Professional Documents
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Giao Trinh Nhan Dang He Thong
Giao Trinh Nhan Dang He Thong
NHN DNG
H THNG IU KHIN
(IN LN TH HAI, C SA I V B
SUNG)
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.
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.
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
Nhp mn
1.1
w
Hnh 1.1: iu khin theo nguyn tc
phn hi u ra.
B iu
khin
u i tng
iu khin
y(t)
v th hai l lc cn tr s thay i tc
2
dt
Fgt = m d
d2 y
dt
+d
dy
=u
dt
trong k = 1 v T=
d
10
m
d
G(s) =
k
s(1 + Ts )
(1.1a)
y(t)
h(t)
k
1,5
1
0,5
t
0,5
2,5
t
a
k
(1 + T1 s)(1 + T2 s)
(1.1b)
11
nh ngha
Lp m hnh thch hp
M
u ( t )
r
u(t)=
v s tn hiu ra
y1 ( t )
y(t ) = M
y (t)
s
ca m hnh tha mn
(1.2)
dx
dt
= A(t)x + B(t)u
y=
C(t)x + D(t)u
x1 ( t )
= M v
x (t)
n
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.
I.2.
1 + b1s + L + bnb s
nb
(1.4)
1 + b1 z 1 + L + bnb z nb
1 + a1 z1 + L + ana z na
(1.5)
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
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)
1
T 2T
lim
[ y( t ) y M ( t )]
dt
min!,
(1.9c)
k =
b) Q =
N
1
[y( kTa ) y M ( kTa )]2
N 2N + 1 k= N
lim
min!,
(1.9d)
17
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)
e( t ) dt
2
min!,
(1.10a)
e( t )
dt
1
2
E( j )
1
2
E( j )
min!.
(1.10b)
1
T 2T
lim
e( t )
dt = lim
T 4
E( j )
dt
min!,
(1.10c)
(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
20
1
2
E( j )
min!.
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
(1.11)
F ( x, t )
t
22
(1.12a)
nF
x1 L xn
(1.12b)
2) Hm t tng quan:
(1.14)
4) Gi tr tn mt:
x2 ( t )
= rx(t, t).
(1.16)
5) Hm h tng quan:
23
(1.17)
cxy(t1, t2)
= [(x m x ( t1 )) (y m y ( t1 )) f ( x, y, t1 , t2 )]dxdy
(1.18)
(1.19)
(1.20)
(1.21)
(1.22)
(1.23)
(1.24)
(1.25)
e)
x2 ( t )
= rx(0)
m 2x
m 2x .
= hng s =:
x2 .
(1.26)
(1.27)
C th thy ngay c rng, vi hai qu trnh cng nhau dng x(t), y(t)
c:
24
(1.28)
lim
b) rx () =
1
2T
lim
x( t )dt .
(1.29)
1
2T
x( t )x( t + )dt .
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() =
25
i
Cm
,
i=0,1, K , m. Bi vy
N= Cmi = 2m
i =0
26
(1.36)
Nh vy i lng
~
H1
p( xi ) log 2 p( xi )
(1.37)
i =1
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
H2 = p( xi ) ln p( xi )
(1.38)
(1.39)
i =1
27
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
29
1(t) =
d t
h( t )u( )d
dt 0
dh( t )
dt
(2.1)
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.
(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)
31
32
Hm m rng dirac
1= 0.
33
x(t)
Hnh 2.2: Hm l nh x t D vo
(t)
R
x(0)
(2.2)
34
( t ) x( t )dt = ( t ) x( t + )dt
(2.3a)
2)
3)
( at ) x( t )dt =
1
a
t
a
hay (at)=
( t ) x dt
(2.3b)
1
a
(t)
(2.3c)
(t) cn
(2.4)
k(t) =
tc l
(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
k =
k =
(2.6)
sa(t) = ( t kTa ) ,
(2.7)
k =
(2.8)
nh Fourier ca hm m rng
36
1
2
[x(t00)+ x(t0+0)]
X(j) = x( t )e jt dt
(2.9a)
1
2
X ( j )e
jt
(2.9b)
Xa(j)
x( t ) ( t kTa ) e jt dt
k =
= xa ( t )e jt dt =
= x( t ) ( t kTa )e jt dt ,
k =
x( kTa ) ( t kTa )e jt dt
k =
44424443
1
e jkTa
= xk e jkTa .
(2.10)
k =
37
2.1.4
(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
(t) =
1
2
j t
d .
