u ch u mng thc u[] cha dy cc gi tr {uk}, k = 0,1, K
, N o c ca tn hiu vo.
b) Con tr y ch u mng thc y[] cha dy cc gi tr {yk}, k = 0,1, K ,
N o c ca tn hiu ra.
c) S nguyn N cha s cc gi tr tn hiu o c, tc l cha N+1.
d) S nguyn na cha bc na ca a thc mu s ca m hnh.
e) S nguyn nb cha bc nb ca a thc t s ca m hnh.
f) Con tr p ch u mng phc p[] cha tham s tm c theo thc t
p[0]= a1 , K , p[na-1]= ana , p[na]=

~
b0 ,

K , p[na+nb]=

~
bnb .

Mc d tham s a, b m hnh ch l nhng s thc, song tin cho

vic s dng hm cholesky() chng c khai bo y l cc gi tr
phc. Phn o ca kt qu nu khc 0 c th c xem nh sai s tnh
ton ca chng trnh.
Hm tr v gi tr bo li 0 khi Nna+nb hoc hm con cor() hay
cholesky() c li, trng hp ngc li s tr v gi tr 0. Hm online_d()
khng lm thay i ni dung hai mng u[] v y[].
int online_d(double *u,double *y,int N,int na,int nb,complex *p)
{
if(N<=na+nb) return(1);
int n=na+nb+1,i,j,q,l,err;
double *ru,*ruy,*ryu,*ry;
complex *s;
ry=new double [na+1];
ru=new double [nb+1];
188

ruy=new double [nb+1];

ryu=new double [na+1];
s=new complex [n*(n+1)/2];
err = cor(y,y,N+1,na,1,ry)+cor(u,y,N+1,nb,1,ruy);
err += cor(y,u,N+1,na,1,ryu)+cor(u,u,N+1,nb,1,ru);
if(err==0)
{ for(i=1;i<=n;i++)
{ q=i*(i-1)/2-1;
p[i-1]=(i<=na)? complex(ry[i]):complex(ruy[i-na-1]);
for(j=1;j<=i;j++)
{ if(i<=na) s[q+j]=complex(ry[i-j]);
else if(j<=na)
{ l=i-j-na-1;
s[q+j]=(l<0)? complex(ryu[-l]):complex(ruy[l]);
}
else s[q+j]=complex(ru[i-j]);
}
}
err=cholesky(n,s,p);
}
delete[]ru; delete[]ruy; delete[]ryu; delete[]ry; delete[]s;
return(err);
}
4.5.2

Nhn dng b ng vi cc tn hiu vo ra l ngu nhin

Xt bi ton nhn dng b ng tham s m hnh ARMA vi cc tn hiu

vo/ra l nhng hm ngu nhin. Khng mt tnh tng qut nu gi thit
thm rng u(t), y(t) v nhiu l nhng tn hiu c phn tnh bng 0. Khi ,
sau khi nhn c hai v ca (4.57) vi vi unm , ri lp gi tr trung bnh c
hai v, s c
ruy ( mTa ) +

na

nb

i =1

i=0

ai ruy (( m i)Ta ) = bi ru (( m i)Ta )

(4.62)

Hai phng trnh (4.57) v (4.62) nh vy l tng ng, trong v tr

yk v uk trong (4.57) nay c thay th bi ruy(mTa) v ru(mTa). Do ,
nu ta l lun ng nh lm vi (4.57) i n (4.61) th khi xut pht

189

t (4.62) cng s c cng thc xc nh cc tham s a1, K , ana v

~
~
b0 , K , bnb theo

nguyn tc cc tiu ha tng bnh phng cc sai lch nh

sau:
a1

M
ruy ( naTa )

~ T ~ ana
~T

=
(M M) ~
M
M
b0
ruy ( NTa )

M
~
b
nb

vi

(4.63)

L
ruy (0 )
ru ( naTa )
ru (( na nb )Ta )
ruy (( na 1)Ta ) L

+
L
L
r
n
T
r
T
r
n
T
r
(
)
(
)
((
1
)
)
~
uy a a
uy a
u
a
a
u (( na nb + 1)Ta )
M =

ruy (( N 1)Ta ) L ruy (( N na )Ta )

ru ( NTa )
L
ru (( N nb )Ta )

v cui cng, ta c c thut ton (dng th):

1) S dng chng trnh cor() tnh gi tr cc hm tng quan ruy(mTa)
v ru(mTa) t nhng gi tr tn hiu o c.
2) Xc nh cc tham s a1, K , ana v

~
~
b0 , K , bnb bng

cch gii h phng

trnh (4.63). Ta c th s dng chng trnh cholesky() gii thiu

trong chng 3 gii h phng trnh ny.
Vic p dng thun ty thut ton trn xc nh tham s thng dn
ti kt qu c sai s ln. L do nm sai s nhn dng hm tng quan
ruy(mTa) v ru(mTa) t N+1 gi tr tn hiu thu c {uk}, {yk}, k=0,1, K ,
N. Nh trnh by trong chng 2 th sai s trong ruy(mTa) v ru(mTa)
cng ln khi ch s m cng cao. Bi vy loi tr nhng sai s ny, ta nn
p dng li vic dng s Lag M trong khong 5%20% ca N+1 s cc gi
tr tn hiu nhn c nhm hn ch s tham gia tip tc ca nhng gi tr
ruy(mTa), ru(mTa) c sai s ln (chng 2, mc 2.2.1). Ni cch khc ta s
ch s dng trong phng trnh (4.63) nhng gi tr ruy(mTa), ru(mTa) c
ch s m= 0,1, K , M.
p dng ch s Lag, phng trnh (4.63) tr thnh:
190

 a1

M
r (n T )
a
) )
) uy a a
n

M
( M T M ) ~ a = M T
b

0
ruy ( MTa )

~
b
n
b

(4.64a)

vi
ruy (0 )
ru ( na Ta )
ru (( na nb )Ta )
L
ruy (( na 1)Ta ) L

) ruy ( na Ta )
ruy (Ta )
ru (( na + 1)Ta ) L ru (( na nb + 1)Ta )
L
M =

ruy (( M 1)Ta ) L ruy (( M na )Ta )

ru ( MTa )
L
ru (( M nb )Ta )

(4.64b)
Ta i n thut ton dng tinh nh sau:
1) Chn s Lag M >> na v s dng chng trnh nhn dng hm tng
quan cor() xc nh dy gi tr ruy(mTa) v ru(mTa) , m=0,1, K , M.
2) Xy dng ma trn
) )
(MT M) .

)
M

theo (4.64b) v kim tra tnh khng suy bin ca

3) Gii h phng trnh (4.64a) xc nh a1, K , ana v

~
~
b0 , K , bnb .

Thm na, thut ton ny s khng b nh hng bi nhiu n(t) tc ng

ti u ra nu nh nhiu khng tng quan vi tn hiu u vo, v khi
c rnu()=0.
Nh vy, thut ton trn hon ton tng t nh hm online_d(). iu
khc bit duy nht y l vai tr ca dy {uk}, {yk}, k=0, K , N nay c
thay bng ruy(mTa), ru(mTa), m= 0,1, K , M.
Hm online_s() cho di y minh ha vic ci t thut ton. Hm c
cc bin hnh thc:
a) Con tr u ch u mng thc u[] cha dy cc gi tr {uk}, k = 0,1, K
, N o c ca tn hiu vo u(t).

191

b) Con tr y ch u mng thc y[] cha dy cc gi tr {yk}, k = 0,1, K ,

N o c ca tn hiu ra y(t).
c) Bin nguyn N cha s cc gi tr tn hiu o c l N+1.
d) Bin nguyn M cha ch s Lag l M.
e) Bin nguyn bias xc nh gi tr hm tng quan s c tnh theo
cng thc bias (bias=1) hay unbias (bias1).
f) Bin nguyn na cha bc na ca a thc mu s ca m hnh (na > 0).
g) Bin nguyn nb cha bc nb ca a thc t s ca m hnh (nb na).
h) Con tr p ch u mng phc p[] cha tham s tm c theo thc t
p[0]= a1 , K , p[na-1]= ana , p[na]=

~
b0 ,

Thc cht cc tham s m hnh a1, K , ana ,

K , p[na+nb]=
~
~
b0 , K , bnb

~
bnb .

ch l phn thc

ca p[]. Phn o ca p[] c th c xem nh sai s tnh ton ca

chng trnh.
Hm online_s() s dng thm hai hm con cor(), online_d(). Hm bo
li bng gi tr tr v 0 khi cc hm con ny c li, trng hp ngc li
s tr v gi tr 0. Hm online_s() khng lm thay i ni dung hai mng
u[] v y[].
int online_s(double *u,double *y,int N,int M,int bias,
int na,int nb,complex *p)
{
if((na+nb==0)||(na<nb)) return(-1);
int err;
double *ru,*ruy;
ru=new double[M+1];
ruy=new double[M+1];
err=cor(u,u,N+1,M,bias,ru)+cor(u,y,N+1,M,bias,ruy);
if(err==0) err=online_d(ru+na-nb,ruy,M,na,nb,p);
delete [] ru; delete [] ruy;
return(err);
}

192

4.5.3

Chuyn v bi ton nhn dng ch ng

Trong cc mc 4.2, 4.3, 4.4 ta lm quen vi cc thut ton nhn dng

ch ng tham s m hnh AR, MA v ARMA khi tn hiu u vo u(t) l
n trng, tc l tn hiu ngu nhin c
v Su() = hng s.

mu = 0

Mc ch chnh ca mc ny l tm cch ng dng nhng thut ton bit

nhn dng b ng (cn gi l trc tuyn/online) tham s m hnh
ARMA
G(z) = Y ( z) = K
U ( z)

1 + b1 z 1 + L + bnb z nb
1 + a1 z

+ L + ana z

na

=K

B( z )
A( z )

(4.65)

cho mt tn hiu vo u(t) ngu nhin bt k.

Nu u(t) l mt tn hiu bt k th nh ngay chng 1 m u ni,
nh z ca n c th m t c bi:
U(z) =

~ C( z ) ~
K
U ( z)
F ( z)

trong
C(z) = 1 + c1 z 1 + L + cnc z nc ,
v

~
U ( z)

l nh z ca tn hiu

~( t )
u

F(z) = 1 + f1 z 1 + L + fn f z n f
n trng c

mu~ =

0 v

Su~ ( ) =1

(hnh 4.5).

Khi bi ton nhn dng b ng tham s m hnh ARMA s c chuyn

v bi ton nhn dng ch ng vi cc bc nh sau:
1) Nhn dng cc tham s m hnh c1 , c2 , K , cnc , f1 , f2 , K , f nf v

~
K ca

tn hiu ngu nhin u vo u(t) t dy cc gi tr {uk}, k = 0,1, K , N

o c ca n bng cc thut ton nhn dng ch ng bit.
2) Xem m hnh

~ C( z )
K
F ( z)

ngay sau i tng

vo

~
y( t )

ca

~ C( z )
K
F ( z)

ca tn hiu u vo nh mt khu mc ni tip

B( z )
A( z )

cn nhn dng (hnh 4.5), th tn hiu u

s ng thi l tn hiu ra ca i tng khi i

193

tng c ch ng kch thch bng tn hiu n trng

~( t ) .
u

dy cc gi tr { ~yk } t {yk}, k = 0,1, K , N v m hnh

Xc nh

~ C( z )
K
F ( z)

theo cng

thc

~
yk + f1 y k 1 + L + f n f yk n f = K ~
yk + c1 ~
yk 1 + L + cnc ~
y k nc

3) Xc nh a1, a2 , K , ana , b1, b2 , K , bnb v K ca

B( z )
A( z )

t dy { ~yk }

bng cc thut ton nhn dng ch ng (offline) bit.

Nh vy iu kin c th p dng c thut ton trn l thng tin
Apriori phi cho ta bit thm bc nc , nf ca m hnh tn hiu u vo
hoc t nht cng phi nhn dng c chng trc khi p dng thut ton.

