2007硕士生系统辨识考题.pdfVIP

Æ 1 (A ) 1 2 3 4 5 6 1. (20 points) ℄ ARX y (t) + ay (t − 1) = bu(t) + v (t), {u(t)} {y (t)} ℄ {v (t)} σ2 ℄ y (t) = ϕT (t)θ + v (t). • ϕ(t) ℄ θ = [a, b]T ℄ • t ≤ 0 y (t) = 0, u(t) = 0, v (t) = 0, L,  y (1)   y (2)    Y := ∈ RL ,   L . .  .  y (L) Y L = HLθ + V L . θ ℄ ˆ = (HT H )−1HT Y . θLS L L L L θ ℄ HL ℄ V L ℄ 0 ÆÆ Æ 2007 11 2 Æ2007-2008 1 Æ 2 2. (15 points) ℄ (FIR) y (t) = bu(t) + v (t), {u(t)} {y (t)} ℄ {v (t)} σ2 ℄ b ℄ ( L). 3. (15 points) ℄ • (A + BΛC)−1 = A−1 − A−1B (Λ−1 + CA−1B)−1CA−1 , A ∈ Rn ×n Λ ∈ Rm ×m B ∈ Rn ×m C ∈ Rm ×n −1 −1 T n • Æ P (t) = P (t − 1) + ϕ(t)ϕ (t) ℄ ϕ(t) ∈ R , Æ 3 4. (20 points) ℄ CARARMA D (z) A(z)y (t) = B (z)u(t) + v (t) C (z) ℄ y (t) = ϕT (t)θ + v (t), 0 ϕ (t) θ ℄ z−1 ℄ 0 A(z) = 1 + a z−1 + b z−2 + + a z−na ,