Laboratory 10:

Identification by the Least-Squares Method

Problem 1.
Unknown LTI system generates the following input-output sequences

u = [ 1.5; 0.8; 1; 1.2], y = [ 1; 1.5826; 0.92661; 0.5634]

(the first value of output y is the initial condition y(0) = 1).

Assuming that these data correspond to system of order n = 1 with noise, identify the optimal
estimates ✓ˆ1 , ✓ˆ2 for the coefficients of the corresponding ARX model

y(t) = ✓1 y(k 1) + ✓2 u(k 1) + d(k).

Problem 2.
A dynamical system is described by the equation

y(k + 2) = ay(k) + u(k + 1) + d(k),

where the coefficient a is unknown and d(k) is a unknown noise.

The system starts with the initial condition y(0) = 0, y(1) = 1. Inputs applied to the system
are: u(1) = 1, u(2) = 1, u(3) = 0. Observed outputs are y(2) = 3.77, y(3) = 1.35, y(4) = 6.8.

Problem 3.
Linear discrete-time system has the dynamics

y(k + 2) = au(k + 1) + bu(k) + d(k).

Here u(k) is the control input, d(k) is the random noise, and the coefficients a, b are unknown.
The initial condition of the system is y(0) = 0, y(1) = 0. Applying sequence of inputs u(0) =
1, u(1) = 1, u(2) = 2, u(3) = 3 we observe the outputs y(2) = 1.862, y(3) = 4.681, y(4) =
0.692.
Find the optimal estimates of the parameters â, b̂.

1
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