Hnh 4.5: Chuyn bi ton online

thnh offline.

n trng

~
u

n trng

~
u

~ C( z )
K
F ( z)

y
B( z ) ~
A( z )

B( z )
A( z )

~ C( z )
K
F ( z)

Do m hnh ARMA ca i tng v tn hiu vo l dng tng qut ca

cc m hnh AR, MA nn ty theo cc iu kin cho trc ca thng tin
Apriori khc nhau v bc ca m hnh i tng cng nh ca tn hiu vo
u(t) m ta s c c nhng hnh thc khc nhau ca thut ton va nu. V
d:
a) Thut ton AR_AR nu nc = nb = 0, tc l tn hiu vo u(t) v i
tng c cng m hnh AR.
b) Thut ton AR_MA nu nc = na = 0 hay m hnh tn hiu vo u(t) l
AR cn m hnh i tng l MA.
c) Thut ton AR_ARMA nu nc = 0 tc l tn hiu vo u(t) c m hnh
AR cn i tng c m hnh ARMA.

194

d) Thut ton MA_AR nu nb = nf = 0, ni cch khc tn hiu vo u(t) c

m hnh MA cn m hnh i tng l AR.
e) Thut ton MA_MA nu na = nf = 0, tc l c tn hiu vo u(t) v i
tng u m t c bi m hnh MA.
f) Thut ton MA_ARMA nu nf = 0, hay c tn hiu vo u(t) v i
tng u m t c bi m hnh MA.
g) Thut ton ARMA_AR nu nb = 0, tc l tn hiu vo u(t) c m hnh
ARMA cn m hnh i tng l AR.
h) Thut ton ARMA_MA cho trng hp tn hiu vo u(t) c m hnh
ARMA cn i tng c m hnh MA (na = 0).
i) Thut ton ARMA_ARMA cho trng hp c tn hiu vo u(t) v i
tng cng c m hnh ARMA.
Hai dng b) v d) c nt c bit ring. M hnh chung ca tn hiu vo
v i tng nhng dng ny l mt m hnh ARMA c kch thch u
vo l tn hiu n trng, trong bn thn tng a thc t s hay mu s l
mt m hnh. Do vi nhng bi ton c m hnh chung dng AR_MA
hay MA_AR nh vy th xc nh dy cc gi tr u ra { ~yk } l khng cn
thit.
Sau y ta s minh ha vic ci t cc bc ca thut ton trn cho dng
c), tc l cho m hnh chung dng AR_ARMA. Nhng dng cn li ca
thut ton c th c ci t mt cch tng t.
Gi s thng tin Apriori cn cho bit thm rng tn hiu vo u(t) m t
c bi
U(z) =
trong

~ ~
K U ( z)
1 + f 1z 1 + L + f n f z

~
U ( z)

nf

l nh z ca tn hiu

~( t )
u

n trng c

mu~ =

0 v

Su~ ( ) =1,

th

cc bc ca thut ton chung nu trn s c chi tit ha thnh:

1) Nhn dng tham s f2 , K , f nf v

~
K

t dy cc gi tr {uk}, k = 0,1, K ,

N o c ca u(t) nh hm Yule_Walker() hoc Burg().

195

2) Xc nh dy { ~yk } t {yk}, k = 0,1, K , N v f2 , K , f nf , K~ theo cng

thc
~
yk + f1 yk 1 + L + f n f yk n f = K ~
yk .

3) Xc nh cc tham s a1, a2 , K , ana , b1, b2 , K , bnb v K ca m hnh

i tng t dy { ~yk } nh hm ARMA().
Thut ton chi tit ny c ci t thnh hm AR_ARMA() cho
di y tham kho. Hm s dng hm con Burg() cho bc 1 v c cc
bin hnh thc sau:
a) Con tr u ch u mng thc u[] cha dy gi tr {uk}, k = 0,1, K , N
o c ca tn hiu vo u(t).
b) Con tr y ch u mng thc y[] cha dy gi tr {yk}, k = 0,1, K , N
o c ca tn hiu ra y(t).
c) Bin nguyn N cha s cc gi tr tn hiu o c l N+1.
d) Bin nguyn nf cha bc nf ca m hnh tn hiu vo u(t).
e) Bin nguyn na cha bc na ca a thc mu s m hnh ARMA cho
i tng.
f) Bin nguyn nb cha bc nb ca a thc t s m hnh ARMA cho
i tng.
g) S nguyn s cha bc m hnh AR c thay th tm thi cho m
hnh MA ca m hnh ARMA cho i tng cn nhn dng.
h) S nguyn bias xc nh gi tr hm tng quan s c tnh theo
cng thc bias (bias=1) hay unbias (bias1).
i) S nguyn M cha ch s Lag cn thit cho vic nhn dng hm tng
quan.
j) Con tr a ch u mng a[] c di its nht l max{na,nf}+1 cha
kt qu theo th t:
a[0]=1 , a[1]= a1 , K , a[na]=

ana .

k) Con tr b ch u mng b[] c di nb+1 cha kt qu theo th t:

196

b[0]=K , b[1]= b1 , K , b[nb]=

bnb .

Hm AR_ARMA() tr v gi tr bo li 3 nu MN, gi tr 4 khi khng

thc hin c hm Burg()v gi tr 1 hoc 2 khi hm MA() c li. Trng
hp khng c li, hm s tr v gi tr 0.
Hm AR_ARMA()khng lm thay i ni dung hai mng u[] v y[].
int AR_ARMA(double *u,double *y,int N,int nf,int na,int nb,
int s,int bias,int M,double *a,double *b)
{
int i,k,err;
double *x,K;
x=new double [N];
err=3+Burg(u,N,nf,a);
if(err==3)
{
K=a[0];
a[0]=1.;
for(k=0;k<N;k++)
{
x[k]=0.;
for(i=0;(i<=nf)&&(i<=k);i++) x[k]+=a[i]*y[k-i];
x[k]=x[k]/K;
}
err=ARMA(x,N,na,nb,s,bias,M,a,b);
}
delete [] x;
return(err);
}
Cu hi n tp v bi tp
1. Chng minh rng nu hng s K ca m hnh AR bc na l mt s
dng v c xc nh theo thut ton YuleWalker th n s chnh l
gi tr trung bnh bnh phng sai lch nh nht:

Qmin= min M yn ynf

K, trong

na

ynf = ak yn k

k =1

197

2. T kt qu bi 1 ngi ta thy khi bc ca m hnh AR l na cng l

mt tham s cn nhn dng th na c th c xc nh sao cho K l mt
s dng cng nh cng tt. Hy cn c vo cng thc (4.22b)
Ki = Ki 1 (1 ai [i]2 )

cng nh tnh truy hi ca thut ton Levinson hoc Burg xy dng

mt thut ton nhn dng bc na cho m hnh AR.
3. Thut ton nhn dng ch ng tham s m hnh MA trnh by ti mc
4.3.3 c bn cch ci t, ph thuc vo vic chn hm YuleWalker()
hay Burg() thc hin bc 2) v 3). Hm MA() gii thiu mc
4.3.3 ch l mt trong 4 cch ci t . Hy vit nhng chng trnh th
hin cc cch ci t cn li v so snh kt qu th nghim vi hm
cho MA().
4. Cng vi 4 cch ci t thut ton nhn dng tham s m hnh MA
ni ti trong bi 3, thut ton nhn dng ch ng tham s m hnh
ARMA (mc 4.4.3) ta cng s c 8 cch ci t (do c thm hai cch la
chn bc 2 cho vic nhn dng tham s a1, a2 , K ,

ana theo

YuleWalker() hay Burg()). Hy vit nhng chng trnh th hin cc

cch ci t cn li.
5. Vi nhng tn hiu ngu nhin egodic phc u(t), y(t) ngi ta nh ngha
hm tng quan nh sau:
ruy() = M[ u ( t ) y( t + ) ] =

1
T 2T
lim

u ( t ) y( t + )dt

a1 [i]

M
a [ i]
i

v do ruy() cng l hm phc. Gi a[i] =

l vector nghim

phc ca phng trnh YuleWalker c bc l i (4.19) vi cc phn t

phc ruy(). Chng minh rng:
a) Nghim a[i] cng tha mn

198

 ai [i]

M 0
Hi
= K .
a1 [i] i
1

b) Gia nghim a[i] ca phng trnh YuleWalker bc i v a[i 1] bc

i1 c mi quan h
ak[i] = ak[i1]+ ai[i] ai k [i1]

k =1, 2, K , i1.

vi

c) Gia sai lch d bo tuyn tnh phc ca m hnh bc i l

v ca m hnh bc i1 l

enf [i 1] , enb [i 1]

enf [i] , enb [i]

c quan h truy hi

enf [i] = enf [i 1] + ai [i]enb 1 [i 1] .

enb [i] = enb 1 [i 1] + ai [i]enf [i 1] .

6. Hy da vo kt qu ca bi 5 xy dng thut ton Levinson gii

phng trnh YuleWalker phc, tc l ma trn H na c cc phn t phc
a1

ana

ry(mTa) v vector nghim a =

ca n cng l vector c nhng

phn t ai phc.
7. Cng da vo kt qu ca bi 5 cu c) m chng minh rng tham s
phc ai[i] ca m hnh AR bc i lm cho phim hm sai lch iu ha
N 1

Q=

n = na

[ ] + [e ]

f
en

b 2
n

c gi tr nh nht s l
2

ai [i] =

N 1

e f [i 1] e b [i 1]
n

n 1

n=i

N 1

n=i

(e

f
2
n [i 1]

+ enb 1 [i 1]2

8. Theo kt qu bi 5, cu c) v bi 7 hy xy dng thut ton truy hi xc

nh cc tham s phc a1, a2 , K ,

ana cho

m hnh AR khi tn hiu vo

199

l hm ngu nhin phc u(t) kiu n trng (mu = 0, Su() =1) trn c s
o tn hiu ra y(t), tc l trn c s dy gi tr {yk}, k = 0,1, K , N1.

200

Nhng k thut b tr

5.1

DFT thi gian ngn (SFT)

Trong cc chng 2, 3 v 4 ta lm quen vi nhng phng php nhn

dng c s dng k thut DFT x l ph tn hiu o c nhm loi b
nh hng ca nhiu v c c gi tr hm tng quan hoc mt ph
tn hiu. K thut DFT ny c mt nhc im l ch p dng c sau khi
c cc gi tr tn hiu x(kTa), k=0,1, K , N1 trong mt khong thi
gian quan st [0,T) ln. Nu khong thi gian quan st (thi gian o) tn
hiu qu ngn, ta s khng c lng thng tin cn thit cho vic phn
tch ph, song nu thi gian o qu lu th ta s lm mt tnh thi gian thc
ca phng php, hn na khi ko di thi gian o mt tn hiu ngu nhin
ta v hnh chung gi thit rng l tn hiu ngu nhin dng
(stationary) m iu ny khng phi lc no cng c tha mn.
Phng php SFT (vit tt ca t ting Anh Short time Fourier
Transformation), hay cn gi l phng php DFT thi gian ngn, trnh by
sau y s khc phc c nhc im trn ca DFT kinh in. c bit
na, phng php SFT ny cn thng c s dng nhn dng cc i
tng c tham s m hnh thay i theo thi gian.
5.1.1

T tng ca phng php

Mc ch ca nhn dng ph tn hiu l kt qu mt ph Xa(j) thu

c phi phn nh mt cch y ton b thng tin tn s c trong tn
hiu x(t) trn ton b khong thi gian 0 t< :

Xa(j) = x k e jkTa , xk = x(kTa).

k=0

Nhng lm th no t c mc ch trong khi khong thi gian

quan st li b khng ch bi T. Tt nhin rng ta khng th i theo hng
nh lm chng 2 l ch i cho ti khi c c ht tt c cc gi tr
xk , k=0, K , ri mi tnh Xa(j) m phi suy ngh ti mt hng gii
quyt khc. Hng u tin c nhiu kh nng ph hp l ng dng k thut
201

truy hi bng cch chia ton b khong thi gian 0t< thnh nhng
khong quan st [m , m +T), m=0, K , ri t nhng gi tr xk o c
trong khong quan st th nht [0,T) ta tnh ngay ph X 1a ( j ) v n c
xem nh l gi tr xp x u tin ca Xa(j). Tip theo vi cc gi tr tn
hiu xk o c trong khong quan st k sau [ ,T+ ) cng nh X 1a ( j )
c ta hiu chnh li
so vi

X 1a ( j ) ,

X 1a ( j )

thnh

X a2 ( j )

X a2 ( j )

gn Xa(j) hn

trong l mt gi tr tha mn 0 <T (hnh 5.1). Tip

tc, t xk trong khong [2, 2+T) v

X a3 ( j )

theo ngha

ta li hiu chnh

X a2 ( j )

X a2 ( j )

thnh

K . Ko di qu trnh truy hi n v hn ta s c dy

{ X ai ( j ) } tha mn
lim X ai ( j ) =

Xa(j)

(5.2)

v chnh l t tng ca phng php SFT.