Nhng v
e jt = cos(t ) j sin(t )
sin(t)d =0
(t) =
1
2
cos( t )d .
(2.12)
(t) = lim
1
a 2
cos( t )d = alim
38
sin( t )
2 t a
Sa(j) = a ( n a )
n =
Sa(j)
Chng minh:
Cng li xut pht t cng thc nh ngha ton t Fourier th
Sa(j) = e jnTa
n =
(2.14)
n =
1
sin( N + ) Ta
2
= lim
Ta
N
sin
2
sin( N + )Ta
Ta
= lim
Ta
N
Ta
sin
14444244443
2
(Ta )
lim
Ta 0
Ta
Ta
sin
39
1
2
X ( j )Y [ j( )]d ,
1
2
X ( j )Sa [ j( )]d .
(2.15)
=
1
Ta
1
2
2
X ( j )
Ta
n =
n a ) d
X ( j ) ( n a )d
n =
1444442444443
X [ j( n a )]
1
Ta
X [ j( n a )] .
(2.16)
n =
40
2.1.5
a)
Xa(j)
b)
Hnh 2.5:
X ( j ) +
X [ j( n a )]
n =
n0
144424443
X [ j( n a )] = 0
n =
n0
1 a < 1 a .
2
a
2
(2.17a)
th c (2.17a) ta ch cn chn
2
a
1
X ( j )
Ta
khi
1 a < 1 a .
2
(2.17b)
41
2
a
a
2
, th vi chu k trch mu
(2.18)
a)
b)
Xa(j)
2.1.6
= xk e jkTa
(2.19)
k =
42
x(t) a
xa(t) a
x ( t ) khi 0 t < T
~
xa ( t ) = a
khi t [0 , T )
0
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
= xk e jkTa ,
(2.22)
k=0
43
T
Ta
ca
~
x a ( t ) ch
~
X a ( j ) ,
1
2
W ( j ) X a [ j( )]d
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
2) w*( T ) = 1,
2
1 khi 0 t < T
0 khi t [0, 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 )
d) Hanning w3(t) =
( 2t T )
e) Hamming w4(t) =
2 (2t T )
( 2t 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
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
(2.24)
T
Ta
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 ( )
x ( t ) khi t [0, T )
xTa ( t ) = a
0 khi t [0, T )
xTa (t )
l dy hu hn
xTa (t ) ={x0,
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 =
a= 2 =N
Ta
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
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
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)
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.
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 )
~
Ta X a ( j )
c xem nh l kt qu gn ng
X(j) Ta X~ a ( j ) = Ta
k=0
xk wk e jkTa
~
N
cc gi tr ri rc
~
X a ( jn ) ,
n=0,1, K ,
~
N 1
~
X a ( j )
m thay
ca n vi l
N 1
k=0
~
xk e jnkTa
n=0,1, K ,
~
N 1
(2.27)
trong mt chu k l v s l c
~
N
gi tr ca
~
X a ( jn )
= ~a
(2.28)
~
N
v vi
50
vi
pN,
~
NTa = NTa = T
DFT s l
~
X a ( jn )
N 1
k=0
~
xk e
2
nk
N
n=0,1, K , N1
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
P0 ( q0n ) .
q0N
N 1
= 1 v
k=0
q0nk
b) nu N=2m vi mN th
= 0; nZ.
q0n = q0n + m
q02 ;
m ca ng trn n v.
Chng minh:
Do
q0N = e j 2
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
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)
(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)
q1 = q02
~
X a ( jn )
chnh l
(2.34a)
(2.34c)
v
(
lL
PKb1 ( ql +1 ) , ql +1 = ql2
c bc L1. Nhng gi tr
PKb ( qln ) ,
ca cc a thc
PKb ( qln + L )
(2.35a)
n=0, K ,L1
(2.35b)
PKb0 ( q np ) , PKb1 ( q np ) ,
n=0, 1 ca
2 p1 a
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
~
X a ( jn )
gim
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
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,
~
X a ( jn ) ,
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
~
xk
57
2
Ta
trong phi l s
xkwi(kTa)
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
N 1
k=0
~
xk e
2
nk
N
n=0,1, K , N1,
X(j) = x( t )e jt dt
(2.36)
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 '
1
2
X ( j ' )
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)
1
NTa
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
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
Su() = ru ( t )e jt dt
Suy(j) = ruy ( t )e jt dt
(2.40)
63
T
Ta
~( 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
1
2T
1
T
nm bn cht khi
~
ru ( ) v ~
ruy ( ) xc
nh theo (2.41) s ng
~( 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)
T
Ta
. Nu p dng k
1
N
1
N
N 1
(2.42a)
u~k u~k + m
k=0
N 1
u~k ~yk + m
k=0
~ = ~
u
yk =
k
~
~
u
k + m = yk + m =
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
~
ru ( mTa ) , ~
ruy ( mTa )
mt cch chnh
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
0,
~
ruy ( mTa ) = ~
ryu ( 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)
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
~
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 ,
~
ru ( mTa ) , ~
ruy ( mTa ) tnh
c ch c
~
yk + m
mTa
~ , ~
Thnh phn u
k yk
tham gia vo cng thc
tnh hm tng quan
|m|M
vi
( 2 N 1)
20
( 2 N 1) ,
5
67
~ ,
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
~
ruy ( mTa ) ,
69
2.2.2
Nhn dng mt ph
~
Su ( ) =
~ru ( )e
~
Suy ( j ) =
~ruy ( )e
(2.40)
~
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
~
~
Su ( ) , Suy ( j ) trong
~
ru ( mTa ) , ~
ruy ( mTa )
c vo vic tnh mt
|m|M.
