DYNAMIC SYSTEM IDENTIFICATION (Prof. M.

Scandella)
December exam - 23 January 2019
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Exercise 1
Consider the discrete system with the following impulse response movement:
𝑡 0 1 2 3 4 5 6 7 8 9 …
𝑢(𝑡) 1 0 0 0 0 0 0 0 0 0 …
𝑦(𝑡) 0 0.1 −0.2 0.3 0 0 0 0 0 0 …

Where all the samples with 𝑡 > 9 or 𝑡 < 1 are all equal to 0 and the sampling period is 0.1 𝑠.
a) Write the transfer function and the recursive form of the system.
b) Classify the system.
c) Compute the output movement with the input 𝑢(𝑡) = 1, ∀𝑡 ≥ 0 and 𝑦(𝑡) = 0, ∀𝑡 < 0.
d) Compute the asymptotic movement with the input 𝑢(𝑡) = cos(0.1𝑡).

REMARK: This is not a measurement. The reported movement is without noise. You can think about what type of
process generates the impulse response reported.

1
Exercise 2
Consider the following stochastic process:
1
𝑦(𝑡) = 𝜂(𝑡) + 3𝜂(𝑡 − 1) + 𝑦(𝑡 − 2) 𝜂(𝑡) ∼ 𝑊𝑁(𝛼, 1)
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Where 𝛼 ∈ ℝ.
a) State the set of values of 𝛼 such that the process 𝑦(𝑡) is stationary.
b) Determine the value of 𝛼 such that 𝑦(𝑡) has mean 1.
c) With 𝛼 = 2, compute the variance of the process 𝑦(𝑡).
d) With 𝛼 = −2, compute the spectral density function.
e) Draw an approximation of the spectral density function.

2
Exercise 3
Consider the following dynamical system:
𝑥1 (𝑡) 𝑢(𝑡)
𝑥1 (𝑡 + 1) = +
10 5
3𝑥1 (𝑡) 2𝑥2 (𝑡) 6𝑢(𝑡)
𝑥2 (𝑡 + 1) = + +
5 5 5
𝑥2 (𝑡)
{ 𝑦(𝑡) =
2
a) Is the system unstable, stable or asymptotical stable? Why?
b) Is the system observable? Why?
c) Write the transfer function and the recursive equation of the system.
Consider now the stationary stochastic process:
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𝜂(𝑡) = 𝑒(𝑡) + 𝑒(𝑡 − 1) 𝑒(𝑡) ∼ 𝑊𝑁(0,1)
5
d) Compute the optimal 1-step Kolmogorov-Wiener predictor for the stochastic process:
1
𝑤(𝑡) = 𝑦(𝑡) + 𝜂(𝑡)
𝐴(𝑧)
where 𝐴(𝑧) is the denominator of the cost function obtained in the point c (taken with the negative exponents
of z).
e) Compute the variance of the prediction error.

3
Exercise 4
Assume to have at your disposal an infinite amount of sample taken from the following stochastic process:
1
𝑦(𝑡) = 𝑒(𝑡) + 𝑒(𝑡 − 2) 𝑒(𝑡) ∼ 𝑊𝑁(0,1)
2
Consider now the following classes of models:
ℳ1 ∶ 𝑦(𝑡) = 𝜂1 (𝑡) + 𝑎𝑦(𝑡 − 1) 𝜂1 ∼ 𝑊𝑁(0, 𝜆12 )
ℳ2 ∶ 𝑦(𝑡) = 𝜂2 (𝑡) + 𝑎1 𝑦(𝑡 − 1) + 𝑎2 𝑦(𝑡 − 2) 𝜂2 ∼ 𝑊𝑁(0, 𝜆22 )
a) Identify the parameters 𝑎 and 𝜆12 of the family ℳ1.
b) Identify the parameters 𝑎1 , 𝑎2 and 𝜆22 of the family ℳ2 .

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Question 1
Explain the concepts of correctness and consistency of an estimator and state their importance.

5
Question 2
Explain what a state observer is and do a brief overview of the different types of observers that you know and their properties.