Khong quan
st th ba
Khong quan
st th hai
Khong quan
st th nht
Hnh 5.1: Cc khong quan st tn hiu cho
tng bc truy hi.

5.1.2

t
T

+T

2+T

Thut ton SFT vi hm ca s Bartlett

biu din (5.1) di dng truy hi trc ht ta xem x(t) trong (5.1)
nh tch ca chnh n vi hm ca s l tng w(t)
x(t)=w(t)x(t)

vi

w(t) 1

ri tm cch biu din w(t) thng qua cc hm ca s wi(t) khc c

supp wi(t)=[0,T),
(mc 2.1.6) ng vi tng khong quan st [m , m+T), m=0, K , . Mt
trong nhng cch biu din nh vy vi hm Bartlett w2(t) c m t trong
hnh 5.2. Khi
202

w(t) =

m =

w2 ( t m

T
).
2

Suy ra

x(t) =

w2 ( t

m =

mT
) x(t)
2

x(kTa) =xk

m =

w(t)
1

w2(t)

w2(t T )

w2 (( k

mN
)Ta )
2

(5.3)

w2(tT)

Hnh 5.2: Xy dng hm ca s l

tng thng qua hm Bartlett.

3T
2

Thay (5.3) vo (5.1) v T=NTa c

mN
)Ta ) e jkTa
x k w2 (( k
2
k = 0 m =

Xa(j) =

mN + N 1

mN
= xk w2 (( k
)Ta ) e jkTa
2

m = k = iN

2
khi t [0,T), tc l w2 ( k mN )Ta ) = 0
2

v w2(t)=0

khi k< mN v k mN
2

+N

Trong tng th hai ta thay q=k mN s c

2

N 1
j mN Ta
2
x mN w2 ( qTa )e jqTa e

m = q = 0 q + 2

Xa(j) =

(5.4)

Nu gi { ~xqm } l dy gi tr tn hiu {xk} trong khong quan st th m, tc

l trong khong [ m T , ( m + 2) T ), c nhn vi hm ca s Bartlett nhm
2

gim sai s r r:
~
x qm = x

q+

mN w2 ( qTa )
2

q=0,1, K ,N1

203

th (5.4) vit c thnh

N 1 m jqT j mN Ta
a e
2
xq e
~

m = q = 0

Xa(j) =

= X~ am ( j )e

mT

(5.5)

m =

trong
N 1
~
X am ( j ) = ~
x qm e jqTa

(5.6)

q=0

l nh Fourier ca dy N phn t { ~x qm } = { ~x mN , ~x mN
2

+1

,K,

~
x mN
2

+ N 1

}.

Cng thc (5.5) chnh l cng thc truy hi xc nh dy { X ai ( j ) } tha

mn iu kin (5.2) vi
X ai ( j )

= X~ am ( j )e

m =

~
X ai ( j ) = X ai 1 ( j ) + X ai (

mT

i 1

= X~ am ( j )e

mT

m =
iT
j
j )e 2

+ X~ ai ( j )e

iT

(5.7)

Nu s dng hm fft() tnh nhanh cng thc (5.6) ta s c thut ton

nhn dng
X(jn) Ta X ai ( jn )
theo cng thc truy hi (5.7), trong =
1) t gi tr khi pht

X a1 ( jn ) =

2
NTa

, nh sau:

0, n=0,1, K ,N1 v =

2
NTa

2) Thc hin cc bc sau ng vi khong quan st [i , i +T), i = 0, 1, 2,

K
a) o tn hiu x(t) trong khong thi gian [ iT , ( i + 2)T ) v gi dy gm N
2

cc gi tr nhn c l { x ki }= { x iN , x iN , K ,
2

+1

x iN
2

+ N 1

}.

b) Nhn tng phn t ca dy trn vi hm ca s Bartlett w2(t) xc nh

trong khong thi gian 0 t<T theo cng thc
~
x ki = x

204

k+

iN w2 ( kTa )
2

k=0,1, K , N1

v gi dy mi l { ~x ki }={ ~x0i , ~x1i , K , ~x Ni 1 }.

c) S dng fft() tnh { X~ ai ( jn ) }, n=0,1, K ,N1 ca dy { ~x ki }.
d) Tnh

~
X ai ( jn ) = X ai1 ( jn) + X ai ( jn)e jin ,

n=0,1, K ,N1.

e) Cho ra kt qu X(jn) = Ta X ai ( jn ) , n=0,1, K ,N1 v c xem

nh kt qu truy hi ti bc th i cho nh Fourier ca x(t).
5.1.3

Thut ton SFT vi mt hm ca s bt k

Thut ton va nu hon ton c th m rng ra cho mt hm ca s w(t)

bt k ch khng phi ch ring cho hm Bartlett w2(t). Vi mt hm ca s
w(t) no , xc nh trong khong [0,T) v ngoi khong ny c xem
nh bng 0
w(t) = 0

t [0,T)

khi

th hm w(t) c biu din thng qua w(t) nh sau

w(t) = K w( t m ) ,
m =

trong c gi l bc trt, tc l bc m cc khong thi gian

quan st tn hiu [m , m+T), m=0, K , trt dc theo trc thi gian.
Vn t ra y l bc trt v hng s K phi tha mn iu kin
g c

w( t m ) =1 vi mi t

(5.8)

m =

v tr li cu hi ny, trc ht ta chng minh nh l sau:

nh l 5.1: (Cng thc Poisson) Mt tn hiu x(t) c nh Fourier X(j)
lun tha mn

m =

n =

1
2
x( t m ) = X ( jn )e jn t vi = .

(5.9)

Chng minh: Nu gi s(t) l hm rng lc vi khong cch bc rng ,

tc l

205

s(t) = ( t m )
m =

th theo nh l 2.2 c trnh by mc 2.1.4, n s c nh Fourier

S(j) = ( n ) .
n =

Mt khc, nu xem v tri ca (5.9) l hm m rng biu din dy cc gi tr

ca x(t) c trch mu vi thi gian trch mu :

x( t m ) = x( t t' ) ( t'm )dt' = x(t)*s(t)

m =

m =

ta s c

x( t m ) = 2 X ( j )S ( j )e j d

m =

=
2

X ( j )

( n )e j d

n =

= 1 X ( j )e j ( n )d

n =

= 1 X ( jn )e jn .

(.p.c.m.)

n =

By gi ta quay li bi ton tm iu kin cho v hng s K c (5.8).

Theo nh l 5.1 th (5.8) s c tha mn nu
1

W ( jn )e jn =

n =

1
K

1
W ( 0 ) + W ( jn )e jn

n =

n0

1
=
K

(5.10)

trong W(j) l k hiu ch nh Fourier ca hm ca s w(t) c supp

w(t)=[0,T) chn.
Gi s tip rng l tn s gii hn ca W(j), tc l

W(j)= 0

206

khi | | >

(hoc t ra khi || > c W(j) nh c th b qua c) th khi

chn bc trt tha mn

>

>

(5.11a)

cng nh chn hng s K vi

K=

(5.11b)

W (0)

s c

w(t)

= K w( t m ) =
m =

K
W (0 ) + W ( jn )e jn

n =

n0

K
= W (0 ) =

1.

Ta i n kt lun:
nh l 5.2: Nu hm ca s w(t), t[0,T) c chn c W(j) 0 khi
|| > th vi bc trt tha mn (5.11a) cng nh hng s K tha
mn (5.11b) s c

w(t) = K w( t m ) 1.

m =

Sau khi c hm w(t), ta thay vo cng thc DFT tnh nh Fourier ca

x(t)
Xa(j)

k=0

k=0

= x k e j kTa = K x k w ( kTa )e j kTa

x k w(( k mD)Ta ) e j kTa

m =

k=0

=K

trong D l s nguyn ln nht tha mn D

Ta

, ri i v tr hai du tng

s c
Xa(j)

j kT
a
x k w(( k mD )Ta ) e
m = k = 0

=K

Nhng v w(t)=0 khi t[0,T) nn

207

 j kT
mD + N 1
a
x k w(( k mD)Ta ) e

m = k = mD

Xa(j)

=K

N 1
j ( k + mD )Ta
x k + mD w( kTa ) e
m = k = 0

=K

trong N l s nguyn nh nht tha mn N

T
Ta

Nu xem cc gi tr tn hiu { x km }={ xmD , xmD +1 , K ,

x mD + N 1 }

o c

trong khong quan st th m, tc l trong khong thi gian [m, m+T) v

c nhn vi gi tr hm ca s w(kTa) l dy
{ ~x km }= { xmD w(0) , xmD +1 w(Ta ) , K ,

x mD + N 1 w(( N 1)Ta ) }.

th cng thc trn tr thnh

N 1~ j kT j mDT
a e
a
xk e

m = k = 0

Xa(j)

Xa(jn)

=K

N 1 jkn 2
N
= K ~x k e

m = k = 0

jmnD 2
N
e

trong = n = 2 n . Vi k hiu
NTa

N 1
jkn
~
N
X am ( jn ) = ~
xk e
k=0

v
X am ( jn ) =

N 1 jkn 2
N
~x k e
l = k = 0

jnlD 2
N
e

cng thc trn tr thnh cng thc truy hi

X am (

jn ) =

X am 1 (

jmnD
~
N
jn ) + X am 1 ( jn )e

tha mn iu kin
K lim X am ( jn ) =
m

Xa(jn)

Ta i n thut ton:
208

KTa

lim X am ( jn ) =

X(jn).

1) Chn mt hm ca s w(t), t[0,T).

2) Chn bc trt tha mn (5.11a) v hng s K tha mn (5.11b).
3) t gi tr khi pht

X a1 ( jn ) =

0, n=0,1, K , N1 v =

2
NTa

4) Thc hin ln lt cc bc sau cho tng khong quan st tn hiu [m ,

m +T), m=0, 1, 2, K
a) o tn hiu x(t) trong khong thi gian [m, m+T) v gi dy gm N
cc gi tr nhn c l { x km }={ xmD , xmD +1 , K ,

x mD + N 1 }.

b) Nhn tng phn t ca dy trn vi hm ca s w(t) theo cng thc

~
x km = x k + mD w( kTa ) ,

k = 0,1, K , N1.

v gi dy mi l { ~x km }={ ~x0m , ~x1m , K , ~x Nm1 }.

c) S dng fft() tnh { X~ am ( jn ) }, n=0,1, K ,N1 ca dy { ~x km }.
d) Tnh

X am (

jn ) =

X am 1 (

jmnD
~
N
jn ) + X am 1 ( jn )e

, n=0,1, K ,N1.

e) Cho ra kt qu X(jn) = KTa X am ( jn ) , n=0,1, K ,N1 v c xem

nh kt qu truy hi ti bc th m cho nh Fourier ca x(t).
iu kin chn cho trong (5.11a) chnh l tiu chun Shannon ni
ti ti mc 2.1.5, nh l 2.4, nhng y l ng vi gi tr tn s gii hn
ca w(t). Ni cch khc, khi p dng SFT ta phi s dng tiu chun
Shannon hai ln: mt ln cho thi gian trch mu tn hiu Ta v mt ln na
cho bc trt ca s quan st tn hiu .
Thut ton trn c ci t thnh chng trnh sft() vit trn C cho
di y tham kho. Chng trnh sft() ny c cc bin hnh thc:
a) S nguyn m cha ch s khong quan st tn hiu [m, m+T).
b) S nguyn w cha ch s hm ca s wi(t), 0 i 7 (mc 2.1.6). Nu
ni dung ca w l mt s ngoi khong [0,7], hm sft() s s dng
hm ca s w0(t).