(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
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
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
72
~
ru ( mTa ) , ~
ruy ( mTa ) ,
~
~
Su ( n ) , Suy ( jn ) ,
~
~
Su ( n ) , Suy ( jn )
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 )
~
ru ( mTa ) ,
theo cng thc bias (2.45), (2.46) hoc unbias (2.47), (2.48).
~ ,
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
}
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
u(t)
i tng
y0(t)
y(t)
Quan st tn hiu
(trch mu)
uk
M hnh
{gk}
K hiu
ykM
ykM
yk
ek
k =
k =
Q = ek 2 =
yk
g n uk n
n =
=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 =
g u u
n
p p+ n l
n =
p =
u q yq + l =
q =
~
~
Suy ( jn ) =G(jn ) Su ( n )
~
Suy ( jn )
G(jn ) = ~
,
Su ( n )
trong =
2
Ta
(2.52)
~
~
Su ( n ) , Suy ( jn ) ,
n = 0,1, K ,1 t nhng
2
Ta
77
G[0]=G(0),
G[1]=G(j ),
~
~
Su ( n ) , Suy ( jn )
G(s) =
2,5
(1 + 1,6 s)(1 + 0,55 s)
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
79
2.3.2
2
Ta
k=0
x( kTa )e
jkn
2
N
vi =
2
NTa
s khng c hiu
k=0
x( kTa )e
jkn
2
N
vi =
2
NTa
s cho ra kt qu
80
ruy(mTa)
1
p
N m 1
uk yk + m , m = N+1,K,1,0,1, K , N1
k=0
trong p =
~
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
~
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 ) .
2
Ta
81
N 1
Suy(jn) = Ta
m=0
vi =
2
NTa
ruy ( mTa )e
jmn
2
N
trong p =
N 1
Ua(jn) =
k=0
uk e
jkn
2
N
N 1
Ya(jn) =
k=0
yk e
jkn
2
N
82
b0 + b1 s + L + bnb s nb
a0 + a1 s + L + ana s na
na nb
ana thuc
bnb ,
a0 , a1 , K
R cho (3.1).
bnb
, a0 , a1 , K , ana R ca m hnh
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 )
s( b1 + b2 s + L + bnb s nb 1 )
a0 + a1 s + L + ana s na
G(s) = k
~
~
1 + b1 s + L + bnb s nb
~ s+L+ a
~ s na
1+ a
1
na
lim sX ( s)
(3.2a)
lim sX ( s)
(3.2b)
s 0
3) L{ dx } = sX(s) x(+0)
dt
84
(3.2c)
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.
h3(t)
t
h(t)
h2(t)
h1(t)
h3(t)
h(t)
h3(t)
h2(t)
k
h1(t)
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
+ 15t 2 42t + 6
6et
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.
b0
a0
=1.
h(t)
G(s) =
1,5
1
Tt
>1
Tm
(1 + 2s)3
(1 + s)4
0,5
t
1
h(t)
Tt
>1
Tm
1 + Tt s
1 + Tm s
ca n nh sau:
Tt > Tm
Tt < Tm
G(s) = k
(3.2)
(1 + T1 s )(1 + T2 s ) L (1 + Tn' a s)
>
K,
Tna nb 1 >
T1'
(3.3)
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
87
G(s) = (1 + 2s)4
(1 + s)
d
h(t ) =0
dt
18 t 2 + 72t 48
6et
ti
h(t)
(1 + 2s)3
(1 + s)4
88
t
0,8
4,6
12
1
1 + 2 Ds + s 2
D < 1.
