Filtering and Identification: Lecture 3: Stochastic Least Squares Square Root Estimation

Filtering and Identification
Lecture 3: Stochastic least squares

Square Root Estimation
Michel Verhaegen and Jan-Willem van Wingerden

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Delft Center for Systems and Control

Delft University of Technology
The 3-key steps of the course: Formulated

Estimate linear static models from data:
min ky F xk2W
x
Relevant and to introduce the numerical fundaments of this course!
2/30

min ky F xk2W
x

Estimate the state of an LTI state space model:
x(k + 1) = Ax(k) + Bu(k) + Ke(k)
e(k) (0, Re )
y(k) = Cx(k) + Du(k) + e(k)

given the model (A, B, C, D) and K and input-output data.
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min ky F xk2W
x

Estimate the state of an LTI state space model:
x(k + 1) = Ax(k) + Bu(k) + Ke(k)
e(k) (0, Re )
y(k) = Cx(k) + Du(k) + e(k)

given the model (A, B, C, D) and K and input-output data.
Identify state space model matrices (A, B, C, D, K) from
input-output data {u(k), y(k)}N

k=1 .
2/30
Overview
Main Point Lecture 2
The Stochastic Least Squares Problem
Updating least squares estimates: The RLS

scheme
A reliable square root solution
3/30
Main Point Day Lecture 2

The Gauss-Markov Theorem
Given F RN n , L RN N , y RN , in the WLS
problem:
T
min
x
subject to:
y = F x + L
(0, I)
with x deterministic and L invertible,

W = (LLT )1 , then,
T
argminxe=M y E[(x x
e)(x x
e)
] = (F T W F )1 F T W y
= argminx T
4/30
Overview
Main Point Day 1

scheme
5/30
Extension: x RV
Distribution
Room
Temp
(T ) at 2 time instances:
x
x
Legend:
x | current unknown T
x | mean value
| 1 uncertainty
| ellipsoid
6/30
Extension: x RV
Distribution
Room
Temp
Statistical Prior information on x:
x (x, P )
x
x
Legend:
P 0
. 21 (xx)T P 1 (xx)
]
[In Gaussian setting: fx = e
Statistical Meaning:
E[x] = x E[(x x)(x x)T ] = P
x | mean value
| 1 uncertainty
| ellipsoid
6/30
Extension: x RV
Distribution
Room
Temp
Statistical Prior information on x:
x (x, P )
x
x
Legend:
x | mean value
| 1 uncertainty
| ellipsoid
P 0
. 21 (xx)T P 1 (xx)
]
[In Gaussian setting: fx = e
Statistical Meaning:
E[x] = x E[(x x)(x x)T ] = P
New measurement about x:
y = F x+L
(0, I) E[(xx)T ] = 0
How to combine these info?

6/30
movie.avi
7/30
Fusion of Wavefront sensor data

time k 2 time k 1 time k
Real-life scenario: From the Shack-Hartmann Wavefront (W)

sensor data (at times k), an estimate of the vectorized the
2D-W (call x) is given as:
x (x, P ) P > 0
At time instant k + 1 we record new sensor data:
y(k+1) = F x+L(k+1)
(k+1) (0, I) E[(xx)(k+1)T ] = 0
Fuse this information with the estimate of x that you already have!
Assumption?
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The Stochastic Least Squares (SLS) Problem

Given the prior on the RV x (x, P ) with P 0 and given
the observations:
y = F x + L (0, I)
E[(x x)T ] = 0
with F, L deterministic L full rank. Then seek among the

linear estimators:
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The Stochastic Least Squares (SLS) Problem

Given the prior on the RV x (x, P ) with P 0 and given
the observations:
y = F x + L (0, I)
E[(x x)T ] = 0
with F, L deterministic L full rank. Then seek among the

linear estimators:

h
i y
x
e= M N
x
The unbiased minimum variance estimate, i.e.:

E[(x x
e)(x x
e)T ]
is minimized E[e
x] = x
9/30
Solution to the SLS Problem

Theorem SLS: Let the conditions of the SLS problem hold,
let W = (LLT )1 then the solution x to SLS is
x = Ky + (I KF )x
with K = P F T (F P F T + W 1 )1 and covariance matrix:
E[(x x)(x x)T ] = (P P F T (F P F T + W 1 )1 F P )
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Solution to the SLS Problem