209

c) S nguyn D cha h s D ca bc trt , tc l = DTa.

d) S nguyn Nexp cha s m ly tha 2 ca di dy tn hiu { x km }
o c, trong khong [m, m+T), tc l d di dy tn hiu s phi
l N=2Nexp.
e) S thc Ta cha chu k thi gian trch mu tn hiu Ta.
f) Con tr x ch u mng s phc x[] cha cc gi tr

x km ,

k=0,1, K ,

N1 theo th t x[0]= xmD , x[1]= xmD +1 , K , x[N-1]= xmD + N 1 . Sau

khi chng trnh sft() c thc hin xong, ni dung ca mng ny s
c thay bi cc gi tr nh Fourier { X~ am ( jn ) }, n=0,1, K , N1 ca
dy { ~x km }, trong ~x km = x k + mD wi ( kTa ) , k=0,1, K , N1.
g) Con tr X ch u mng s phc X[] cha cc gi tr u vo
X am 1 ( jn ) . Sau khi chng trnh sft() c thc hin xong mng ny
s cha dy kt qu

X am ( jn ) ,

n=0,1, K , N1.

void sft(int m,int w,int D,int Nexp,double Ta,complex *x,

complex *X)
{ int i,k,p,N=pow(2,Nexp);
double s,T=Ta*N;
complex e;
k=N/2;
for (i=0;i<=k;i++)
{ s=fw(w,Ta*(double)(i-k),T);
x[i]=x[i]*s;
if((i>0)&&(i!=(p=(N-i)))) x[p]=x[p]*s;
}
fft(Nexp,x);
for(i=0;i<N;i++)
X[i]=X[i]+x[i]*exp(complex(0.,-M_PI*2*D*m*i/N));
}
5.1.4

ng dng nhn dng m hnh c tham s thay i

Cc thut ton nhn dng m hnh i tng c trnh by trong quyn

sch ny phn ln u da vo vic phn tch ph tn hiu. Chng hn ton

210

b cc thut ton ni ti trong chng 2 v vic nhn dng m hnh khng

tham s i ti cng thc (2.52) nhn dng gi tr ng c tnh tn
{G(jn )}, n=0,1, K , M
G(jn ) =

~
Suy ( jn )
~
Su ( n )

hon ton c xy dng trn c s nhn dng hm mt ph Su(j),

Suy(j) t cc gi tr tn hiu quan st c. Cng nh vy, nhng thut
ton nhn dng tham s m hnh ni ti mc 3.2 thuc chng 3 da ch
yu vo m hnh khng tham s c, tc l da vo dy {G(jn )},
n=0,1, K , M. Bi vy nu nh ngi ta nhn dng truy hi c cc gi tr
G(jn ) sao cho sau mi khong quan st [m, m+T), m=0, 1, 2, K chng
li c hiu chnh cho ph hp v chnh xc hn th cng vi n cc thut
ton trn s tr thnh nhng thut ton nhn dng m hnh i tng theo
nguyn tc truy hi v sau tng khong quan st [m, m+T), m=0, 1, 2, K
m hnh i tng hin c li c hiu chnh c c mt m hnh mi
chnh xc hn. Nhng thut ton nhn dng truy hi m hnh i tng nh
vy c rt nhiu ngha ng dng cho nhng i tng c tham s thay i.
Vn cn li l lm sao chuyn c thut ton nhn dng hm mt
ph Su(j), Suy(j) c chng 2 (hm nonpar()) sang dng truy hi?.
Cu tr li l da vo k thut SFT vi hm sft() c ci t trn C ti
mc 5.1.3.
Trc ht ta chng minh nh l sau:
nh l 5.3: Hm mt ph nh ngha theo cng thc WienerChitchin
dng ri rc
~
Suy ( jn ) = Ta

N 1

~
ruy ( mTa )e

jnm

(5.13a)

m = N +1

vi l s nguyn ly tha 2 nh nht nhng khng nh hn 2N1 v

1
~
ruy ( mTa )
p

N m 1

u~k ~yk + m ,

k=0

N nu nhn dng bias

p =

N m nu nhn dng unbias

(5.13b)

211

uk nu 0 k N 1

~
u
k

~
yk

0 nu N k 1
yk nu 0 k N 1
0 nu N k 1

trong uk , yk , k=0,1, K ,N1 l nhng gi tr o c ca tn hiu

u(t), y(t) trong khong thi gian [0, T) vi chu k ly mu Ta (T =
NTa), =

2
Ta

, l s nguyn ly tha 2 nh nht nhng khng nh

hn 2N1, c th c tnh theo cng thc Periodogram nh sau

T ~
~
~
Suy ( jn ) = a U a ( jn )Ya ( jn ) ,
p

vi

~
U a ( jn ) l

n=0,1, K ,1

nh Fourier ca dy { u~k } v

(5.14)

~
Ya ( jn )

l nh Fourier

ca dy { ~yk }, k=0,1, K ,N1 thu c nh fft().

Chng minh: Thay (5.13b) vo (5.13a) c
T
~
Suy ( jn ) = a
p

N 1

N m 1

m = N +1

k=0

~ ~
u
k yk + m e

jnm

(5.15)

tip theo i v tr hai du tng vi s tr gip ca hnh 5.3 biu din min
ly tng c
T
~
Suy ( jn ) = a
p

2
jnm
N 1 k ~ ~

u
y
e
k k+ m

k = 0 m = k N +1

N 1

k=Nm1

k
N1

m
Hnh 5.3: Min ly tng ca cng thc
xc nh hm mt ph (5.15).

212

N+1
k=N+m1

N1

Suy ra
~
Suy ( jn )

N 1

= Ta u~k e
p

jnk

k=0

N 1

= Ta u~k e
p

jnk

k=0

Nhng do

~ =~
u
yl =
k

~
Suy ( jn )

2
N 1
jnl

y
e

l = 2 k N +1

l=k+m

0 khi k,l [0, N) nn

T
= a
p

2
N 1 k
jn( k + m )

y
e
k+m

m = k N +1

Ta
p

N 1

k=0

~ e
u
k

2N 2

k=0

jnk

~ e
u
k

jnk

2
N 1
jnl

yl e
l=0

2
2N 2
jnl

y
e
l
l=0

~
Ta ~
= p U a ( jn )Ya ( jn )

v chnh l iu phi chng minh.

Da vo nh l 5.3 v cng thc G(jn ) =

~
Suy ( jn )
~
Su ( n )

ta thy vic nhn

dng ng c tnh tn G(j) c th c thc hin truy hi thng qua k

thut SFT p dng cho c hai tn hiu u(t), y(t) nh sau:
1) Chn hm ca s w(t), t[0,T), bc trt theo (5.11a), hng s K
theo (5.11b).
2) t gi tr khi pht

~
~
U a1 ( jn ) = Ya1 ( jn ) =

n=0,1, K , 1, trong =

2
Ta

nhng khng nh hn 2N1 v N=

0 cho tt c cc ch s

, l s nguyn ly tha 2 nh nht

T
Ta

vi Ta l chu k trch mu.

3) Thc hin ln lt cc bc sau cho tng khong quan st tn hiu [m ,

m +T), m=0, 1, 2, K
a) o tn hiu u(t), y(t) trong khong thi gian [m, m+T) v gi dy
gm N cc gi tr nhn c l
{ umD , umD +1 , K ,

umD + N 1 }.

213

{ ymD , ymD +1 , K ,

ymD + N 1 }.

b) Nhn tng phn t ca hai dy trn vi hm ca s w(t) sau gn

thm cc gi tr 0 sao cho mi dy c ng phn t:
{ u~km }={ umD w(0) , umD +1w(Ta ) , K ,

umD + N 1 w(( N 1)Ta ) ,0,

K ,0}

{ ~ykm }={ ymD w(0) , ymD +1 w(Ta ) , K ,

ymD + N 1 w(( N 1)Ta ) ,0,

K ,0}

k=0,1, K ,1.
c) S dng fft() tnh { U~ am ( jn ) } ca dy { u~km } cng nh
{ Y~am ( jn ) } ca dy { ~ykm }.
d) Tnh
2

jmnD
~

U am ( jn ) = U am 1 ( jn ) + U am 1 ( jn )e

jmnD
~

Yam ( jn ) = Yam 1 ( jn ) + Yam 1 ( jn )e

e) Tnh
G(jn ) =

~
Suy ( jn )
~
Su ( n )

= Yam ( jn ) , n = 0,1, K , 1
U a ( jn )

v l gi tr hm truyn t c hiu chnh ti khong quan st

th m .
Mt phn thut ton trn c ci t thnh hm renonpar() vit trn
C cho di y tham kho. Hm renonpar() c cc bin hnh thc sau:
a) S nguyn m cha ch s khong quan st tn hiu [m, m+T).
b) S nguyn w cha ch s hm ca s wi(t), 0 i 7 (mc 2.1.6) dng
trt khong quan st tn hiu. Nu ni dung ca w l mt s
ngoi khong [0,7], hm renonpar() s s dng hm ca s w0(t).
c) S nguyn D cha h s D ca bc trt , tc l = DTa .
d) S nguyn Nexp cha s m ly tha 2 ca di dy tn hiu
{umD+k}, {ymD+k} o c trong khong thi gian quan st tn hiu
[m, m+T) l N.

214

e) Con tr u ch u mng thc u[] cha cc gi tr umD+k , k=0,1, K ,

N1 theo th t u[0]= umD, u[1]= umD+1, K , u[N-1]= umD+N1.
f) Con tr y ch u mng thc y[] cha cc gi tr ymD+k , k=0,1, K ,
N1 theo th t y[0]= ymD, y[1]= ymD+1, K , y[N-1]= ymD+N1.
g) Con tr U ch u mng s phc U[] cha cc gi tr u vo
{ U am 1 ( jn ) }. Sau khi chng trnh renonpar() thc hin xong
mng ny s cha { U am ( jn ) }, n=0,1, K ,1.
h) Con tr Y ch u mng s phc Y[] cha cc gi tr u vo
{ U am 1 ( jn ) }. Sau khi chng trnh renonpar() thc hin xong
mng ny s cha { Yam ( jn ) }, n=0,1, K ,N1.
i) S thc Ta cha khong thi gian trch mu tn hiu Ta.
j) Con tr G ch u mng s phc G[] cha kt qu {G(jn )}, n=0,1,
K , N1.
void renonpar(int m,int w,int D,int Nexp,double *u,double *y,
complex *U,complex *Y,double Ta,complex *G)
{
int k,N=pow(2,Nexp);
complex *x;
x=new complex[N];
for(k=0;k<N;k++) x[k]=complex(u[k]);
sft(m,w,D,Nexp,Ta,x,U);
for(k=0;k<N;k++) x[k]=complex(y[k]);
sft(m,w,D,Nexp,Ta,x,Y);
for(k=0;k<N;k++) G[k]=Y[k]/U[k];
delete [] x;
}
5.2

Ni suy

Nh li thut ton nhn dng G(jn ), n=0,1, K ,2M trnh by trong

mc 2.3.1 m G(jn ) c tnh gin tip thng qua Su(n ),
Suy(jn ), n=0,1, K ,1 theo cng thc (2.53), ta thy thut ton ch c

215

th cho ra c cc gi tr gn ng ca hm c tnh tn G(j) trong

khong tn s t 0 n
(2M+1) = 2(2 M + 1)
Ta

Lm th no m rng khong tn s ny. C th thy ngay rng ch c

mt gii php l lm nh Ta , tc l tng tn s trch mu tn hiu.
Nhng trong thc t, do hn ch ca k thut hoc do tc x l ca
thit b khng cho php, ta khng th chn c Ta nh c th thu
c mt kt qu o c phn gii nh mun. nhng trng hp nh
vy ngi ta thng p dng phng php ni suy tn hiu. iu ny c
ngha l sau khi o tn hiu vo hoc ra c gi chung l x(t) v c c
dy N gi tr x(kTa), k=0,1, K , N1 ca n, ta phi xc nh mt hm lin
tc ~x ( t ) sao cho hm i qua tt c N cc im mu x(kTa) (hnh 5.4).
Khi c hm lin tc ~x ( t ) ta c th ly li gi tr tn hiu
~
N

~
x ( kTb ) ,

k=0,1, K ,

1 vi mt chu k ly mu mi Tb nh ty .
~
x(t)

t
Hnh 5.4 : M t phng php ni suy.