1
[ D sin( at ) + a cos( at )]e Dt ,
a
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
k
(1 + T1 s)(1 + T2 s)
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.
t
T
k
1 + Ts
ks
s 1 + Ts
k
T
c:
h(t) = k(1 e
t
T
v nh vy ti thi im T th:
h(T) = k(1e1) 0,632k
(3.5)
y( )
u0
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
y(t )
10
c
y() = 500
k =h() = 50
T 14
Vy m hnh ca l in tr l:
G(s) =
3.1.3
50
1 + 14 s
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
lim
b0 + b1 s + L + bnb s nb
s( a1 + a2 s + L + ana s na 1 )
k = h
t
h
t
k
s(1 + Ts )
(3.6)
94
k
s(1 + Ts) n
(3.7)
dt
s0
h
t
= G( s )
s
h(t) =
k[t T (1 e
t
T
)]
t
T
0 nn m hnh ng tim cn
h
t
95
0,5
1,5
2,5
3,5
4,5
cm
V 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
1
1
1,5
2,5
k
s(1 + Ts ) n
u0 k
2
s (1 + Ts ) n
(3.8)
Y(s) = u0 k
n ( n + 1 i )T 2
nT
+
i
s
i =1 (1 + Ts )
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
Ttc
97
y
u0 t
(3.9)
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
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:
99
y
u0 t
yT
u0 kTtc
Ttc
n
Ta
gk ,
k=0
1,0
0,8 1
y
u0 t
= 4 v
yT
u0 kTtc
= 0,266.
0,8
2
= 0,4.
101
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)
h(Tu)
Hnh 3.18: Hm qu ca khu
PT2 v PTn.
102
t
0
Tu
h(t)
k
im un
h(Tu)
Tu
a
103
b=
k
v*
(3.14)
a = Tu h(Tu ) = Tu h(Tu )
tg
(3.15)
v*
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)
dh(Tu )
dt
= k
T1
T2
T
1
T2
T1 T2
(3.20)
(3.21)
Do nu ta k hiu
x=
T2
T1
(3.22)
= 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)
Tm x tha mn 0<x<1 t
a
b
= f21 a
b
Tm T1 t x theo (3.23), tc l T1 =
b
f1 ( x )
x ln x + x 2 1
1 =0,103648
lim f2 ( x ) = lim x 1 x
x 1
x 1
x 1
khong
105
(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
a
b
f21
a
.
b
5) Tm T1 t x theo (3.23), tc l T1 =
b
f1 ( x )
cha gi tr u vo l t s
105.
a
b
v tr v gi tr x tnh c vi chnh xc
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.
y( t )
u0
(3.26)
y( )
u0
a
b
. Nu
a
b
5) Tm T1 t x theo (3.23), tc l T1 =
b
f1 ( x )
107
a = 0,1
b = 1,15.
Suy ra
a
b
y(t)
2,5
p sut u(t)
t
0,1
1,25
Vy T1 =
b
f1 ( x )
bin l:
G(s) =
1,7
(1 + 0,6638 s)(1 + 0,2214 s)
a
b
theo
a
b
phi tha mn
109
= 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)
( 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)
( n 2)!
( n 1) n 2
e 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)
a
f31 .
b
b( n 1) n 2
e n 1 ( n 2)!
(3.36)
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
a
b
a
b
| nh nht.
a
b
a
b
= 4,75 hm s tr
112
y( )
u0
a
b
. Nu
a
b
113
Hnh 3.21: Hm qu ca i
tng trong v d 3.
t
0
1,7
2,9
(1 + 0,4658 s)7
114
G(s) =
1 + Tt s
1 + Tm s
Tt < Tm
h(t)
h()
h(0)
t
Tm1
Tt1
1 + Tt s
1 + Tm s
Tt > Tm
(3.38)
115
h(t)
h(0)
h()
t
Tt1
Tm1
kTt
y(0) = u0
Tm
Tm
t
Tm
116
y( )
1
lim y( t ) =
u0
u0 t
(3.39)
k(1 + Tt s)
s(1 + Tm s)
(3.40)
cho nn
y(0) = lim sY ( s) = u0
s
kTt
Tm
(3.41)
dt
trong
Y& ( s)
l k hiu ch nh Laplace ca
dy( t )
dt
. Vi (3.40), (3.41) v
Tm
Suy ra
tg =
u0 k u0
Tm
kTt
Tm
y( ) y(0 )
Tm
y(0 )Tm
u0 k
(3.42)
117
a
nh
b
hnh 3.25 m t.
y(t)
B
y()
b
Tm
y(0)
t
a
(3.43)
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)
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
AB ln
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
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
h
Hnh 3.27: Hm qu ca i tng dao
ng bc hai.
