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42 views

Stuck in matrix maximum likelihood problem formulation - unable to understand how to solve estimation problem

I have training data $\mathbf{X}$ that consists of $N$ time series as examples where each time series $\{\mathbf{x}_i\}$ is of length $D$. The values of the elements of the times series are binary. ...
0
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1answer
15 views

Designing observer with non-observable system

I have this state-space system \begin{align} \dot{x}&=\begin{bmatrix}1 & 0\\3 & -2\end{bmatrix}x+\begin{bmatrix}10\\0 \end{bmatrix}u\\ y&=\begin{bmatrix}1 & 0\end{bmatrix}x \end{...
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0answers
11 views

Kalman Filtering and space parametrization

I am familiar with Kalman filtering given a linear (time-invariant) state space model. However, the state space parametrization is not unique. Given a controllable and observable state space model (A,...
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0answers
10 views

LTI system: solving for the time at which a system state reaches a given value

Suppose I have the following Linear Time Invariant (LTI) system: \begin{equation} \dot{x}(t) = Ax(t) + Bu(t) \end{equation} where $x(t)=\begin{bmatrix}x_1(t) & x_2(t) &\ldots &x_N(t)\end{...
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0answers
24 views

State Space equation from algebraic equation

I have very general system. I don't know whether it is electrical or mechanical or whatever. The system can be express in equation $$\dot q = \frac{Tf_1-f_2}{T+1}$$ where $\dot q$ would be equivalent ...
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2answers
82 views

Why is it necessary to have two state variables

I am learning about control theory. Let's consider this system. $$ m a(t) + b v(t) + k x(t) = f(t) $$ $a$ is acceleration $v$ is velocity $x$ is displacement $f$ is external force In my ...
4
votes
1answer
80 views

How can the order of a transfer function be derived from its equivalent state space representation?

Suppose I have a discrete state space model: \begin{align} \theta[k+1] &= A \theta[k] + B u[k]\\ y[k] &= C \theta[k] \end{align} I know that the equivalent transfer function can be found by ...
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0answers
27 views

Correct form for State Space Equation for Kalman Filter

In this paper: http://www.ssc.upenn.edu/~fdiebold/papers/paper55/DRAfinal.pdf in eqns 3,5 the state eqn has the mean removed. $(z_t-\mu)=A(z_{t-1}-\mu) + \epsilon_t$ $y_t=C z_t + \delta_t$ ...
2
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1answer
85 views

How to represent the nonlinear model as a state space in Unscented Kalman Filter

There is an Autoregressive model of order 1 (AR(1)) that is excited by a non-linear signal as the input: $$x_t = \rho x_{t-1} + u_t \tag{1}$$ The time series $u_t$ is generated from a nonlinear map, $$...
2
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0answers
64 views

Identifiability of a state space model (Dynamic Linear Model)

Take a general linear Gaussian state space model (SSM)(aka Dynamic Linear Model DLM): \begin{align} X_{t+1}&=FX_t + V_t\\ Y&=HX_t+W_t\\ V_t &\sim \mathcal N(0,Q)\\ W_t &\sim \...
5
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1answer
156 views

Expectation maximization of moving average with binary source input

I am trying to do blind system identification of a univariate linear FIR model: I am unsure if the approach is correct or not and any help to further proceed with the maximization will be great. ...
4
votes
1answer
102 views

Why eigen values and poles of a system are equivalent?

In control systems engineering, the stability of a system (modeled in the form of Transfer Function) is determined by the poles of the system in the right or left hand sides. When the model is ...
0
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1answer
82 views

Is this model nonlinear?

I have this state-space model: Is this state space model nonlinear? If it is, why is that?
0
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2answers
87 views

How to form Kalman filtering matrices for a problem with variable acceleration?

Assuming we have time vector $T$ with constant time step $dt$ position vector $X$ velocity vector $V$ acceleration vector $A$ All vectors $X, V, A$ have noise on their measurement ( $n_x$ , $n_v$ ...
1
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1answer
43 views

State Space representation

I'm trying to change this filter transfer function to state space representation $ y_t=\frac{1+b_1 z^{-1}}{1+a_1 z^{-1} +a_2 z^{-2}}u_t $ I tried writing it as time series $ y_t+a_1 y_{t-1}+...
1
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1answer
168 views

The two types of stability and “Why exponential”

When I was learning about LTI systems, I noticed that LTI system is said to be BIBO stable if and only if its square sum of impulse response is finite. This expression is found on many textbook of ...
0
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1answer
85 views

Doubt in state space representation

$y$ is scalar observations and so C will be a 1x2 matrix. I want to represent the following model as a state space representation so as to estimate the hidden states from the noisy observations $y$ ...
4
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3answers
739 views

when is a kalman filter different from a moving average?

this thread asks when a discrete-time Kalman filter is better/different from a simple moving average of the observations: http://math.stackexchange.com/questions/173901/why-use-a-kalman-filter-...
1
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1answer
235 views

kalman filter with time-varying noise?

in regular discrete-time (1 dimensional) kalman filter, it is assumed that we have white gaussian noise affecting the transitions and the observations: $x(t+1) = Ax + w$ $y(t) = Cx(t) + v$ ...
3
votes
2answers
116 views

How to intuitively understand the state space formulation of discrete time system?