5.2.1

Ta

2Ta

3Ta

Ni suy c in

Vi phng php ni suy c in, ngi ta chn trc mt a thc bc

N1
~
x(t ) =

a 1 + a 2 t + K + aNtN 1 ,

trong N l s cc gi tr mu c. Nhim v ca ni suy l xc nh cc

h s a 1 , a 2 , K , aN ca a thc ny, sao cho ng cong ca a thc m

216

hnh

~
x ( t ) i

qua cc gi tr mu x(0), ... , x((N1)Ta ) ca hm cn ni suy,

tc l phi tha mn iu kin

~
x ( kTa ) =

xk =x(kTa)

vi

k = 0, 1, K , N1.

(5.15)

Vit li (5.15) ln lt cho tt c cc gi tr k di dng ma trn s c

0
L
0
1
a x

1 0
N 1
L
Ta
Ta
1
a2 x2
.
=
M

M M
N 1 a x

N N 1
1 ( N 1)Ta L ( N 1)Ta
424
3
14444444
244444443 { 1
a
g
A

Suy ra
a = A1

(5.16)

v chnh l cng thc xc nh vector tham s a cho a thc

~
x(t)

t cc

gi tr o c xk , k = 0, 1 , K , N1.
5.2.2

Ni suy spline

Phng php ni suy c in thng ch thch hp vi nhng bi ton

ni suy bc thp, tc l s cc gi tr c ca hm cn ni suy nh. N c
u im l sai s gia m hnh ni suy c ~x ( t ) v tn hiu gc x(t) ti cc
im ly mu bng 0. Khi s lng cc im mu ln, bc ca a thc ni
suy ~x ( t ) cng phi tng theo, lm cho hm ~x ( t ) cng c nhiu im cc tr v
th ca n cng c nhiu ln sng do a thc bc cng cao th cng c
nhiu im cc tr. iu ny dn n nhc im chnh hn ch ng dng
ca phng php l ngi ta hon ton khng c kh nng kim sot v
khng ch c sai s gia cc im ly mu v khng khng nh c
rng a thc m hnh ni suy c c hi t n tn hiu gc hay khng.
Thm ch, ngi ta cn ch ra c rng vi bt c mt tp cc im mu
no cho trc, bao gi cng tn ti mt hm s lin tc nhn cc im mu
lm gi tr m bi ton ni suy c in p dng cho hm s li phn
k.

217

 khc phc nhc im trn ca bi ton ni suy c in, ngi ta s

khng ni suy vi ton b tp hp cc gi tr mu na m ch ni suy tng
khong cc b, c th lm gim bc ca a thc m hnh. Chng hn
ngi ta c th chn nhng a thc m hnh cc b bc 2 l
f0 ( t ) =a 0 0
f1 ( t ) =

+ a01t + a02t2 ,

a10 + a11t + a12t2 ,

M
cho tng khong 3 gi tr mu {0,Ta , 2Ta}, {Ta ,2Ta , 3Ta}, K ca tn
hiu v xc nh h s ca cc a thc ny sao cho
f0(kTa) = xk
f1(kTa) = xk

vi
vi

k = 0, 1, 2
k = 1, 2, 3

M
thay cho mt a thc chung bc N1 nh phng php c in vn lm. Sau
nhng a thc ni suy cc b ny s li c "dn" vi nhau ti to
thnh mt ng cong chung ~x ( t ) i qua tt c cc im mu v c o hm
(bc o hm cng cao cng tt) ti nhng im ni, tc l to ra mt ng
cong trn khp ni ch khng ch ring trong khong cc b c ni suy.
ng cong ~x ( t ) l ng ni suy ca tn hiu cho v phng php ni
suy nh vy gi l ni suy spline.
Bc ca a thc c chn s quyt nh kch thc min cc b c
ni suy, chng hn nu chn a thc bc hai th do c 3 tham s phi xc
nh, min ni suy cc b s ch cha 3 im mu. a thc c chn
ni suy cc b c tn l hm m hnh cc b.
5.2.3

Ni suy Bspline

Mt trong nhng phng php ni suy spline c ngha ng dng trong

phn tch ph tn hiu v c h hng gn gi vi m hnh ton hc ca khi
hi phc tn hiu (holding) trong iu khin k thut l phng php ni suy
Bspline.

218

Phng php ni suy B-spline, cng ging nh phng php spline ni

chung, c xy dng da trn cc hm m hnh cc b m ta s gi l hm
Bspline gc. K hiu fm(t) l hm Bspline gc bc m th fm(t) c xc
nh theo cng thc truy hi (nh ngha ca Bezier):
a) f0(t) =

1( t ) 1( t Ta )
Ta

(5.17a)

b) fm(t) = f0(t)* fm1(t).

nh l 5.3: Hm fm(t) c khong thi gian sng supp fm(t) = [0, (m+1)Ta],
tc l
fm(t) 0 khi

t <0 hoc t >(m+1)Ta.

Chng minh:
Ta chng minh bng phng php quy np. T nh ngha ta thy iu
khng nh ng cho m=0. Gi s cng ng cho m1. Vy t cng thc
nh ngha tch chp

Ta

fm(t) = f0(t)* fm1(t) = f0 ( ) fm 1 ( t )d = f0 ( ) f m 1 ( t )d

hm fm(t) ch tn ti vi nhng gi tr t tha mn 0<t <mTa, trong 0
< < Ta , ni cch khc:
0 t (m+1)Ta
a)

1
Ta

b)

f0(t)

t
Ta

Hnh 5.5:

c)

f1(t)

f2(t)
t

t
Ta 2 Ta

Ta

3 Ta

a) Hm Bspline gc f0(t)
b) Hm Bspline gc f1(t)
c) Hm Bspline gc f2(t)

219

nh l 5.4: Mt hm Bspline gc fm(t) bc m c m hnh

fm(t) =

m +1

m +1

Tam +1

k=0

( 1) k

( t kTa ) m 1( t kTa )
k!( m + 1 k)!

(5.18)

trong k hiu 1(t) ch hm Heaviside.

Chng minh:
Ta chng minh (5.18) theo phng php quy np. Hin nhin (5.18) ng
cho trng hp m=0. Gi s (5.18) ng cho m1. Ta phi ch rng n
cng ng vi m. Bt u t v phi vi hnh 5.5a) minh ha cho f0(t) s c

Ta

f0(t)* fm1(t) = f0 ( ) f m 1 ( t )d = 1 f m 1 ( t )d
T

a 0

Thay (5.18) cho trng hp m1 vo cng thc trn

f0(t)* fm1(t) =
=

Tam +1 k = 0

Ta

Tam + 1 0

m ( 1) k
k=0

( t kTa ) m 1 1( t kTa )
d
k! ( m k)!

( 1)k
( t kTa ) m 1( t kTa ) ( t ( k + 1)Ta ) m 1( t ( k + 1)Ta )
k!( m k)!

sau tch thnh hai tng v trong tng th hai thay k+1=l th c
f0(t)* fm1(t)

1
Tam +1

m
( 1)k
( t kTa ) m 1( t kTa ) +

k = 0 k!( m k)!
m +1

l =1

1
Tam + 1

+
=

( 1)l
( t lTa ) m 1( t lTa )
( l 1)!( m + 1 l )!

m ( 1)k ( t kT ) m 1( t kT ) 1
( 1)m m
1

a
a
t 1( t ) +

+
+
(
k
1
)!
(
m
k
)!
k
m
1
k

m!
k =1

( 1) m + 1
( t ( m + 1)Ta ) m 1( t ( m + 1)Ta )
m!

m +1

m +1

Tam + 1

k=0

( 1) k

( t kTa ) m 1( t kTa )
k! ( m + 1 k)!

= fm(t)
v chnh l iu phi chng minh.
220

nh l 5.4 cn ch rng fm(t) nhn gi tr cc i ti

a)

b)

~
f0 (t)

c)

~
f1 ( t )

m +1
Ta .
2

~
f2 (t)

1
Ta
t

t
Ta

Ta

Ta

Ta

d)

2 Ta
f3(t)

~
f3 ( t )

Hnh 5.6:

a) Hm Bspline f%0 (t)

2Ta

Ta

2Ta

4 Ta

b) Hm Bspline f1 (t)

c) Hm Bspline f2 (t)

Mt khong ni suy cc b

d) Ni suy vi hm Bspline gc bc 3

Quay li vn chnh l ni suy dy hm trng lng t cc gi tr mu

xk , k=1, 2, , N. Gi ~x ( t ) l hm ni suy theo phng php Bspline vi
hm Bspline gc fm(t) bc m thu c bng cch dn cc hm Bspline
gc ny li vi nhau sao cho ~x ( t ) i qua cc im mu xk .
trong mi khong ni suy cc b c c nhiu hm fm(t) tham gia,
ta s dch fm(t) sang tri mt khong = m Ta , trong k hiu x ch mt
2

s nguyn nh nht nhng khng nh hn x, sao cho hm nhn c (hnh

5.6)
~
fm (t) =

fm(t+)

221

c khong thi gian sng (gn) i xng qua 0 l

th khi dn cc hm
~
x(t) =

N 1

n=0

~
fm (t)

ny li vi nhau c

m
m + 1
Ta ,
Ta .
2
2

~
x(t)

Vy

ta c

~
an f m ( t nTa ) ,

(5.19)

vi an , n=1, 2, , N1 l nhng tham s c xc nh sao cho

~
x ( kTa ) =xk , k=0,

Hm

~
fm (t)

1, , N1.

(5.20)

c tn gi l hm Bspline phn bit vi hm Bspline gc

fm(t).
Thay (5.19) vo (5.20) ri vit chung N phng trnh (k=0, , N1) li
vi nhau di dng ma trn, ta s c
~
~

f m (0 )
L f m (( N + 1)Ta a0 x0

M = M

M
O
M

~
~
a N 1 x N 1
f m (( N 1)Ta ) L
f m (0 )
1444444424444
424
3 1
424
3
4443 1
a
g
A

a = A1 g

(5.21)

v chnh l cng thc xc nh vector tham s a cho hm ni suy

V d 1: Xc nh vector tham s a cho

~
x ( t ) c

~
x(t) .

ni suy theo phng php

Bspline bc 1 t cc gi tr mu xk , k=0, 1, , N1.

T nh ngha
~
1
f0 ( 0 ) =
Ta

~
f0 ( t )

xc nh theo f0(t) ta c
~
f0 ( kTa ) 0

khi

~
f0 ( t ) = f0(t).

k 0.

Suy ra
an = Taxn , n=0, 1, , N1.
V d 2: Xc nh vector tham s a cho

Bi vy

~
x ( t ) c

ni suy theo phng php

Bspline bc 3 t cc gi tr mu xk , k=0, 1, , N1.

Theo cng thc (5.18) ca nh l 5.4, hm Bspline gc bc 3 l f3(t) c
dng

222

f3(t) =

( 1) k

Ta4 k = 0

( t kTa )3 1( t kTa )
k!(4 k)!

do
f3(Ta) =

1
6Ta

f3(2Ta) =

4
6Ta

,f3(3Ta) =

1
6Ta

f3(kTa)0 khi k 4 hoc k 0.

Vi = 3 =2 suy ra c
2

1
~
f3 ( Ta ) =
6Ta

~
4
f3 ( 0 ) =
6Ta

~
1
f3 (Ta ) =
6Ta

~
f3 ( kTa ) 0

khi |k | >1.

Vy vector tham s a cn tm s l nghim ca

4

1
1
M
6Ta
0

5.2.4

1 0 L 0 0

4 1 L 0 0 a0 x0

M M O M M M = M .
0 0 L 4 1 a N 1 x N 1

0 0 L 1 4

Sai s ph ca ni suy Bspline

Trong phn ny ta s nghin cu sai s ph ca ni suy Bspline. Php

ni suy ny thc cht chnh l qu trnh bin i mt tn hiu s thnh tn
hiu tng t (khi D/A) nh cc khu holding (hnh 5.6a).
Ti sao li phi t ra vn nghin cu sai s ph ca php ni suy?.
Trong ngnh ton s ni chung, khi khng c cch no c th xc nh c
mt cch chnh xc hm x(t) c khong thi gian sng hu hn v phi p
dng nhng phng php gn ng, ngi ta thu c ~x ( t ) v n c xem
nh mt kt qu xp x ca x(t). Ngi ta s rt tha mn nu nh sai lch
gia ~x ( t ) v x(t) trong khong thi gian c ni suy l khng ng k, ni
cch khc nu

~
x ( t ) nm

trong mt di bng no ca hm cn xc nh

x(t) (hnh 5.7)

sup ~
x(t)

x(t)<

223

trong l mt s thc dng nh.

x(t)
x(t), ~

di bng

x(t)
Hnh 5.7: Yu cu v sai s ni suy.

