Lecture 02 EAILC

Lecture 2: Real-Time Parameter Estimation
Least Squares and Regression Models
Estimating Parameters in Dynamical Systems
Examples
c Leonid Freidovich. March 31, 2010. Elements of Iterative Learning and Adaptive Control: Lecture 2 p. 1/25
Preliminary Comments
Real-time parameter estimation is one of methods of system
identication
identication
The key elements of system identication are:
identication
Selection of model structure (linear, nonlinear, linear in

parameters, . . . )
identication

parameters, . . . )
Design of experiments (input signal, sampling period, . . . )

identication

parameters, . . . )
Parameter estimation (off-line, on-line, . . . )

identication

parameters, . . . )
Parameter estimation (off-line, on-line, . . . )
Validation mechanism (depends on application)

All these step should be present
in Real-Time Parameter Estimation Algorithms!
Parameter Estimation: Problem Formulation
Suppose that a system (a model of experiment) is
y(i) =
1
(i)
0
1
+
2
(i)
0
2
+ +
n
(i)
0
n
=
_
1
(i),
2
(i), . . . ,
n
(i)
_
. .
(i)
T
1n
_
0
1
.
.
.
0
n
_
_
. .
0
n1
= (i)
T
0
Parameter Estimation: Problem Formulation
Suppose that a system (a model of experiment) is
y(i) =
1
(i)
0
1
+
2
(i)
0
2
+ +
n
(i)
0
n
=
_
1
(i),
2
(i), . . . ,
n
(i)
_
. .
(i)
T
1n
_
0
1
.
.
.
0
n
_
_
. .
0
n1
= (i)
T
0
Given the data
_
[y(i), (i)]
_
N
i=1
=
_
[y(1), (1)], . . . , [y(N), (N)]
_
The task is to nd (estimate) the n unknown values
0
=
_
0
1
,
0
2
, . . . ,
0
n
_
T
What kind of solution is expected?
Algorithm solving the estimation problem should be as follows.
Estimates should be computed in a numerically efcient

way (an analytical formula is preferable!)

Computed estimates (the mean value) should be close to

the real estimated values (be unbiased), provided that the
model is correct.


model is correct.
Estimates should have small variances, preferably

decreasing with N (more data > better estimate).


model is correct.
Estimates should have small variances, preferably

decreasing with N (more data > better estimate).
The algorithm, if possible, should have intuitive clear

motivation.
Least Squares Algorithm:
Consider the function (loss-function) to be minimized
V
N
() =
1
2
_
(y(1) (1)
T
)
2
+ + (y(N) (N)
T
)
2
_
Least Squares Algorithm:
Consider the function (loss-function) to be minimized
V
N
() =
1
2
_
(y(1) (1)
T
. .
(1)
)
2
+ + (y(N) (N)
T
. .
(N)
)
2
_
=
1
2
_
(1)
2
+ (2)
2
+ + (N)
2
_
=
1
2
E
T
E
Here
E =
_
(1), (2), . . . , (N)
_
T
= Y
and
Y =
_
y(1), y(2), . . . , y(N)
_
T
, =
_
_
(1)
T
(2)
T
.
.
.
(N)
T
_
_
Nn
Theorem (Least Square Formula):
The function V
N
() is minimal at = , which satises the
equation
T
=
T
Y
Theorem (Least Square Formula):
The function V
N
() is minimal at = , which satises the
equation
T
=
T
Y
If det
_
_
= 0, then
the minimum of the function V

N
() is unique,
the minimum value is

1
2
Y
T
Y
1
2
Y
T
_
1
T
Y and
is attained at
=
_
_
1
T
Y
Proof:
The loss-function can be written as
V
N
() =
1
2
(Y )
T
(Y )
It reaches its minimal value at if
V
N
() =
_
V
N
()
1
, . . . ,
V
N
()
n
_
= 0 with =
Proof:
V
N
() =
1
2
(Y )
T
(Y )
V
N
() =
_
V
N
()
1
, . . . ,
V
N
()
n
_
= 0 with =
This equation is
V
N
() =
1
2
2
()
T
(Y ) =
T
(Y ) = 0
(
(
T
a) =
(a
T
) = a
T
,
(
T
A) =
T
(A + A
T
) )
Proof:
V
N
() =
1
2
(Y )
T
(Y )
V
N
() =
_
V
N
()
1
, . . . ,
V
N
()
n
_
= 0 with =
This equation is
V
N
() =
1
2
2
()
T
(Y ) =
T
(Y ) = 0
(
(
T
a) =
(a
T
) = a
T
,
(
T
A) =
T
(A + A
T
) ) Hence
T
=
T
Y
Proof (cond):
If the matrix
T
is invertible, then we solve can nd the
solution of
T
=
T
Y :
=
_
_
1
T
Y
Proof (cond):
If the matrix
T
solution of
T
=
T
Y :
=
_
_
1
T
Y
V
N
() =
1
2
(Y )
T
(Y ) =
1
2
Y
T
Y Y
T
+
1
2
Proof (cond):
If the matrix
T
solution of
T
=
T
Y :
=
_
_
1
T
Y
V
N
() =
1
2
(Y )
T
(Y ) =
1
2
Y
T
Y Y
T
+
1
2
and since
Y
T
= Y
T
_
1
_
_
=
T
_
by completing the square

