L8 Lse Alg 2

Least Square Estimation II
Chapter 30
Least Square Method for Estimation of
Phasors -II
S. A. Soman
Department of Electrical Engineering,

IIT Bombay
S. A. Soman Department of Electrical Engineering, IIT Bombay Chapter 30 Least Square Method for Estimation of Phasors -II
Outline
Overview
Least Square Estimation II Three Sample Technique
Least Square Estimation
Comparison betwwen 2- and 3-sample techniques
Outline
Overview
Three sample technique
Least square estimation
3-sample moving window
Comparison between 2- and 3-sample techniques
Conclusions
Outline
Overview
Overview
Two sample technique utilizes minimum number of

measurements to estimate the phasor (Vm , φv ).
Presence of noise in any measurement is unavoidable.
Effect of noise in phasor estimation can be minimized if
redundant measurements exist.
Three sample technique has a redundancy of 1.5
Outline
Overview
Three Sample Technique

For a voltage signal, consider three most recent samples
given as follows:
vk = Vm sin(ωtk + φv ) (1)
vk −1 = Vm sin(ωtk −1 + φv ) (2)
vk −2 = Vm sin(ωtk −2 + φv ) (3)
Replacing ωt by θ and expanding the RHS, we get
vk = Vm sin θk cosφv + Vm cos θk sin φv (4)
vk −1 = Vm sin θk −1 cos φv + Vm cos θk −1 sin φv (5)

vk −2 = Vm sin θk −2 cos φv + Vm cos θk −2 sin φv (6)
Outline
Overview
Three Sample Technique ....contd
   
vk sin θk cos θk
 vk −1  =  sin θk −1 cos θk −1  Vm cos φv (7)
Vm sin φv
vk −2 sin θk −2 cos θk −2
Since the real life signals always contain noise , more

appropriate system model would be as given by
     
vk sin θk cos θk ek
 vk −1  =  sin θk −1 cos θk −1  Vm cos φv + ek −1 
Vm sin φv
vk −2 sin θk −2 cos θk −2 ek −2
(8)
Outline
Overview
Three Sample Technique ....contd
In matrix form, the eqn (8) can be written as
b = Ax + e (9)
The ‘Least Square Estimation’ is used for estimating the

unknowns in the presence of redundancies.
Outline
Overview
Consider the following linear system of equation:
3x1 + 2x2 = 1 (10)
2x1 + 3x2 = 3 (11)

5x1 + 5x2 = 5 (12)
The above system of equations is inconsistent. When a
linear system of equations is given in matrix format Ax = b,
where A is a full column rank matrix then system of
equations will be consistent, if and only if
rank (A) = rank (A, b) (13)
Outline
Overview
Least Square Estimation....contd
The inconsistency in the above measurement is due to

noise.
The noise has to be estimated and then subsequently
eliminated.
This can not be done in the framework of linear system
of equation.
The ‘Least Square method’ is used for this purpose.
Our aim is to find a vector such that Ax is nearest to b.
We define a residual vector r such that r = b − Ax.
The Eucledean length of the vector sqrt(r12 + r22 + ..... + rm2 )
represents closeness of Ax to b.
Outline
Overview
Least Square Estimation ....contd
Our estimate will be more accurate as residual vector r

becomes smaller.
In other words, our aim is to minimize residual vector r .
Minimization of length of residual vector is equivalent to
minimization of square of residual vectors.
Least square problem is defined as
1 r 2 + r22 + ... + rm2 1