~
x(t)

a)

t
b)

Khi D/A
x(t)

{xk}

Ni suy
Bspline

{xk}

~
x(t)

Ri rc tn hiu

c)
~
x(t)
Hnh 5.8:

a) Ni suy spline l mt b bin i D/A.

b) Dy tn hiu s {xk}.
c) Tn hiu lin tc thu c t {xk} nh
Bspline bc 0.
d) Tn hiu lin tc thu c t {xk} nh
Bspline bc 1.

t
d)

~
x(t)

i vi vic x l tn hiu v nhn dng th vn t ra c hi khc

mt cht. Bn cnh iu kin (5.22) ngi ta cn phi quan tm xem tn
hiu xp x ~x ( t ) c phn nh thng tin tn s ca x(t) mt cch gn ng sao
cho c th chp nhn c hay khng?. Tc l c tn ti hay khng mt s
thc dng cng nh c
~
sup X ( j )

X(j)<

(5.23).

y l mt vn kh l th. khng t ngi ng nhn rng bi

ton ni suy spline hai iu kin (5.22), (5.23) l tng ng. Sau y, ch
ring trong bi ton ni suy Bspline, ta s ch rng s ng nhn hon
224

ton sai. C th l khi p dng ni suy Bspline bc 2 hoc 4 th tn ti

nhng im tn s m ti s sai lch gia X~ ( j ) v X(j) l v cng
ln [12].
Trc ht ta xem qu trnh bin i x0, x1, K , xN1 thnh

~
x(t)

bng k

thut Bspline c m t hnh 5.8a nh mt khi D/A c tn hiu u

vo l hm m rng xa(t)={xk} v tn hiu ra l ~x ( t ) .
K hiu qu trnh bin i xa(t) a
N 1

T[xa(t)] = ~x ( t ) =

n =0

~
x ( t )

l nh x T, th do

an fm ( t nTa )

v cc h s a0 , a1, K , aN1 c quan h tuyn tnh vi u vo x0, x1, K ,

xN1 (xem cng thc (5.19)), nn T c tnh cht tuyn tnh, tc l
T [ xa(t)+ ya(t)] = T [xa(t)]+ T [ya(t)] ; , R
trong xa(t), ya(t) l hai tn hiu u vo khc nhau. iu ny ch rng
khi D/A theo k thut Bspline l mt khi iu khin tuyn tnh.
Gi G(s) l hm truyn t ca khi D/A . Vy th
nh l 5.5: Hm c tnh tn G(j) ca khi D/A theo k thut Bspline
bc m c gi tr l
G(j) =

~
X ( j )
X a ( j )

dm 1

d m
dm
1

j
m
j Ta
d 1 e

Chng minh:
Theo cng thc ni suy (5.19) ta c
N 1
~
~
X ( j ) = Fm ( j ) an e jnTa

(5.25)

n=0

Ngoi ra, do tn hiu lin tc ti u u ra

~
x ( t ) cng

nhn cc gi tr xk , k=

0,1, ... , N1 lm N gi tr mu nn theo nh l 2.3 v cng thc (2.16)

trong chng 2 ta i n
225

N 1
~
jnTa jl anTa
e
Fm ( j( l a )) an e

l =
n =0

TaXa(j) = X~[ j( l a )] =
l =

Nhng v aTa=2, nn

e jlanTa = e j 2nl = 1 .

N 1

l =

n=0

TaXa(j) = F~m ( j( l a ))

Bi vy

an e jnTa

(5.26)

Chia hai v ca (5.25) v (5.26) cho nhau ta c

TaG(j) =

~
Fm ( j )

(5.27)

~
Fm ( j( l a ))

l =

Mt khc, t nh ngha v hm Bspline gc fm(t), nh Fourier Fm(j)

ca n s l

Fm(j) = 1 e

j Ta

Do nh Fourier
~
Fm ( j ) =

Li tip

j Ta

m +1

~
Fm ( j ) ca

Fm(j) e

e j 2k = 1

hm Bspline

1 e j Ta

j Ta

~
f m ( t ) c

m +1

e j

tnh nh sau

vi = m Ta .

(5.28)

vi mi k nguyn nn

1 e j Ta e jl2
~
Fm ( j( l a )) =
j( l a ) Ta

m +1

e j e

m
jl 2
2

1 e j Ta
j( l a ) Ta

m +1

e j

(5.29)

Bi vy khi thay (5.28), (5.29) vo (5.26) c

1

G(j) =

Ta

m +1

l = (

l a ) m +1

dm 1

d m

1
d m
T
m a l
d l =
a

(5.30)

Xt ring trng hp m=0 th t (5.30) c

G(j)

=
Ta

1
l
a
l =

Cng vi m=0 cho (5.25)

226

(5.31)

N 1
~
~
X ( j ) = F0 ( j ) an e jnTa

= 1 e

n=0

j Ta

j Ta

e j

N 1

n=0

an e jnTa

v cho phng trnh (5.21) c an = Taxn (xem kt qu ca v d 1 trong

mc 5.2.3). Do
N 1

n=0

N 1

an e jnTa

x n e jnTa
n =4
0 42443
1
X a ( j )

= Ta

Suy ra
1 e j Ta j
~
e
X a ( j )
X ( j ) =
j

hay G(j) = 1 e

jTa

(5.32)

So snh (5.31) v (5.32) c

Ta

1
l = l a

1e

(5.33)

jTa

Cui cng, thay (5.33) vo (5.30) ta s c iu phi chng minh.

By gi ta i vo vic chnh l xt sai s ph sau khi tn hiu ri rc c

chuyn i thnh lin tc nh phng php Bspline v s a ra kt lun
sai s c chp nhn c hay khng?.
T nh l trn ta suy ra:
1) khi m=2 th G(j) =

2) khi m=4 th G(j) =

Ta

sin
Ta
2

Ta Ta
cos

2
2

Ta

sin
6Ta
2

Ta
Ta
[5 + cos( Ta )]
cos
2
2

(5.34)

(5.35)

Hai cng thc (5.34), (5.35) ch rng hm c tnh tn G(j) s tin ti

ti cc im tn s Ta =(2k+1) vi k nguyn. iu dn n s
phn k ca X~ ( j ) ti nhng im tn s nu s dng k thut Bspline

227

bc 2 v 4. Theo kinh nghim, bao gi ngi ta cng ch dng cc hm

Bspline ~f m ( t ) bc 0, hoc bc l.
V d: minh ha ta xt mt v d. Cho tn hiu
x(t) =

e 3 t

Tn hiu ny c nh Fourier l
X(j) =

1
3 + j

~
| X ( jn ) |

~
| X ( jn ) |

0,3

0,3
Ni suy vi
BSpline bc 0

0,2

Ni suy vi
BSpline bc 1

0,2

0,1

0,1

10

20

30

40

50

10

~
| X ( jn ) |

20

30

40

50

50

~
| X ( jn ) |

0,3

0,3
Ni suy vi
BSpline bc 2

0,2

Ni suy vi
BSpline bc 3

0,2
0,1

0,1

10

20

30

40

50

10

20

30

40

Hnh 5.9: Minh ha s nh hng ca php ni suy BSpline vo kt qu nhn dng.

T 8 gi tr tn hiu xk = x(kTa), k = 0, 1, K ,7 v Ta = 0,2s ban u

ngi ta s dng hm Bspline bc i= 0, 1, 2, 3 chuyn n thnh tn
hiu lin tc ~x ( t ) theo cng thc (5.19). Tip tc, ngi ta trch mu vi chu
k ly mu mi nh hn l Tb = 0,01s c 128 gi tr
K ,127 ri s dng dft() s c
228

~
X ( jn )

~
xk = ~
x ( kTb ) ,

vi = 4,9s1.

k = 0,1,

Biu din cc gi tr | X~ ( jn ) | theo n di dng th c hnh 5.9.

Nhn vo ng th ca

~
X ( jn )

ng vi i =2 ta c ngay c kt lun

rng php ni suy Bspline bc 2 l khng th s dng c trong vic

nhn dng ph tn hiu.
5.3

Ngoi suy

Thut ton nhn dng hm c tnh tn G(j) trnh by trong mc 2.3.1

cho ra kt qu l dy G(jn), n=0,1, K ,2M, trong =

2
Ta

xc nh

phn gii ca kt qu v phi l mt s nguyn ly tha ca 2 nh nht

nhng khng nh hn 2N1. Nh vy phn gii ca kt qu ph thuc
vo N l s cc gi tr tn hiu o c, tc l vo khong thi gian quan st
cc tn hiu vo/ra T= NTa. Khi N cng ln, phn gii ca kt qu cng
cao.
Nhng khng phi bi ton nhn dng no trong thc t cng c kh
nng p ng c nhng iu kin cn thit cho php thu c mt kt
qu c phn gii nh mun. Chng hn do iu kin khch quan khng
cho php quan st tn hiu vo/ra trong mt khong thi gian T ln (tn
hiu vo/ra l nhng qu trnh ngu nhin khng dng), nn s mu tn hiu
ly c qu t, ko theo s lng cc gi tr tn hiu nhn c khng
nhiu c th phn nh y cc thng tin cn thit v i tng. Trong
nhng trng hp nh vy, thng thng ngi ta phi ngoi suy tng s
mu tn hiu thu c nhm tng phn gii cho kt qu.
C rt nhiu cc phng php ngoi suy tn hiu khc nhau. Song ph
hp hn c vi bi ton nhn dng c tn hiu vo/ra ngu nhin l phng
php cc i entropie. Bi ton ngoi suy entropie pht biu nh sau: Gi s
rng trong khong thi gian quan st [0, NTa) ta thu c dy gi tr
{xk}, vi xk = x(kTa), k = 0, 1, K , N1 ca tn hiu x(t). Vn t ra
y l t dy gm ch c N gi tr phi suy c ra nhng gi tr cha c
ca tn hiu nm ngoi khong quan st [0, NTa), tc l phi ngoi suy

229

c xk vi k N, sao cho cng vi nhng gi tr ngoi suy ny lng thng

tin entropie ca tn hiu x(t) thu c t dy mi {xk}, k = 0, 1, K l ln
nht.
5.3.1

Cc i entropie loi 1

Gi {xk}, k = 0, 1, K , N1 l dy gm N gi tr tn hiu o c trong

khong quan st [0, NTa). Theo kt qu ca mc 4.2.2 th sai lch gia gi
tr o c xk v gi tr d bo tuyn tnh xkf tnh theo
x kf

na

= ak xn k , k = na , K , N1

(5.36)

k =1

s c trung bnh bnh phng nh nht nu b tham s a1 , a2, K ,

ana ,

c nhn dng theo phng php YuleWalker. Cng vi b tham s ny,

i lng entropie loi 1 ca tn hiu

H1 = ln S y ( )d

(5.37)

c gi tr cc i, trong mt ph Sx() ca {xk} c tnh bi

Sx() =

K
1+

na

ak e

jkTa

(5.38)

k =1

Nh vy, php ngoi suy xk , k N no khng lm thay i gi tr

trung bnh bnh phng cc sai lch | xk xkf | cng s lm cho gi tr mt
ph (5.38) khng thay i v do lm cho entropie H1 (5.37) gi c
c gi tr cc i ca n. Nhn xt ny a ta n php ngoi suy phi
l:
na

xk = ak xn k , k N

(5.39)

k =1

Ta c c thut ton ngoi suy cc i entropie loi 1 cc gi tr xk ,

k N nh sau:

230

1) Chn bc na m hnh AR m t tn hiu x(t). Ta cng c th s dng kt

qu bi tp 2 thuc chng 4 nhn dng na.
2) Xc nh a1 , a2, K ,

ana t

{xk}, k = 0, 1, K , N1 bng cc thut ton

nhn dng tham s m hnh AR bit nh YuleWalker hoc Burg.