V
N
() =
1
2
Y
T
Y
1
2
T
_
. .
independent of
+
1
2
( )
T
_
_
( )
. .
0, > 0 for =
Comments:
The formula can be re-written in terms of y(i), (i) as
=
_
_
1
T
Y =
_
N
i=1
(i)(i)
_
1
_
N
i=1
(i)y(i)
_
Comments:
=
_
_
1
T
Y = P(N)
_
N
i=1
(i)y(i)
_
where P(N) =
_
_
1
=
_
N
i=1
(i)(i)
_
1
Comments:
=
_
_
1
T
Y = P(N)
_
N
i=1
(i)y(i)
_
where P(N) =
_
_
1
=
_
N
i=1
(i)(i)
_
1
The condition det
_
_
= 0 is called an excitation condition.
Comments:
=
_
_
1
T
Y = P(N)
_
N
i=1
(i)y(i)
_
where P(N) =
_
_
1
=
_
N
i=1
(i)(i)
_
1
The condition det
_
_
To assign different weights for different time instants, consider
V
N
() =
1
2
_
w
1
(y(1)(1)
T
)
2
+ +w
N
(y(N)(N)
T
)
2
_
=
1
2
_
w
1
(1)
2
+w
2
(2)
2
+ +w
N
(N)
2
_
=
1
2
E
T
WE
Comments:
=
_
_
1
T
Y = P(N)
_
N
i=1
(i)y(i)
_
where P(N) =
_
_
1
=
_
N
i=1
(i)(i)
_
1
The condition det
_
_
To assign different weights for different time instants, consider
V
N
() =
1
2
_
w
1
(y(1)(1)
T
)
2
+ +w
N
(y(N)(N)
T
)
2
_
=
1
2
_
w
1
(1)
2
+w
2
(2)
2
+ +w
N
(N)
2
_
=
1
2
E
T
WE
=
_
T
W
_
1
T
WY
Exponential forgetting
The common way to assign the weights is Least Squares with
Exponential Forgetting:
V
N
() =
1
2
N
i=1
Ni
_
y(i) (i)
T
_
2
with 0 < < 1. What is the solution formula?
Stochastic Notation
Uncertainty is often convenient to represent stochastically.
Stochastic Notation
e is random if it is not known in advance and could take

values from the set {e
1
, . . . , e
i
, . . . } with probabilities p
i
.
The mean value or expected value is

E e =
i
p
i
e
i
, E is the expectation operator.
For a realization {e
i
}
N
i=1
: E e
1
N
N
i=1
e
i
Stochastic Notation

1
, . . . , e
i
i
.

E e =
i
p
i
e
i
i
}
N
i=1
: E e
1
N
N
i=1
e
i
The variance or dispersion characterizes possible

deviations from the mean value:
2
= var(e) = E (e E e)
2
.
Stochastic Notation

1
, . . . , e
i
i
.

E e =
i
p
i
e
i
i
}
N
i=1
: E e
1
N
N
i=1
e
i
The variance or dispersion characterizes possible

deviations from the mean value:
2
= var(e) = E (e E e)
2
.
Two random variables e and f are independent if

E (e f) = (E e) (E f) or cov(e, f) = 0.
where cov(e, f) = E
_
(e E e)(f E f)
_
is covariance.
Statistical Properties of LS Estimate:
Assume that the model of the system is stochastic, i.e.
y(i) = (i)
T
0
+e(i)
_
Y (N) = (N)
0
+ E(N)
_
.
Here
0
is vector of true parameters, 0 i N +,
_
e(i)
_
=
_
e(0), e(1), . . .
_
is a sequence of independent
equally distributed random variables with Ee(i) = 0,
_
(i)
_
is either a sequence of random variables
independent of e or deterministic.
y(i) = (i)
T
0
+e(i)
_
Y (N) = (N)
0
+ E(N)
_
.
Here
0
_
e(i)
_
=
_
e(0), e(1), . . .
_
_
(i)
_
Pre-multiplying the model by
_
(N)
T
(N)
_
1
(N)
T
, gives
_
(N)
T
(N)
_
1
(N)
T
Y (N) =