Theorem SLS: Let the conditions of the SLS problem hold,
let W = (LLT )1 then the solution x to SLS is
x = Ky + (I KF )x
with K = P F T (F P F T + W 1 )1 and covariance matrix:
E[(x x)(x x)T ] = (P P F T (F P F T + W 1 )1 F P )
If P > 0, we can rewrite K as (P 1 + F T W F )1 F T W and
the covariance matrix as:
E[(x x)(x x)T ] = (P 1 + F T W F )1
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Sketch of the Proof SLS solution

Derivation of Numerical Procedure
1. The error of a linear estimator:
x = M F x+M L+N x x x = (I M F )xM LN x
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2. Unbiased Estimator:
E[x x] = (I M F )x N x = 0 M F + N = I
x x = (I M F )(x x) M L
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2. Unbiased Estimator:
E[x x] = (I M F )x N x = 0 M F + N = I
x x = (I M F )(x x) M L
)(x x
)T ]
3. Covariance matrix: (W 1 = LLT ) E[(x x
= (I M F )E[(x x)(x x)T ](I M F )T + M LE[T ]LT M
= (I M F )P (I M F )T + M W 1 M T
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Minimizing the Covariance Matrix

E[(x x
)(x x
)T ] = (I M F )P (I M F )T + M W 1 M T
h
i P
PFT
I
= I M
F P F P F T + W 1
M T
|
{z
}
Q
Using Lemma 2.3 p. 19, we can factorize Q as:
P F T (F P F T + W 1 )1
P P F T (F P F T + W 1 )1 F P
0
I
0
F P F T + W 1
[]T
Therefore,
E[(x x
)(x x
)T ] = (P P F T (F P F T + W 1 )1 F P )+
(P F T (F P F T + W 1 )1 M )(F P F T + W 1 )()T
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Solution SLS first part Theorem

The minimizing variance unbiased estimator is
given by:
x = M y + (I M F ) x
| {z }
N
with the optimal M given as

P F T (F P F T + W 1 )1 = K
The minimal covariance matrix is:
E[(x
x)(x
x)T ] = (P P F T (F P F T +W 1 )1 F P )
13/30
Solution SLS second part Theorem

Using the matrix inversion lemma:
(A + BCD)1 = A1 A1 B(C 1 + DA1 B)1 DA1 , we
can write K as
:
K = P F T (W 1 + F P F T )1

= P F T W W F (P 1 + F T W F )1 F T W

= P In F T W F (P 1 + F T W F )1 F T W

= P (P 1 + F T W F ) F T W F (P 1 + F T W F )1 F T W
= (P 1 + F T W F )1 F T W = K
The two gains K are equivalent on paper. What about

inside the computer?
Provided P is invertible!
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Numerical Example
Consider the stochastic least squares problem with:
h
i
x = 0 P = 107 I3 L = 106 I3 xT = 1 1 0.1
The matrices P and L indicate that the prior information is

inaccurate and the relationship about x in y (the measurement)
is very accurate. The matrix F is generated by the Matlab
command:
F = gallery(randsvd,3);
Then the sample average of the relative error
k
xxk2
kxk2
for 100 trials with
1. K = P F T (F P F T + W 1 )1 is 0.0483
2. K = (P 1 + F T W F )1 F T W is 0.1163
15/30
Recall the second part of the Theorem SLS

Theorem: Let the conditions of the SLS problem hold, let
W = (LLT )1 and P > 0 then the solution x to SLS is,
x = Ky + (I KF )x
with K = (P 1 + F T W F )1 F T W and covariance matrix:
E[(x x)(x x)T ] = (P 1 + F T W F )1
16/30
Interpretation results of Theorem SLS
1.
E[(x x
)(x x
)T ] = (P 1 + F T W F )1 is the resulting
covariance matrix of fusing the two estimates:
x (x, P )
x ((F T W F )1 F T W y, (F T W F )1 )
17/30
1.
E[(x x
)(x x
x (x, P )
2.
x ((F T W F )1 F T W y, (F T W F )1 )
x
= Ky + (I KF )x with K = (P 1 + F T W F )1 F T W
indicates that:
For
P 1 0
and
x
=x
WLS no
matter what x is.
17/30
1.
E[(x x
)(x x
x (x, P )
2.
x ((F T W F )1 F T W y, (F T W F )1 )
x
= Ky + (I KF )x with K = (P 1 + F T W F )1 F T W
indicates that:
For
P 1 0
and
x
=x
WLS no
matter what x is.
3.
It lays the fundaments for Recursive Least Squares (RLS).