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)
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
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
t
T1
T2
T3
Do
D
2
1 D
1 D2
2
1 D
= k1 + exp
(3.48)
D
2
1 D
h = hmax h = k exp
(3.49)
D
2
1 D
h
k
= exp
D=
1+
(3.50)
2
ln 2
h
k
q 1 D
q=
T1 1 D 2
(3.51)
D=
1+
ln 2
q=
, trong y = ymax y
(3.52b)
y
y
T1 1 D 2
122
(3.52a)
(3.53c)
y
u0
t
T1=2.6
123
D =0,165161
q =1,22513
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
124
b0 + b1 s + L + bnb s nb
a0 + a1 s + L + ana s na
na nb
(3.54)
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
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 =
(3.56)
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
=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
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
1
d jj
y d x
j
ij i
i = j +1
>0
cii > 0
(.p.c.m).
127
d21
M
d
n1
0
d22
M
dn 2
L 0
L 0
O
M
L dnn
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
cjj = d 2jj +
q =1
d jq
djj =
c jj
j 1
q =1
d jq
(3.59)
q =1
dij =
1
d jj
c d d
ij q =1 iq jq
j 1
(3.60)
c jj
j 1
q =1
d jq
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
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
129
}
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
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
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 ,
T
Ta
, T l khong thi
GM(s) =
b0 + b1 s + L + bnb s nb
1 + a1 s + L + ana s na
, (na nb).
(3.61)
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)
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
~
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)
k =U H g
(3.67)
[ 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
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)
~
M =2M,
2
Ta
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,
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
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
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
L =(lnk)
2
Ta
~
~
Su ( n ) , Suy ( n ) ,
n=0,1, K ,2M vi M l ch
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
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
b0 + b1 s
1 + a1 s + a2 s 2
b0 =2 , b1 =0,5 , a1 = 0,8 v a2 = 2.
na
nb
G( jn ) bi ( jn )i G( jn ) ai ( jn ) i
i =1
i = 0
1+
na
ai ( jn )i
i =1
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.
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)
W ( k 1 ) g W ( k 1 ) U xk
(3.76)
Q = ~en 2 =
H
~
e ~
e
n=0
) (
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
ai( k 1) ,
i=1, K ,
na c t bc lp th k1 trc .
141
b0( 0 ) , b1( 0 ) ,
K,
K,
an( 0 )
a
b0( k ) , b1( k ) ,
K,
+ ai( k 1) ai( k )
K,
an( k ) .
a
< vi l mt s dng
a1 = a1( k) , K ,
ana = an(k ) .
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.
na+nb+1 l cc phn t ca n s c
2M
c11 = 1 +
q =1
1
wq( k 1)
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
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)
x[nb]= bn( kb 1) ,
x[nb+1]= a1( k 1) ,
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).
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
1 + b1 s + L + bnb s nb
a0 + a1 s + L + ana s na
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,
K,
an(k )
a
t dy
{ S~u ( n ) }, { S~uy ( jn ) }
cng nh t
ai( k 1) ,
i=0, K , na , trong
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
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 .
kq 2
2
s + 2qDs + q 2
, 0<D<1
1+
2
ln 2
Ai + 1
Ai
y(t)
A1
y
Hnh 3.30: Cho bi tp 1.
149
A2
t
150
4.1
t vn
4.1.1
= M ,
ana
dng tham s K, a
b1
= M
bnb
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:
v Su() =1.
K
1 + a1 z
+ L + ana z na
(4.3)
(4.4)
na
nb
k =1
k =1
ak yn k = K un + bkun k
(4.5)
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)
(4.8)
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
~
G( z ) trong
na
nb
k =1
k =1
(
min thi gian c dng
ak yn k = un + bkun k
(4.10)
na
ak yn k = un
k =1
v ca m hnh MA tng ng l
nb
yn = un + bkun k
k =1
4.2
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
k =1
gm =
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
Suy ra
K khi m = 0
(4.13)
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)
154
4.2.2
(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
(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 .