=
_
(N)
T
(N)
_
1
(N)
T
_
(N)
0
+ E(N)
_
y(i) = (i)
T
0
+e(i)
_
Y (N) = (N)
0
+ E(N)
_
.
Here
0
_
e(i)
_
=
_
e(0), e(1), . . .
_
_
(i)
_
Pre-multiplying the model by
_
(N)
T
(N)
_
1
(N)
T
, gives
=
0
+
_
(N)
T
(N)
_
1
(N)
T
E(N)
Theorem: Suppose the data are generated by
y(i) = (i)
T
0
+ e(i)
_
Y (N) = (N)
0
+ E(N)
_
where
_
e(i)
_
=
_
e(0), e(1), . . .
_
is a sequence of
independent random variables with zero mean and variance
2
.
y(i) = (i)
T
0
+ e(i)
_
Y (N) = (N)
0
+ E(N)
_
where
_
e(i)
_
=
_
e(0), e(1), . . .
_
is a sequence of
2
.
Consider the least square estimate
=
_
(N)
T
(N)
_
1
(N)
T
Y (N).
y(i) = (i)
T
0
+ e(i)
_
Y (N) = (N)
0
+ E(N)
_
where
_
e(i)
_
=
_
e(0), e(1), . . .
_
is a sequence of
2
.
Consider the least square estimate
=
_
(N)
T
(N)
_
1
(N)
T
Y (N).
If det (N)
T
(N) = 0, then
E

=
0
, i.e. the estimate is unbiased;
the covariance of the estimate is

cov

= E
_

0
_ _

0
_
T
=
2
_
(N)
T
(N)
_
1
Regression Models for FIR
FIR (Finite Impulse Response) or MA (Moving Average Model):
y(t) = b
1
u(t 1) + b
2
u(t 2) + + b
n
u(t n)
y(t) = b
1
u(t 1) + b
2
u(t 2) + + b
n
u(t n)
y(t) = [u(t 1), u(t 2), . . . , u(t n)]
. .
=(t1)
T
_
_
b
1
b
2
.
.
.
b
n
_
_
. .
=
y(t) = b
1
u(t 1) + b
2
u(t 2) + + b
n
u(t n)
y(t) = [u(t 1), u(t 2), . . . , u(t n)]
. .
=(t1)
T
_
_
b
1
b
2
.
.
.
b
n
_
_
. .
=
Note the change of notation for the typical case when the RHS
does no have the term b
0
u(t): (i) (t 1) to indicate
dependence of date on input signals up to t 1th.
However, we keep: Y (N) = (N)
Regression Models for ARMA
IIR (Inte Impulse Response) or ARMA (Autoregressive Moving
Average Model):
_
q
n
+ a
1
q
n1
+ + a
n
_
. .
A(q)
y(t) =
_
b
1
q
m1
+ b
2
q
m2
+ + b
m
_
. .
B(q)
u(t)
Average Model):
_
q
n
+ a
1
q
n1
+ + a
n
_
. .
A(q)
y(t) =
_
b
1
q
m1
+ b
2
q
m2
+ + b
m
_
. .
B(q)
u(t)
q is the forward shift operator:
q u(t) = u(t + 1), q
1
u(t) = u(t 1)
Average Model):
_
q
n
+ a
1
q
n1
+ + a
n
_
. .
A(q)
y(t) =
_
b
1
q
m1
+ b
2
q
m2
+ + b
m
_
. .
B(q)
u(t)
q is the forward shift operator:
q u(t) = u(t + 1), q
1
u(t) = u(t 1)
y(t) = [y(t 1), . . . , y(t n), u(t n + m1), . . . , u(t n)]
. .
=(i1)
T
_
_
a
1
.
.
.
a
n
b
1
.
.
.
b
m
_
_
. .
=
Problem 2.2
Consider the FIR model
y(t) = b
0
u(t) + b
1
u(t 1) + e(t), t = 1, 2, 3, . . . , N
where
_
e(t)
_
is a sequence of independent normal N(0, )
random variables
Problem 2.2
Consider the FIR model
y(t) = b
0
u(t) + b
1
u(t 1) + e(t), t = 1, 2, 3, . . . , N
where
_
e(t)
_
is a sequence of independent normal N(0, )
random variables
Determine LS estimates for b