Prior x (
xk , Pk ) with x
k
UMVE
New Data:
yk = Fk x + Lk k
SLS
k (0, I)
A Posteriori x (
xk+1 , Pk+1 )
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Overview
Main Point Day 1
Updating least squares estimates: The

RLS scheme
18/30
The RLS Algorithm

Given initial estimate of the unknown RV x:
x (
x1 , P1 )
For k = 1:end,
read data (yk , Fk , Wk )
Kk = (Pk1 + FkT Wk Fk )1 FkT Wk
xk + Kk yk
xk+1 = (I Kk Fk )
1
Pk+1
= (Pk1 + FkT Wk Fk )
end
Caution: This (information-matrix version) is not a tractable implementation from a numerical point of view.
19/30
RLS_demo.m
20/30
Overview
Main Point Day 1

scheme
21/30
A weighted least squares problem

Consider the prior in the SLS given as x (x, P ),
To define a WLS, we formulate this information
into the generalized covariance representation:
x = x+P 1/2
(0, I)
with P = P 1/2 P T /2 .
22/30
A weighted least squares problem

Consider the prior in the SLS given as x (x, P ),
To define a WLS, we formulate this information
into the generalized covariance representation:
x = x+P 1/2
(0, I)
with P = P 1/2 P T /2 . Then we can combine this

with the data equation in the WLS:
" # " #
"
#
1/2
x
I
P
0
n
T
min subject to
=
x+
x
y
F
0
L
with (0, In )
22/30
Instruments to find a square root solution to SLS

What is allowable to define an Equivalent WLS problem?
23/30

The given WLS problem:

1/2 0
x
I
P
n
min T subject to = x +
x
y
F
0
L
with (0, In ), is equivalent to:

1/2
x
I
P
0
n
T
Tr (TrT )
min( ) ( ) subject to T = T x+T
x
|{z}
y
F
0
L
with T and Tr
23/30

The given WLS problem:

1/2 0
x
I
P
n
min T subject to = x +
x
y
F
0
L
with (0, In ), is equivalent to:

1/2
x
I
P
0
n
T
Tr (TrT )
min( ) ( ) subject to T = T x+T
x
|{z}
y
F
0
L
with T and Tr resp. invertible and orthogonal. Furthermore,

(0, In )
23/30
Square Root Solution to SLS (1)

To achieve (part of) our goal we have to take T as:

In
0
T ?
T
=
F
In
24/30

To achieve (part of) our goal we have to take T as:

In
0
T ?
T
=
F
In
A left (non-singular)
transformation that does the job is:

1/2
F I
x
In
P
0
= T
in T
T =
x + T
Tr TrT
y
F
0
L
I
0
It transforms
the constraint
set ofequations to,
0
Fx y
F P 1/2 L
= x+
Tr TrT
x
I
P 1/2
0
Important is the introduced zero!
24/30

With the zero introduced, we now aim at finding part of by
the orthogonal transformation Tr . This is achieved by the
following LQ factorization:
R 0
F P 1/2 L
Tr =
G S
P 1/2
0
It transforms the constraints into:

Fx y
0
R
0

= x +
1/2
G Pnew
x
I
1/2
with Pnew Rnn .