3) Thc hin ln lt vi k = N, N+1, K cng thc (5.39) tnh xk vi
k N.
5.3.2

Cc i entropie loi 2

Bn cnh thut ton ngoi suy theo nguyn tc cc i entropie loi 1

va trnh by ta cn c mt hnh thc ngoi suy cc i entropie khc
xc nh xk vi k N l i t cng thc entropie loi 2:

H2 = Sx ( ) ln Sx ( )d

Trc ht ta t vn nhn dng mt ph Sx() ca {xk}, k = 0, 1,

K , N1, l vi Sx() nhn dng c, gi tr entropie loi 2 H2 (5.40) s
ln nht. Tt nhin mt ph Sx() c c phi tha mn iu kin
bin

Sx() = Ta rx ( mTa )e jmTa

m =

rx(mTa) =

1
2

Sx ( )e

jmTa

(5.41)

trong rx(mTa) l cc gi tr hm tng quan ca tn hiu x(t) c tnh

theo cng thc nhn dng bias (2.45) hoc unbias (2.47). Theo nh l 2.7
ca chng 2 th ch s m trong iu kin bin (5.41) ch cn chy t N+1
n N1 l .
Nh vy bi ton tm cc i cho (5.40) vi iu kin bin (5.41) va
nu l mt bi ton ti u tnh v nghim ca n c th c tm mt cch
n gin theo nguyn l ca Lagrange. Trc ht ta lp hm

231

Q = H2 +

N 1

m = N +1

m Sx ( )e jmTa d 2 rx ( mTa )

(5.42)

trong m , m= N+1, K , N1 l nhng hng s Lagrange. Sau ta o

hm hai v ca (5.42) theo bin Sx():
Q
Sx ( )

N 1

jmTa
1 + ln Sx ( ) + m e
d

m = N +1

ri tm iu kin o hm b trit tiu s c:

N 1

m e jmTa = 1 + ln Sx ( )

(5.43)

m = N +1

N 1

m = N +1

Sx() = exp 1 +

m e jmTa

(5.44)

Vn cn li l xc nh cc h s m , m= N+1, K , N1. C nhiu

cch xc nh m vi nhng u nhc im khc nhau. y ta s i theo
phng php ca Wu gii thiu trong ti liu [18].
Nu gi {cm}, cm = c(mTa) l dy cc gi tr ca hm c(t) c nh Fourier
C(j) = ln Sx ( )
th khi chuyn ngc cng thc (5.43) sang min thi gian s c
N 1

m ( t mTa )
m = N +1

= (t) + c(t) ,

(5.45)

v nh Fourier ca (tmTa) l e jmTa . Do C(j) l hm thun thc nn c(t)

phi l mt hm chn, tc l c(t) = c(t). Suy ra m = m .
Vit li (5.45) ln lt cho t=mTa , m=0,1, K , N1 c:

khi m=0:

0 = 1+c0

khi m=1:

1 = c1

khi m=N1: N1 = cN1

232

v chnh l nhng cng thc xc nh h s m. Ta i n thut ton nhn

dng mt ph Sx() ca x(t) t dy {xk}, k = 0, 1, K , N1 theo nguyn
tc cc i entropie loi 2 nh sau:
1) S dng hm spec() gii thiu trong chng 2 xc nh

~
S x ( n )

n=0,1, K , 1 vi =2N1 v ch s Lag M=N1.

2) Tnh C(n) = ln S~x ( n ) , n=0,1, K , 1.
3) Chuyn ngc dy {C(n)} nh hm invdt() c {cm}, m= N+1,
K , N1.
1 + c0

4) Xc nh m = cm

m=0

khi

m = 1, L ,N 1 .

khi
khi

m<0

5) Tnh Sx() theo cng thc (5.44).

Tip tc, theo nh l 5.3 cho mt ph Sx(), tc l:
Sx() =

Ta
2
X a ( j )
p

N nu nhn dng bias rx ( mTa )

p =

vi

N m nu nhn dng unbias rx ( mTa )

N. Wu a ra trong ti liu [18] mi quan h gia cm v xk khi x0 > 0

nh sau:
cm

xk

ln x0 khi m = 0
= xm m 1 kck xm k
khi
x mx
0
0 k=0
e c0
khi k = 0

k 1 mc x
=
m k m
c k x0 +
k
m=0

khi

m>0

k>0

S dng quan h ta c c thut ton ngoi suy xk , k N gm cc

bc:
1) Xc nh

~
Sx ( n )

n=0,1, K , 1 nh hm spec()vi =2N1 v ch s

Lag M=N1.

233

2) Tnh C(n) = ln S~x ( n ) , n=0,1, K , 1 v chuyn ngc dy

{C(n)} sang min thi gian nh hm invdt() c {cm}, m= N+1,
K , N1.
3) Ngoi suy xk ln lt vi k = N, N+1, K theo cng thc
k 1

mcm x k m
k
m=0

xk =
5.4

vi cm=0 khi m N.

L thuyt hm m rng

5.4.1

nh ngha

Ngay u chng 2 ta khng nh rng nh c l thuyt hm m rng

m bn cht ton hc ca "hm s" dirac (t) mi c hiu mt cch cht
ch v tng qut. Khi nim "hm s" ca (t) y khng c ng nh
nh ngha ton hc kinh in ca n (nn n c vit trong du ngoc
kp). Thc cht (t) l mt phim hm (functional) lin tc, tuyn tnh trn
D C (R), hay cn gi l mt hm m rng, trong C (R) l k hiu ch
tp hp cc hm thc lin tc, c o hm v hn ln trn R v D l mt tp
con ca C (R) gm cc hm c thi gian sng hu hn, tc l hm c
supp (t)={ t R(t) 0}
gii ni. V d nh hm

1
khi t b
a exp 2
2
(t) =
t b

khi t > b
0

(5.46)

l mt phn t ca D. V d ny cng chng t rng D khng rng. Theo thut

ng k thut th hm m rng c xem nh l mt qu trnh bin i tn
hiu (t)D thnh hng s.
nh ngha 5.1: Gi D l tp con ca C (R) gm cc hm c thi gian sng
hu hn. Khi mt phim hm lin tc, tuyn tnh r(t): D R s c
gi l hm m rng nu s hi t n(t) (t) ca mt dy {n(t)} bt k
trn D tha mn:

234

a) vi k N ty th hp ca tt c k min thi gian sng suppn(t) ca

cc hm n(t); n =1,2, ... , k cng gii ni trn R,
b) n(t)(t)
dm
dt m

dm
dt

n(t)

dm
dt m

(t) ; m nguyn v m 0, trong

l k hiu ca o hm bc m ca mt hm thng (hi t u),

Tp hp tt c cc phim hm lin tc, tuyn tnh trn D c k hiu

bng D' (hay khng gian i ngu). Khi nim hi t trn D l cn thit, v
ch khi chng ta mi c c nh ngha v s lin tc ca mt phim
hm trn D.
nh ngha 5.2: Mt hm m rng r(t)
mt tch phn

D' c cc php bin i ging nh

(5.47)

r( t )
( t )
r( t ) ( t )dt ; ( t ) D

c gi l hm m rng u (regular).
Ch rng du tch phn trong cng thc (5.47) ch c ngha hnh thc.
N c s dng y ni rng r(t) c cc php bin i, nh php
cng, php ly o hm K , ging cc php bin i ca mt tch phn, ch
bn thn n khng phi l mt tch phn theo ngha ton hc thng thng
nh tch phn Riemann hay tch phn Lebesgue.
Xt hm Heaviside 1(t). Vi tch phn

1( t ) ( t )dt = ( t ) < ; ( t ) D
0

th r rng hm Heaviside 1(t) cng l mt hm m rng u. T suy ra

mi hm thc khc, nu lin tc tng on v b chn, th cng c xem nh
l hm m rng u, tc l cng thuc D'.

nh ngha 5.3: Mt hm m rng u r(t), nu r( t ) ( t )dt = 0

235

a) vi mi (t)=0 c a t b th c gi l c min xc nh a t b
(ng nht bng 0 ngoi khong kn [a,b]),
b) vi mi (t)=0 c t [a,b] th c gi l ng nht bng 0 trong
khong kn [a,b].
nh ngha 5.4: Hm m rng dirac
tnh cht

( t ) ( t )dt =

(0) , (t)D.

(5.48)

T nay v sau hm m rng dirac

Vi mi hm (t)D c (0) = 0 th

( t ) ( t )dt =

(t) l mt hm m rng u tha mn

(t) s c gi n gin l hm delta.

(0) = 0,

do m hm delta, theo nh ngha 5.4, c thi gian sng hu hn (min xc

nh ca hm delta ch cha c mt im l 0).
dr
dt

nh ngha 5.5: o hm

ca hm m rng u r(t) l mt hm m

rng u ca D' tha mn

dr( t )
( t )dt
dt

r( t )

d ( t )
dt
dt

, (t)D.

(5.49)

Vi nh ngha ny th mi hm lin tc tng on v b chn u c o

hm (cn gi l o hm tng qut, hay o hm Sobolew), mc d theo
ngha o hm kinh in, o hm ca chng c th khng c hoc khng
xc nh ti mt hay nhiu im.
V d : Theo nh ngha 5.5 th t

1& ( t ) ( t )dt

= 1( t )& ( t )dt = ( t ) 0
0

= (0) =

( t ) ( t )dt

, (t)D.

ta c ngay c o hm (tng qut) ca hm Heaviside v n chnh l hm

delta (t). Tip theo, o hm &( t ) ca hm delta s c gi tr l

236

&( t ) ( t )dt =

5.4.2

( t )& ( t )dt = & (0 ) .

Tnh cht

Do trong khun kh p dng vo k thut thng ch lm vic vi hm

m rng u, nn t nay v sau, mt hm m rng u s c gi ngn
gn l hm m rng. T nh ngha 5.2 c:
a) Tng ca hai hm m rng r(t) = r1(t)+r2(t) l mt hm m rng v
c xc nh nh php tnh tng ca mt tch phn, tc l

r( t ) ( t )dt

r1 ( t ) ( t )dt + r2 ( t ) ( t )dt

vi mi (t)D.
b) Php tnh tin mt khong thi gian trn trc thi gian ca hm m
rng r(t) cho ra mt hm m rng r(t) v c biu din thnh

r( t ) ( t )dt = r( t ) ( t + )dt .

c) Hm m rng r(at), aR c xc nh t r(t) nh php bin i

r( at ) ( t )dt =

1
t
r( t ) dt ,
a
a

(t)D.

d) Tch r(t)(t) ca hm m rng r(t) vi hm thng (t)C (R) cng l

mt hm m rng v c xc nh bi

[r( t ) ( t )] ( t )dt = r( t )[ ( t ) ( t )]dt

(5.50a)

V phi hon ton c ngha, v (t)(t)D.

e) Nu trong cng thc (5.50a) ta thay hm delta (tTa) vo v tr ca
hm m rng r(t) v tn hiu x(t), lin tc ti Ta vo v tr ca (t) th
s c c cng thc ly gi tr tn hiu x(t) ti thi im Ta nh sau:

[ ( t Ta ) x( t )] ( t )dt = x(Ta ) ( Ta ) = x(Ta ) ( t Ta ) ( t )dt

(5.50b)

237

Tn hiu x(t) y khng cn phi c o hm v hn ln nh (t), m

ch cn l mt hm thng v lin tc ti Ta l . Sau ny, khi m
khi nim tn hiu c nh ngha mt cch r rng v s nhm
ln gia mt tn hiu vi mt hm m rng hon ton c th b loi b
th cng thc (5.50b) s c vit ngn gn thnh
x( t ) ( t Ta ) = x(Ta ) ( t Ta ).