0
, b
1
when u(t) is a step.
Analyze the covariance of the estimate, when N
Make the same investigation when u(t) is white noise with

unit variance.
Solution (Problem 2.2):
For the model
y(t) = b
0
u(t) + b
1
u(t 1) + e(t)
the regression form is readily seen
y(t) =
_
u(t), u(t 1)
_
b
0
b
1
_
+ e(t) = (t)
T
+ e(t)
For the model
y(t) = b
0
u(t) + b
1
u(t 1) + e(t)
y(t) =
_
u(t), u(t 1)
_
b
0
b
1
_
+ e(t) = (t)
T
+ e(t)
Then LS estimate is
=
_
(N)
T
(N)
_
1
(N)
T
Y (N)
For the model
y(t) = b
0
u(t) + b
1
u(t 1) + e(t)
y(t) =
_
u(t), u(t 1)
_
b
0
b
1
_
+ e(t) = (t)
T
+ e(t)
Then LS estimate is
=
_
_
_
_
_
_
_
u(1) u(0)
u(2) u(1)
.
.
.
u(N) u(N1)
_
_
T
_
_
u(1) u(0)
u(2) u(1)
.
.
.
u(N) u(N 1)
_
_
_
_
_
_
_
1
_
_
u(1) u(0)
u(2) u(1)
.
.
.
u(N) u(N1)
_
_
T
_
_
y(1)
y(2)
.
.
.
y(N)
_
_
Solution (Cond):
The formula for an arbitrary input signal u(t)
=
_
_
_
_
_
_
_
u(1) u(0)
u(2) u(1)
.
.
.
u(N) u(N1)
_
_
T
_
_
u(1) u(0)
u(2) u(1)
.
.
.
u(N) u(N 1)
_
_
_
_
_
_
_
1
_
_
u(1) u(0)
u(2) u(1)
.
.
.
u(N) u(N1)
_
_
T
_
_
y(1)
y(2)
.
.
.
y(N)
_
_
Solution (Cond):
The formula for an arbitrary input signal u(t)
=
_
_
_
_
_
_
_
u(1) u(0)
u(2) u(1)
.
.
.
u(N) u(N1)
_
_
T
_
_
u(1) u(0)
u(2) u(1)
.
.
.
u(N) u(N 1)
_
_
_
_
_
_
_
1
_
_
u(1) u(0)
u(2) u(1)
.
.
.
u(N) u(N1)
_
_
T
_
_
y(1)
y(2)
.
.
.
y(N)
_
_
becomes
=
_
_
N
t=1
u(t)
2

N
t=1
u(t)u(t 1)
N
t=1
u(t)u(t 1)
N
t=1
u(t 1)
2
_
_
1
_
_
N
t=1
u(t)y(t)
N
t=1
u(t 1)y(t)
_
_
Solution (Cond):
Suppose that u(t) is a unit step applied at t = 1
u(t) =
_
1, t = 1, 2, . . .
0, t = 0, 1, 2, 3, . . .
Solution (Cond):
u(t) =
_
1, t = 1, 2, . . .
0, t = 0, 1, 2, 3, . . .
Substituting this signal into the general formula, we obtain
=
_
_
N
t=1
u(t)
2