25/30
Square Root Solution

Fx y
0
R
0
= x +

1/2
x
I
G Pnew
yields the following transformed WLS,

1/2
x G x k2
min kk22 + kk22 = min kR1 (F x y)k22 + kPnew
x
Therefore,
= R1 (F x y)
x
= x G(F x y)
26/30
Square Root Solution the SLS Problem

Theorem SR-SLS: Let the conditions of the SLS problem
hold, let the following LQ factorization by given:
R 0
F P 1/2 L
Tr =
G S
P 1/2
0
with Tr orthogonal and the right hand side lower triangular,

then the estimate of the SLS equals,

x = GR1 y + I GR1 F x = argminx T T
and has covariance matrix,
1/2 T
1/2
)
(Pnew
E[(x x)(x x)T ] = Pnew
27/30
Numerical Example (Ctd)

Consider the stochastic least squares problem with:
h
i
x = 0 P = 107 I3 L = 106 I3 xT = 1 1 0.1
The matrices P and L indicate that the prior information is

inaccurate and the relationship about x in y (the measurement)
is very accurate. The matrix F is generated by the Matlab
command:
F = gallery(randsvd,3);
Then the sample average of the relative error
1.
2.
k
xxk2
kxk2
for 100 trials with
K = GR1 (square root solution) is 0.0002

K = (P 1 + F T W F )1 F T W (worst normal equation variant) is 0.1163
28/30
Summary of Lecture 1 - day 2
The Stochastic Least squares problem is at

the heart of many interesting filtering and
estimation schemes demonstrated for the
RLS scheme
29/30
Summary of Lecture 1 - day 2
The Stochastic Least squares problem is at

the heart of many interesting filtering and
estimation schemes demonstrated for the
RLS scheme
Square Root Algorithms are the preferred

numerical solutions.
29/30
Preparation and next lecture

Preparation:
Study Chapter 4 (4.5.3-4.5.5)
Download Homework 2
Next lecture:
Lecture 3: Kalman Filtering
Tuesday November 27, 2012, 10.30-12.30
Hand-in Homework 2 (at end of the lecture)!
30/30

Filtering and Identification: Lecture 3: Stochastic Least Squares Square Root Estimation

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Filtering and Identification: Lecture 3: Stochastic Least Squares Square Root Estimation

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Filtering and Identification

Lecture 3: Stochastic least squares

Michel Verhaegen and Jan-Willem van Wingerden

Delft Center for Systems and Control

The 3-key steps of the course: Formulated

Relevant and to introduce the numerical fundaments of this course!

Delft Center for Systems and Control

The 3-key steps of the course: Formulated

Relevant and to introduce the numerical fundaments of this course!

x(k + 1) = Ax(k) + Bu(k) + Ke(k)

y(k) = Cx(k) + Du(k) + e(k)

Delft Center for Systems and Control

The 3-key steps of the course: Formulated

Relevant and to introduce the numerical fundaments of this course!

x(k + 1) = Ax(k) + Bu(k) + Ke(k)

y(k) = Cx(k) + Du(k) + e(k)

input-output data {u(k), y(k)}N

Delft Center for Systems and Control

Main Point Lecture 2

The Stochastic Least Squares Problem

Updating least squares estimates: The RLS

A reliable square root solution

Delft Center for Systems and Control

Main Point Day Lecture 2

with x deterministic and L invertible,

Delft Center for Systems and Control

Main Point Day 1

The Stochastic Least Squares Problem

Updating least squares estimates: The RLS

A reliable square root solution

Delft Center for Systems and Control

Delft Center for Systems and Control

Statistical Prior information on x:

Delft Center for Systems and Control

Statistical Prior information on x:

How to combine these info?

Delft Center for Systems and Control

Delft Center for Systems and Control

Fusion of Wavefront sensor data

Real-life scenario: From the Shack-Hartmann Wavefront (W)

(k+1) (0, I) E[(xx)(k+1)T ] = 0

Delft Center for Systems and Control

The Stochastic Least Squares (SLS) Problem

with F, L deterministic L full rank. Then seek among the

Delft Center for Systems and Control

The Stochastic Least Squares (SLS) Problem

with F, L deterministic L full rank. Then seek among the

The unbiased minimum variance estimate, i.e.:

Delft Center for Systems and Control

Solution to the SLS Problem

Delft Center for Systems and Control

Solution to the SLS Problem

Delft Center for Systems and Control

Sketch of the Proof SLS solution

Delft Center for Systems and Control

Sketch of the Proof SLS solution

Delft Center for Systems and Control

Sketch of the Proof SLS solution

Delft Center for Systems and Control

Minimizing the Covariance Matrix

Using Lemma 2.3 p. 19, we can factorize Q as:

Delft Center for Systems and Control