The SS formulation of DT system is given by $$x[(k+1)T] = Ax(kT) + Bu(kT)$$ $$y(kT) = Cx(kT) + Du(kT)$$ Note: T is the sampling period and often omited Can someone explain to me why the state ...
3
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2answers
52 views

How to find the output signal of a filter using state space matrices?

I have a filter. It has two poles and two zeros. I found the state space equations and the matrices A, B, C, and D Now. I have 9 samples that I need to process with my filter. How do I use A,B,C,D ...
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vote
2answers
120 views

Does the system matrix being singular tell us anything about the system?

If we have a linear system, represented in State Space and the A matrix is singular (det(A) == 0), can we expect any special properties from the system?
1
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2answers
307 views

Why is my discretized transfer function unstable when my discretized state-space model is stable?

I am working with a 30-state, 14-input linear model that is described by a state-space model: model_state_space = ss(A, B, C, D); The model is extremely slow (it ...
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votes
2answers
80 views

How to find derivative of 2-D elliptical Gaussian function with different standard deviations along $x$ and $y$ directions?

I am trying to find the 2-D derivative of an elongated Gaussian density. The Gaussian has standard deviations $\sigma_x$ and $\sigma_y$. How can I get the scale-normalized 2-D Gaussian derivative in ...
0
votes
1answer
145 views

state space formulation of a sinusoidal system

Let $f=A\sin{\omega t}=x_1$ and $\dot{f}=A\omega\cos{\omega t}=\dot{x}_1=x_2$. Let the output be $y=cA\omega$, where $c=1$ is a constant. I want to represent this in a state space formulation: $\dot{...
1
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0answers
8 views

State Space model of a differential eqn. for use in Least Squares

The code in this page solves the Least Squares problem for the following dynamic model: $\dot{y}=ay+bu$ where $a$ and $b$ are constants, $u$ is an input. The code is as follow: ...
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0answers
35 views

Identifiability for Time Invariant State Space Models

Kevin Murphy's Kalman Filter toolbox (for Matlab) contains an example where it's the fact that the state space system in not identifiable causes problems. I include the example in it's entirety but ...
1
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0answers
40 views

Simulating a state space model

I want to simulate data from the following model: $\textbf{z}_k=\textbf{H}\textbf{x}_k+\textbf{v}_k$ $\textbf{v}_k \sim N(\textbf{0},\textbf{R})$ $\textbf{H}$ does not change over time $\textbf{x}$ ...
0
votes
1answer
76 views

Logarithm in state space equations

I want to linearize a system to this form $$\begin{bmatrix} \Delta\dot{x}_1\\ \Delta\dot{x}_2\\ \Delta\dot{x}_3 \end{bmatrix} = A\begin{bmatrix}\Delta x_1\\ \Delta x_2\\ \Delta x_3\end{...
0
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1answer
110 views

How to find transfer function by state space representation matrices

A state space representation is given by: $$\dot{x}= \begin{bmatrix}0 & 0 & 0 & 0\\ 1 & 0 & 0 & 0 \\ 0&0&-2&-4\\0&0&1&0\end{bmatrix}x+\begin{bmatrix} 1\\...
3
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0answers
763 views

Difference between state space and transfer function model response (in Simulink)

Why I get a different response from the same system (e.g. three phase inverter with LC filter) in state space form and in transfer function (Laplace) form when using the same PI controller values ($...
6
votes
1answer
87 views

Can a state space model have changing state size over time?

I have worked with state space models in relation to Kalman estimation. Here I have always seen state space models with fixed state size over time, i.e. the state transition matrix is square. Let us ...
3
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0answers
99 views

What is right and full Frobenius canonical form?

I'm having a trouble here. I'm supposed to learn Frobenius canonical representation form for finding statespace matrices, but I found many different forms. Let's suppose we have a system with this ...
3
votes
1answer
54 views

Linearized system and State Space

I want to ask about this scheme: $u_0$ should be something as input in specific point given by the initial conditions and $y_0$ output. Block State Spase represented linearized system by A, B, C, D ...
2
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0answers
141 views

State space representation in s-domain

I was supposed to find state space representation and its matrices of this system: and I have no idea, how to do this. We were told not to transfer the system to time domain, but I can only do ...
6
votes
1answer
135 views

How to combine a perfect signal with a limited dynamic range with a poor one with high dynamic range?

I have two sensors that measure speed $v(t)$ of a moving vehicle. The first sensor produces a signal $f(t)$ which is a very accurate estimation of speed. However, it only works for slow to moderate ...
8
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0answers
151 views

Estimating the input to a system from a system state using EKF [closed]

[ Cross-posted from: http://math.stackexchange.com/questions/164169/estimating-the-input-to-a-system-from-a-system-state ] I have a system for which I have obtained a non-linear time-varying state-...
5
votes
1answer
169 views

State space system identification

Suppose I have a real (physical) dynamical system with some sensors and actuators, and I also have an idealized state-space model of this same system. How, in general, can I adjust the model to match ...
15
votes
2answers
6k views

Is a Kalman filter suitable to filter projected points positions, given Euler angles of the capturing device?

My system is the following. I use the camera of a mobile device to track an object. From this tracking, I get four 3D points that I project on the screen, to get four 2D points. These 8 values are ...
11
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1answer
3k views

How do I find a system's impulse response from its state-space repersentation using the state transition matrix?

Suppose we have a linear represented in the standard state space notation: $$ \dot{x}(t)=Ax(t)+Bu(t)$$ $$y(t) = Cx(t) + Du(t)$$ In order to get its impulse response, it is possible to take its ...