(5.50c)

V d 1: lm quen vi cch vit mi ny, ta th tnh gi tr ca tch

x( t )

d ( t )
.
dt

Trc ht, theo nh ngha 5.5 v o hm ca hm m rng (u)

th

x( t )

(t)

d ( t )
( t )dt
dt

(t)

dx( t ) ( t )
dt =
dt

dx( t )
d ( t )
( t )dt ( t ) x( t )
dt.
dt
dt

T , vi nh ngha 5.4, c

d ( t )
dx(0 )
d (0 )

x( t )
( t )dt = dt (0 ) x(0 ) dt
dt

= dx(0)
dt

d ( t )
( t )dt
dt

( t ) ( t )dt + x(0 )

v cui cng, theo cch vit gn ca (5.50c) th

x( t )

d ( t )
dx( 0 )
d ( t )
( t ) + x(0 )
=
.
dt
dt
dt

(5.50d)

T cng thc (5.5d), vi x(t)=t, c c phng trnh l th sau:

t

d ( t )
= ( t )
dt

(5.50e)

V d 2: Gi r(t) l mt hm m rng,
tn ti nh Laplace R(s),
R( s) =

r( t)e

st

dt

~
R( s)

Vy th t nh ngha 5.4 c

238

dr( t )
dt

l o hm ca n. Gi s tip

ca chng, tc l
~
R( s) =

dr( t ) st
e dt
dt

~
R( s)

dr( t ) st
( s)e st ds dt
e dt ( s)ds = r( t )

dt
dt

s r( t )e st dt ( s) ds =

sR(s).

f) Cho trc hai hm m rng r1(t) v r2(t). Tch chp r1(t)*r2(t) ca

chng c hiu l

[r1 ( t ) r2 ( t )] ( t )dt = r1 ( t ) r2 ( ) ( t + )d dt

(5.51)

Tuy nhin, cn phi xt xem khi no th tch phn bn phi ca (5.51)

c ngha (tc l tch phn c tn ti hay khng?, theo ngha hm m
rng v khi tch chp cng s l mt hm m rng). Ni cch khc
l phi xt xem, khi no th c c

r2 ( ) ( t + )d

D.

Cn c theo nh ngha 5.3, s c c iu kin ny, nu nh tn ti

mt min gii ni sao cho r2(t) ng nht bng 0 ngoi min , hay
r2(t) c thi gian sng hu hn. Ngoi ra, theo nh ngha 5.2 th tch
chp c tnh giao hon r1(t)*r2(t) = r2(t)*r1(t), bi vy tch chp hai
hm m rng cng s l mt hm m rng, nu t nht mt trong hai
hm m rng c thi gian sng hu hn.
Cho mt hm m rng r(t). V hm delta c thi gian sng hu hn
nn gi tr ca tch chp r(t)*(t) cng l mt hm m rng v

r( t ) ( ) ( t + )d dt = r( t ) ( t )dt

, (t)D

(5.52a)

ni cch khc
r(t)*(t)= (t)*r(t) = r(t)

Nh vy, khng gian D' vi quan h tch chp c (t) l phn t n

v. Cng t cng thc (5.51) d dng chng minh c rng
r(t)*(tt0) = r(tt0).

(
239

g) Khi nim gii hn ca mt dy hm m rng cng c xy dng

thng qua du tch phn. Gi s c trong D' mt dy hm m rng
{rn(t)} hi t ti r(t), tc l rn(t) r(t) khi n , th s hi t
c hiu theo ngha

lim rn ( t ) ( t )dt r( t ) ( t )dt ,

(t)D

(5.53)

(hi t u). Nh n nh l ca Steinhaus: "Nu E l mt khng gian

Banach, F l mt khng gian chun v Tn : E F l mt dy nh x
lin tc tuyn tnh tho mn lim Tn x = Tx vi mi xE th T cng lin
n

tc, tuyn tnh", c c r(t)D', hay r(t) cng l mt hm m rng.

5.4.3

Ton t Fourier m rng

mc 5.4.1 v 5.4.2 ta cp n nhng khi nim c bn v hm

m rng t nh ngha, tnh cht, cho ti cc php bin i c xy dng
trn gi thit rng chng u. Nhng khi nim trn hon ton c th c
xy dng mt cch tng t cho khng gian Rn, tc l vi cc hm

C(Rn) v c thi gian sng hu hn. Tuy nhin, c th p dng c

chng vo vic m hnh ha v phn tch h thng, phc v iu khin k
thut trong min phc (nht l cc h suy bin - singular systems), th vn
cn thiu khi nim v nh Fourier ca hm m rng m trong mt vi ti
liu khc nhau cn c gi l Ton t Fourier m rng.
Cho trc mt hm m rng r(t). Gi s tn ti R(j) l nh Fourier ca
r(t). Nu nh R(j) cng l mt hm m rng th vi mi hm ()D phi
c

R( j ) ( )d

jt dt ( )d
r( t ) e

r( t ) ( jt )dt ,

(5.54a)

trong (jt) l nh Fourier ca hm s () v cng phi thuc D, tc l

(jt) =

240

( ) e jt d

D.

(5.54b)

Ch rng du tch phn trong cng thc (5.54b) v tch phn trong du
ngoc vung ca cng thc (5.54a) chnh l tch phn ca ton t Fourier
lin tc v l tch phn ton hc thng thng (tch phn Riemann), trong
khi cc tch phn cn li ch l mt k hiu ca hm m rng u.
nh ngha th r rng nh vy, nhng nu c cu hi c t ra rng
R(j)0 c tn ti hay khng? (theo ngha hm m rng), th ta c th tr li
ngay c rng vi nhng gi thit c xy dng cho n nay R(j)
khng th tn ti c, v (jt) khng thuc D. Hm (jt)0 c o hm v
hn ln ging nh (), nhng thi gian sng l v hn (nh Fourier ca
mt hm c min xc nh gii ni s xc nh trn ton b trc s), bi vy
(jt)D. Nh li php bin i Fourier thng thng c trnh by
trong chng 2 th khi hm () c supp() gii ni, nh Fourier (jt) ca
n s c supp(jt) gn nh l ton b trng s thc, ni cch khc thi gian
sng ca (jt) hu hn khi v ch khi ()0.
Bi vy, c th c c R(j) th cn phi m rng D. Ta xt tp E
ca tt c cc hm ca C (R) nhng by gi khng bt buc l phi c thi
gian sng hu hn m ch cn tin ti 0 khi t nhanh hn bt c mt
a thc no khc ca t1.
nh ngha 5.6: Mt hm m rng (u), xc nh trn E vi
a) D E ,
b) S hi t ca mt dy {m(t)} trn E c nh ngha nh trn D ,
c)

lim t ( t ) =
n

0 vi mi n nguyn,

c gi l hm m rng yu. Tp hp tt c cc hm m rng yu

c k hiu bng E'.
nh ngha 5.7: nh Fourier R(j) ca hm m rng yu r(t) cng l mt
hm m rng yu v c xc nh t r(t) nh sau:

R( j ) ( )d

r( t ) ( jt )dt ,

(t)D,

241

trong (jt) l nh Fourier ca hm s ().

T nay v sau k hiu F s c s dng ch ton t Fourier,
(j)=F{(t)} ch nh Fourier ca (t) v mi hm m rng (u) c ni
n l hm m rng yu.
By gi, gi s rng r(t) l mt hm thng c nh Fourier, tc l tn ti
F[r(t)]. Vi k hiu dm ch php ly o hm bc th m ca mt hm
m rng v do r(t) cng l mt hm m rng nn theo nh ngha 5.5 v 5.7
c c

dm
m
m
d r( t ) ( jt )dt = ( 1) r( t ) m
dt

jt

e
( )d dt

Suy ra

m
r( t ) ( j ) e jt ( )d dt

= ( j ) m ( ) r( t )e jt dt d ,

F [dm r(t)]

hay ni cch khc

F [dm r(t)] = (j)m F[ r(t)].
Cng tng t nh vy cho dm{ F[ r(t)]} c

m
d F [r( t )] ( )d

dm r( t )e jt dt ( )d

m
d

m
jt
( jt ) r( t ) ( )e dt d

Suy ra
dm{ F[r(t)]} = F [(jt)mr(t)] .
Tng qut ln cho E' ta i n:
nh l 5.5: Vi mt hm m rng r(t)E' c
a) F [dm r(t)] = (j)m F[ r(t)],
b) dm{ F[ r(t)]} = F [(jt)m r(t)] .

242

Bn cnh nh l v nh ca o hm cng nh o hm ca nh, ta cn

c kt lun na v nh ca tch chp cng rt cn thit trong nhn dng c
pht biu nh sau:
nh l 5.6: Gi s r(t), r1(t), r2(t) E' , th
a) F [r(tT)] = F [r(t)] ejT v
b) F[r1(t)*r2(t)] = F[r1(t)]F[r2(t)] nu tn ti tch chp [r1(t)*r2(t)].
Chng minh:
a) V

j( t + T )

( )d dt
r( t T ) ( jt )dt = r( t ) [ j( t + T )]dt = r( t ) e

nn
F [r(tT)] = e jT

jT
r( t ) ( jt )dt
r( t ) e jt ( )d dt = e

v l .p.c.m. th nht.
b) Do php tnh tch chp c tnh giao hon, nn s khng mt tnh tng qut
nu c gi thit thm rng r2(t) c thi gian sng hu hn. Khi , cng
vi (5.51) c

F[r1(t)*r2(t)] = [r1 ( t ) * r2 ( t )] ( jt )dt =

r1 ( t ) r2 ( ) ( j( t + )d dt

p dng cng thc ton t Fourier cho cho (j(t+)) c

F[r1(t)*r2(t)] =

j ( t + )
( )d d dt
r1 ( t ) r2 ( ) e

v cui cng l iu phi chng minh th hai

F[r1(t)*r2(t)] =

jt dt r ( ) j d ( )d
r1 ( t ) e
2 e

T nh l trn vi r1(t)=(t) d dng thu c

F[r2(t)] = F[(t)]F[r2(t)] hay F[(t)] = 1.

243

 y 1 phi c hiu l mt hm m rng. Bng li, nh l 5.2 cn c

din t thnh: "nh ca tch chp, nu chng tn ti, chnh l tch ca hai
nh".
Do F l mt isomorphism trn E v nh Fourier R(j) ca mt hm m
rng r(t) c nh ngha nh nh ca hm ()E nn iu ngc li cng
ng: "nh ca mt tch bng tch chp ca hai nh, nu tn ti tch chp
", tc l
F[r1(t)r2(t)] =

1
2

F[r1(t)]*F[r2(t)]

(5.56)

Khc vi nh l 5.6, cng thc (5.56) cn c thm h s

1
2

do nh

ngha v ton t Fourier ngc sinh ra. C th d dng kim chng li tnh
ng n ca cng thc (5.56) tng t nh lm vi nh l 5.6.
Nu (t)E, th tn ti nh Fourier (j) ca n. Xut pht t cng thc
ca ton t Fourier ngc i vi hm (t) c c

(0)=
=

1
( j )d
2

1
( t ) e jt dt d
2

1 jt
d ( t )dt

e
2

Do ng thc trn ng vi mi hm (t) thuc E (tc l cng ng vi

mi hm (t)D) nn theo nh ngha 5.4 v hm (t) s thu c

(t) =

1 jt
d
e
2

1
cos(t )d
2

1 jt
e d
2

(5.57a)

rng y s dng cng thc ejt = cos(t) jsin(t) (cng thc

Euler) v sin(t) l hm chn. T y suy ra

(t) =

1
c os(t )d
2

1 a
sin( at )
cos(t )d = lim
t
a 2 a
a
lim

(5.57b)

Cc cng thc (5.57a) v (5.57b) l hai trong nhng cng thc rt c bn,
c s dng nhiu trong cc cng vic nghin cu v ng dng khc nhau
ca hm (t).

244

Cu hi n tp v bi tp
1. Hy ch rng hm c tnh tn G(j) ca khi D/A theo k thut
Bspline bc 0, 1,3 l nhng hm b chn, tc l |G(j)|< vi mi .
T c th rt ra c mt kt lun chung no khng v cc khi D/A
theo k thut Bspline bc l?.
2. Nu p dng phng php ni suy dy tn hiu o c {xk} th khong
tn s nhn dng G(j) s c m rng. Ngc li phng php ngoi
suy {xk} li c tc dng tng phn gii, tc l tng s cc gi tr
G(kN) tnh c trong khong tn s c nh (gim N). nhng
trng hp no, khi p dng c hai phng php ni v ngoi suy dy
{xk} m li khng lm tng phn gii ca kt qu?.
3. Chng minh rng nh Fourier X(j) ca mt hm chn x(t) l mt hm
thc.
4. Chng minh rng nh Fourier X(j) ca mt hm l x(t) l mt hm
thun o.

245

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Fast Fourier Transform. Verlag R.Oldenburg, Mnchen, Wien,1987.
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System Identification. LondonWilay, 1974.
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Some novel Windows and Concise Tutorial Comparion of Window
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Matrizentheorie. Springer Verlag, 1966.
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