N
t=1
u(t)u(t 1)
N
t=1
u(t)u(t 1)
N
t=1
u(t 1)
2
_
_
1
_
_
N
t=1
u(t)y(t)
N
t=1
u(t 1)y(t)
_
_
Solution (Cond):
u(t) =
_
1, t = 1, 2, . . .
0, t = 0, 1, 2, 3, . . .
=
_
_
N
N
t=1
u(t)u(t 1)
N
t=1
u(t)u(t 1)
N
t=1
u(t 1)
2
_
_
1
_
_
N
t=1
u(t)y(t)
N
t=1
u(t 1)y(t)
_
_
Solution (Cond):
u(t) =
_
1, t = 1, 2, . . .
0, t = 0, 1, 2, 3, . . .
=
_
_
N N 1
N 1
N
t=1
u(t 1)
2
_
_
1
_
_
N
t=1
u(t)y(t)
N
t=1
u(t 1)y(t)
_
_
Solution (Cond):
u(t) =
_
1, t = 1, 2, . . .
0, t = 0, 1, 2, 3, . . .
=
_
_
N N 1
N 1 N 1
_
_
1
_
_
N
t=1
u(t)y(t)
N
t=1
u(t 1)y(t)
_
_
Solution (Cond):
u(t) =
_
1, t = 1, 2, . . .
0, t = 0, 1, 2, 3, . . .
=
_
_
N N 1
N 1 N 1
_
_
1
_
_
N
t=1
y(t)
N
t=2
y(t)
_
_
Solution (Cond):
u(t) =
_
1, t = 1, 2, . . .
0, t = 0, 1, 2, 3, . . .
=
1
N(N 1) (N 1)
2
_
_
N 1 (N 1)
(N 1) N
_
_
_
_
N
t=1
y(t)
N
t=2
y(t)
_
_
Solution (Cond):
u(t) =
_
1, t = 1, 2, . . .
0, t = 0, 1, 2, 3, . . .
=
_
_
1 1
1
N
N 1
_
_
_
N
t=1
y(t)
N
t=2
y(t)
_
_
Solution (Cond):
u(t) =
_
1, t = 1, 2, . . .
0, t = 0, 1, 2, 3, . . .
=
_
N
t=1
y(t)
N
t=2
y(t)
N
t=1
y(t) +
N
N 1
N
t=2
y(t)
_
_
=
_
_
y(1)
1
N 1
N
t=1
y(t) y(1)
_
_
Solution (Cond):
How to compute the covariance of ? Consider

0
=
_
_
y(1)
1
N1
N
t=1
y(t) y(1)
_
_
_
_
b
0
b
1
_
_
Solution (Cond):

0
=
_
_
y(1)
1
N 1
N
t=1
y(t) y(1)
_
_
_
b
0
b
1
_
_
=
_
_
_
b
0
1 + b
1
0 + e(1)
_
b
0
N
t=2
_
b
0
1 + b
1
1 + e(t)
_
+ y(1)
N 1
y(1) b
1
_
_
Solution (Cond):

0
=
_
_
y(1)
1
N 1
N
t=1
y(t) y(1)
_
_
_
b
0
b
1
_
_
=
_
_
e(1)
1
N 1
N
t=2
e(t) e(1)
_
_
Solution (Cond):
The estimation error is

0
=
_
_
e(1)
1
N 1
N
t=2
e(t) e(1)
_
_
The covariance E(
0
)(
0
)
T
of estimate is then
cov() =
_
_
Ee(1)
2
E
_
N
t=2
e(t)
N1
e(1)
_
e(1)
E
_
N
t=2
e(t)
N1
e(1)
_
e(1) E
_
N
t=2
e(t)
N1
e(1)
_
2
_
_
=
_
_
2
_
N1
(N1)
2
1
_
_
_
Solution (Cond):
The estimation error is

0
=
_
_
e(1)
1
N 1
N
t=2
e(t) e(1)
_
_
The covariance E(
0
)(
0
)
T
of estimate is then
cov() =
_
_
Ee(1)
2
E
_
N
t=2
e(t)
N1
e(1)
_
e(1)
E
_
N
t=2
e(t)
N1
e(1)
_
e(1) E
_
N
t=2
e(t)
N1
e(1)
_
2
_
_
=
_
_
2
N
N1
_
_
=
2
_
_
1 1
1
N
N1
_
_
Solution (Cond):
To conclude with the unit step input signal LS estimate is
=
_
_
b
0
b
1
_
_
=
_
_
y(1)
1
N 1
N
t=1
y(t) y(1)
_
_
Solution (Cond):
=
_
_
b
0
b
1
_
_
=
_
_
y(1)
1
N 1
N
t=1
y(t) y(1)
_
_
The covariance of such estimate looks as
E(
0
)(
0
)
T
=
2
_
_
1 1
1
N
N1
_
_
Solution (Cond):
=
_
_
b
0
b
1
_
_
=
_
_
y(1)
1
N 1
N
t=1
y(t) y(1)
_
_
The covariance of such estimate looks as
E(
0
)(
0
)
T
=
2
_
_
1 1
1
N
N1
_
_
As a number of measured data increases N
E(
0
)(
0
)
T
_
_
1 1
1 1
_
_
and does NOT IMPROVE!
Consider now the model
y(t) = b
0
u(t) + b
1
u(t 1) + e(t)
when the input signal is a white noise with unit variance
Eu(t)
2
= 1, Eu(t)u(s) = 0 if t = s
and when u and e are independent
Eu(t)e(s) = 0 t, s
Consider now the model
y(t) = b
0
u(t) + b
1
u(t 1) + e(t)
when the input signal is a white noise with unit variance
Eu(t)
2
= 1, Eu(t)u(s) = 0 if t = s
and when u and e are independent
Eu(t)e(s) = 0 t, s
Such assumptions imply that
Ey(t)u(t) = b
0
, Ey(t)u(t 1) = b
1
The LS estimate becomes dependent on a realization of the
stochastic variable u(t); we need to consider its mean value
E
= E
_
_
_
_
_
N
t=1
u(t)
2