φ(x) = min r T r = 1 = (b − Ax)T (b − Ax)
2 2 2
(14)
1 T T
φ(x) = x A Ax − bT Ax + bT b (15)
2
Solving the above will give optimal value of estimate x ∗ .
Outline
Overview
For system of equation given by (10)-(12), using least square

method, we have

1 T 38 37
φ(x) = min [x ] [x] − 34 36 [x] + 35 (16)
2 37 38
1
φ(x) = min (38x12 + 38x22 = 2 × 37x1 x2 ) − (34x1 + 36x2 ) (17)
2
φ(x) = 19x12 + 19x22 + 37x1 x2 − 34x1 − 36x2 (18)
Outline
Overview
For determining minimum of φ(x), partial derivatives of the

function with respect to x1 and x2 must be equated to zero.
∂φ
= 38x1∗ + 37x2∗ − 34 = 0 (19)
∂x1
∂φ
= 38x2∗ + 37x1∗ − 36 = 0 (20)
∂x2
Solving above system of equation results in
x1∗ = −0.5333 and x2∗ = 1.4667
Outline
Overview
Least Square Estimation ...contd

In generalized form, the least square method can be
presented as
b = Ax + e (21)
where b is m × 1 vector, A is m × n matrix.
The number of unknown n is less than number of knowns
m.
1
φ(x) = (b − Ax)T (b − Ax) (22)
2
The gradient of this function is
∇φ(x) = AT Ax − AT b (23)
Setting the gradient to zero and by positive definiteness of

AT A, we can claim optimal x ∗ exists.
Outline
Overview
3-sample Moving Window
In analogy with the solution of least square problem for the

linear system of equation, we can estimate the voltage
magnitude and phasor in electrical system as
" Pk Pk #
2
j=k −2 sin θ j j=k −2 sin θ j cos θ j Vm cos φv
Pk Pk 2
j=k −2 sin θj cos θj j=k −2 cos θj
Vm sin φv
" P #
k
sin θ j .v j
= Pkj=k −2 (24)
j=k −2 cos θj .vj
Outline
Overview
Comparison between 2- and 3-sample techniques

For a signal V (t) = 10 sin(2πft + 300 ) + E ∗ randn, ts = 5msec
and t0 = 0sec. Result of estimation by 2- and 3-sample
technique.
Two Sample Technique Three Sample Technique
Randn Mean Standard Randn Mean Standard
multipl(E) deviation multipl(E) deviation
0.1 10.0069 0.1596 0.1 10.0061 0.0927
0.5 10.0596 0.7991 0.5 10.0387 0.4641
1.0 10.1824 1.5938 1.0 10.0982 0.9287
1.5 10.3707 2.3683 1.5 10.1780 1.3927
2.0 10.6346 3.0919 2.0 10.2781 1.8547
2.5 10.9825 3.7529 2.5 10.3985 2.3130
3.0 11.4055 4.3830 3.0 10.5400 2.7638
Outline
Overview
Conclusions
Two sample technique does not have redundancy.

Three sample technique has a redundancy of 1.5.
Three sample technique estimates phasors better than
two sample technique.
Outline
Overview
Thank you

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Least Square Estimation II

Department of Electrical Engineering,

Two sample technique utilizes minimum number of

Three Sample Technique

vk = Vm sin θk cosφv + Vm cos θk sin φv (4)

vk −1 = Vm sin θk −1 cos φv + Vm cos θk −1 sin φv (5)

Three Sample Technique ....contd

Since the real life signals always contain noise , more

Three Sample Technique ....contd

In matrix form, the eqn (8) can be written as

The ‘Least Square Estimation’ is used for estimating the

Least Square Estimation

Consider the following linear system of equation:

3x1 + 2x2 = 1 (10)

2x1 + 3x2 = 3 (11)

rank (A) = rank (A, b) (13)

Least Square Estimation....contd

The inconsistency in the above measurement is due to

Least Square Estimation ....contd

Our estimate will be more accurate as residual vector r

1 r 2 + r22 + ... + rm2 1

Least Square Estimation ....contd

For system of equation given by (10)-(12), using least square

Least Square Estimation ....contd

For determining minimum of φ(x), partial derivatives of the

Least Square Estimation ...contd

Setting the gradient to zero and by positive definiteness of

3-sample Moving Window

In analogy with the solution of least square problem for the

Comparison between 2- and 3-sample techniques

Two sample technique does not have redundancy.

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