enf = yn ynf
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 )
= 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)
(r
0
1
H na 1 = M
a 0
(4.17)
156
r (0 )
r T
H na = y
r
H na 1
(4.18)
ana v
K ca m hnh AR (4.3) c xc
K
1+
na
ak e jkTa
k =1
ana ,
(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
Ma trn
a)
H na
H na
H na
H na
H nT = H na
a
. Kt hp vi
H na
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)
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)
M
a [i]
i
nh l 4.3: Nu a[i]=
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
K
J i
0i
ai [i] 0
M M
Hi
= 0
a1 [i]
1 K
(.p.c.m)
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
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
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 )
a [i] = 0i
i
r[i 1] H i 1 r r [i]
ry ( iTa ) + r T [i] ry ( 0 )
(4.23)
(4.24)
(4.25)
0 L 1
=M N M
1 L 0
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
(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)
Ki
1
= Hi
a [i]
0
1
i
i
(4.28)
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]
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)
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)
=
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
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)
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]
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] =
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
M
+
0
i 1
K i 1
ai 1 [i 1]
T
M
r [i]
ai [i 1]
ai[ i ]
K
i 1
ry ( iTa ) +
ai[ i ] =
i 1
k =1
ry ( iTa ) +
i 1
k =1
K i 1
ana [na ]
K na tnh
c s c hm a ra
K na ,
ana [na ] .
166
0
.
1 2 1 0,3333 =
3 1 2 1,6667
0
K na ,
ana [na ] .
H na
khng suy
167
H na
ana v
K ca m hnh AR trc
168
(4.37a)
(4.37b)
ynf [i]
tnh
(4.38)
k =1
i
(4.39)
k =1
M enf [i]
M enb [i]
Q=
n=i
(e [i]
f
n
+ enb [i]2
(4.40)
enf [i 1] , enb [i 1]
c quan h truy hi
a)
(4.41)
b)
(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
(4.43)
k =1
i 1
k =1
k =1
= ak [i]yn k ak [i 1]yn k
169
i 1
(4.44)
k =1
k =1
(4.45)
Q=
n=i
f
n
b
n 1
[ (
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)
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)
na :
a) Tnh
ai [i]
b) Tnh
ak [i]
c) Tnh
enf [i 1] , enb 1 [i 1]
theo (4.46).
K na ,
ana [na ] .
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
ana ca
min!,
min!,
172
ana khng
thng qua
QBurg =
n = na
[ ] + [e ] min!.
f
en
b 2
n
(4.48)
v Su() =K,
hy xc nh cc vector tham s b
(
b1
= M
bnb
ca m hnh (4.48) v K ca tn
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
nb
bn z n
n =1
1+
cn z
(4.52)
n
n =1
nb
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)
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 .
B(z) = 1 + bn z n
n =1
C(z) = 1 + cn z n
n =1
nu
n=0
nu
n0
bn*cn
Suy ra
nb
cn + bk cn k 0 vi
n 1.
(4.54)
k =1
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
bnb .
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
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
4.4.1
y(t)
AR
na
nb
i =1
i =1
179
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
na
ai ry (( k i)Ta ) = ek 0
i =1
Bi vy cc tham s a1, a2 , K ,
ana cn
ana
ry ( kTa ) ,
k = 0,1, K , M.
ana t
dy
ana l
p dng
xk = yk + ai yk i
(4.55)
i =1
ana
theo (4.55)
ana }
v Y(jk) ca {yk} vi =
2
Ta
181
ana }
sao cho
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
ana
ana .
bnb .
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
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}
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).
~ ~
~
b0 + b1 z 1 + L + bnb z nb
1 + a1 z 1 + L + an a z n a
= B( z) .
A( z )
(4.56)
vi
i= 0,1 K ,
nb
v b0=1.
(4.57)
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
~
y + a y
biuk i
k
i
k
i
k = na
i =1
i=0
Q = ek2 =
k = na
(4.59)
cho Q min.
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.
y y
TMS1
MT
+ (MT y S p ) T S 1 (MT y S p ).
= S 1 MT
(4.61)
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
p c
s chiu c nh l na+nb+1 th s
( N na + 1) ry (( i j )Ta )
nu
1 j i na
nu
na < j i na + nb + 1
( N na + 1) ru (( i j )Ta )
ki =
nu
( N na + 1) ruy (( i na 1)Ta ) nu
1 i na
na < i na + nb + 1
187
~
b0 ,
K , p[na+nb]=
~
bnb .
na
nb
i =1
i=0
(4.62)
189
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 =
~
~
b0 , K , bnb bng
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 =
(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
~
~
b0 , K , bnb .