N
t=2
u(t)u(t 1)
N
t=2
u(t)u(t 1)
N
t=2
u(t 1)
2
_
_
1
_
_
N
t=1
u(t)y(t)
N
t=2
u(t 1)y(t)
_
_
_
_
_
E
= E
_
_
_
_
_
_
_
_
N
_
1
N
N
t=1
u(t)
2
_
(N 1)
_
1
N1
N
t=2
u(t)u(t 1)
_
(N 1)
_
1
N1
N
t=2
u(t)u(t 1)
_
(N 1)
_
1
N1
N
t=2
u(t 1)
2
_
_
_
1
_
_
_
N
_
1
N
N
t=1
u(t)y(t)
_
(N 1)
_
1
N1
N
t=2
u(t 1)y(t)
_
_
_
_
_
_
_
_
E

_
_
N Eu(t)
2
(N 1) Eu(t)u(t 1)
(N 1) Eu(t)u(t 1) (N 1) Eu(t 1)
2
_
_
1
_
_
N Eu(t)y(t)
(N 1) Eu(t 1)y(t)
_
_
=
_
_
N 0
0 (N 1)
_
_
1
_
_
Nb
0
(N 1)b
1
_
_
=
_
_
b
0
b
1
_
_
To compute the covariance, use the formula in Theorem
cov(
0
) =
2
E ((N)
T
(N))
1
=
2
_
_
N 0
0 (N 1)
_
_
1
=
_
_
1
N
0
0
1
N1
_
_
To compute the covariance, use the formula in Theorem
cov(
0
) =
2
E ((N)
T
(N))
1
=
2
_
_
N 0
0 (N 1)
_
_
1
=
_
_
1
N
0
0
1
N1
_
_
It converges to zero!
Next Lecture / Assignments:
Next lecture (April 13, 10:00-12:00, in A206Tekn): Recursive

Least Squares, modications, continuous-time systems.
Next Lecture / Assignments:
Next lecture (April 13, 10:00-12:00, in A206Tekn): Recursive

Least Squares, modications, continuous-time systems.
Solve problems 2.5 and 2.6


Lecture 02 EAILC

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Lecture 02 EAILC

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Lecture 2: Real-Time Parameter Estimation

Least Squares and Regression Models

Estimating Parameters in Dynamical Systems

Selection of model structure (linear, nonlinear, linear in

Selection of model structure (linear, nonlinear, linear in

Design of experiments (input signal, sampling period, . . . )

Selection of model structure (linear, nonlinear, linear in

Design of experiments (input signal, sampling period, . . . )

Parameter estimation (off-line, on-line, . . . )

Selection of model structure (linear, nonlinear, linear in

Design of experiments (input signal, sampling period, . . . )

Parameter estimation (off-line, on-line, . . . )

Validation mechanism (depends on application)

Estimates should be computed in a numerically efcient

Estimates should be computed in a numerically efcient

Computed estimates (the mean value) should be close to

Estimates should be computed in a numerically efcient

Computed estimates (the mean value) should be close to

Estimates should have small variances, preferably

Estimates should be computed in a numerically efcient

Computed estimates (the mean value) should be close to

Estimates should have small variances, preferably

The algorithm, if possible, should have intuitive clear

the minimum of the function V

the minimum value is

by completing the square

e is random if it is not known in advance and could take

The mean value or expected value is

e is random if it is not known in advance and could take

The mean value or expected value is

The variance or dispersion characterizes possible

e is random if it is not known in advance and could take

The mean value or expected value is

The variance or dispersion characterizes possible

Two random variables e and f are independent if

the covariance of the estimate is

Determine LS estimates for b

Make the same investigation when u(t) is white noise with

Next lecture (April 13, 10:00-12:00, in A206Tekn): Recursive

Next lecture (April 13, 10:00-12:00, in A206Tekn): Recursive

Solve problems 2.5 and 2.6

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