191
~
b0 ,
K , p[na+nb]=
~
~
b0 , K , bnb
~
bnb .
ch l phn thc
192
4.5.3
mu = 0
1 + b1 z 1 + L + bnb z nb
1 + a1 z
+ L + ana z
na
=K
B( z )
A( z )
(4.65)
~ 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).
~
K ca
~ C( z )
K
F ( z)
~
y( t )
ca
~ C( z )
K
F ( z)
193
~( t ) .
u
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
B( z )
A( z )
t dy { ~yk }
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)
194
~ ~
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
~
K
t dy cc gi tr {uk}, k = 0,1, K ,
ana .
196
bnb .
K, trong
na
ynf = ak yn k
k =1
197
ana theo
1
T 2T
lim
u ( t ) y( t + )dt
a1 [i]
M
a [ i]
i
l vector nghim
198
ai [i]
M 0
Hi
= K .
a1 [i] i
1
k =1, 2, K , i1.
vi
enf [i 1] , enb [i 1]
c quan h truy hi
ana
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
ana cho
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
k=0
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
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)
5.1.2
t
T
+T
2+T
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
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)
3T
2
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
N 1
j mN Ta
2
x mN w2 ( qTa )e jqTa e
m = q = 0 q + 2
Xa(j) =
(5.4)
gim sai s r r:
~
x qm = x
q+
mN w2 ( qTa )
2
q=0,1, K ,N1
203
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
}.
= 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)
X a1 ( jn ) =
2
NTa
, nh sau:
0, n=0,1, K ,N1 v =
2
NTa
cc gi tr nhn c l { x ki }= { x iN , x iN , K ,
2
+1
x iN
2
+ N 1
}.
204
k+
iN w2 ( kTa )
2
k=0,1, K , N1
~
X ai ( jn ) = X ai1 ( jn) + X ai ( jn)e jin ,
n=0,1, K ,N1.
t [0,T)
khi
w(t) = K w( t m ) ,
m =
w( t m ) =1 vi mi t
(5.8)
m =
m =
n =
1
2
x( t m ) = X ( jn )e jn t vi = .
(5.9)
205
s(t) = ( t m )
m =
S(j) = ( n ) .
n =
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 =
W ( jn )e jn =
n =
1
K
1
W ( 0 ) + W ( jn )e jn
n =
n0
1
=
K
(5.10)
W(j)= 0
206
khi | | >
>
>
(5.11a)
(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 =
k=0
k=0
k=0
=K
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
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
T
Ta
x mD + N 1 }
o c
x mD + N 1 w(( N 1)Ta ) }.
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
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).
X a1 ( jn ) =
0, n=0,1, K , N1 v =
2
NTa
x mD + N 1 }.
k = 0,1, K , N1.
X am (
jn ) =
X am 1 (
jmnD
~
N
jn ) + X am 1 ( jn )e
, n=0,1, K ,N1.
209
x km ,
k=0,1, K ,
X am ( jn ) ,
n=0,1, K , N1.
210
~
Suy ( jn )
~
Su ( n )
N 1
~
ruy ( mTa )e
jnm
(5.13a)
m = N +1
N m 1
u~k ~yk + m ,
k=0
p =
(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
2
Ta
vi
~
U a ( jn ) l
n=0,1, K ,1
nh Fourier ca dy { u~k } v
(5.14)
~
Ya ( jn )
l nh Fourier
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
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 )
~
Suy ( jn )
~
Su ( n )
~
~
U a1 ( jn ) = Ya1 ( jn ) =
n=0,1, K , 1, trong =
2
Ta
0 cho tt c cc ch s
umD + N 1 }.
213
{ ymD , ymD +1 , K ,
ymD + N 1 }.
K ,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
~
e) Tnh
G(jn ) =
~
Suy ( jn )
~
Su ( n )
= Yam ( jn ) , n = 0,1, K , 1
U a ( jn )
214
Ni suy
215
~
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
a 1 + a 2 t + K + aNtN 1 ,
216
hnh
~
x ( t ) i
xk =x(kTa)
vi
k = 0, 1, K , N1.
(5.15)
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)
~
x(t)
t cc
gi tr o c xk , k = 0, 1 , K , N1.
5.2.2
Ni suy spline
217
+ a01t + a02t2 ,
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
218
1( t ) 1( t Ta )
Ta
(5.17a)
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
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
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
m +1
m +1
Tam +1
k=0
( 1) k
( t kTa ) m 1( t kTa )
k!( m + 1 k)!
(5.18)
Ta
f0(t)* fm1(t) = f0 ( ) f m 1 ( t )d = 1 f m 1 ( t )d
T
a 0
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
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:
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
fm(t+)
221
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)
Hm
~
fm (t)
1, , N1.
(5.20)
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)
~
x ( t ) c
~
x(t) .
~
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
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
1
~
f3 ( Ta ) =
6Ta
~
4
f3 ( 0 ) =
6Ta
~
1
f3 (Ta ) =
6Ta
~
f3 ( kTa ) 0
khi |k | >1.
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
~
x ( t ) nm
trong mt di bng no ca hm cn xc nh
x(t)<
223
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:
t
d)
~
x(t)
X(j)<
(5.23).
~
x(t)
bng k
T[xa(t)] = ~x ( t ) =
n =0
~
x ( t )
l nh x T, th do
an fm ( t nTa )
~
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
~
x ( t ) cng
nhn cc gi tr xk , k=
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)
~
Fm ( j )
(5.27)
~
Fm ( j( l a ))
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)
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)
=
Ta
1
l
a
l =
(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
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)
Ta
1
l = l a
1e
(5.33)
jTa
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)
227
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
~
X ( jn )
~
xk = ~
x ( kTb ) ,
vi = 4,9s1.
k = 0,1,
~
X ( jn )
ng vi i =2 ta c ngay c kt lun
Ngoi suy
2
Ta
xc nh
229
Cc i entropie loi 1
na
= ak xn k , k = na , K , N1
(5.36)
k =1
ana ,
H1 = ln S y ( )d
(5.37)
K
1+
na
ak e
jkTa
(5.38)
k =1
xk = ak xn k , k N
(5.39)
k =1
230
ana t
Cc i entropie loi 2
H2 = Sx ( ) ln Sx ( )d
rx(mTa) =
1
2
Sx ( )e
jmTa
(5.41)
231
Q = H2 +
N 1
m = N +1
m Sx ( )e jmTa d 2 rx ( mTa )
(5.42)
N 1
jmTa
1 + ln Sx ( ) + m e
d
m = 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)
m ( t mTa )
m = N +1
= (t) + c(t) ,
(5.45)
khi m=0:
0 = 1+c0
khi m=1:
1 = c1
232
~
S x ( n )
4) Xc nh m = cm
m=0
khi
m = 1, L ,N 1 .
khi
khi
m<0
Ta
2
X a ( j )
p
p =
vi
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
~
Sx ( n )
Lag M=N1.
233
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
1
khi t b
a exp 2
2
(t) =
t b
khi t > b
0
(5.46)
234
dm
dt
n(t)
dm
dt m
(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
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 ) ( t )dt =
(0) = 0,
nh ngha 5.5: o hm
ca hm m rng u r(t) l mt hm m
dr( t )
( t )dt
dt
r( t )
d ( t )
dt
dt
, (t)D.
(5.49)
1& ( t ) ( t )dt
= 1( t )& ( t )dt = ( t ) 0
0
= (0) =
( t ) ( t )dt
, (t)D.
236
&( t ) ( t )dt =
5.4.2
Tnh cht
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 .
r( at ) ( t )dt =
1
t
r( t ) dt ,
a
a
(t)D.
(5.50a)
(5.50b)
237
(5.50c)
d ( t )
.
dt
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 )
d ( t )
dx( 0 )
d ( t )
( t ) + x(0 )
=
.
dt
dt
dt
(5.50d)
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).
[r1 ( t ) r2 ( t )] ( t )dt = r1 ( t ) r2 ( ) ( t + )d dt
(5.51)
r2 ( ) ( t + )d
D.
r( t ) ( ) ( t + )d dt = r( t ) ( t )dt
, (t)D
(5.52a)
ni cch khc
r(t)*(t)= (t)*r(t) = r(t)
(
239
(t)D
(5.53)
R( j ) ( )d
jt dt ( )d
r( t ) e
r( t ) ( jt )dt ,
(5.54a)
(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,
R( j ) ( )d
r( t ) ( jt )dt ,
(t)D,
241
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)]
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
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
r1 ( t ) r2 ( ) ( j( t + )d dt
j ( t + )
( )d d dt
r1 ( t ) r2 ( ) e
jt dt r ( ) j d ( )d
r1 ( t ) e
2 e
243
1
2
F[r1(t)]*F[r2(t)]
(5.56)
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
(t) =
1 jt
d
e
2
1
cos(t )d
2
1 jt
e d
2
(5.57a)
(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