# Chapter 3 Least Squares Solution of y = A x 3.1 Introduction We turn to a problem that is dual to the overconstrained estimation problems considered s

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1 Lectures on Dynamic Systems and Control Mohammed Dahleh Munther A. Dahleh George Verghese Department of Electrical Engineering and Computer Science Massachuasetts Institute of Technology 1 1 c

2 Chapter 3 Least Squares Solution of y = A x 3.1 Introduction We turn to a problem that is dual to the overconstrained estimation problems considered so far. Let A denote an array of m vectors, A = [a 1 j ja m ], where the a i are vectors from any space on which an inner product is dened. The space is allowed to be innite dimensional, e.g. the space L 2 of square integrable functions mentioned in Chapter 2. We are interested in the vector x, of minimum length, that satisfy the equation y =A x (1a) where we have used the Gram product notation introduced in Chapter 2. Example 3.1 Let y[] denote the output at time of a noncausal FIR lter whose input is the sequence x[k], with NX y[] = h i x[;i]: i=;n Describe the set of input values that yield y[] = repeat for y[] = 7. The solution of minimum energy (or RMS value) is the one that minimizes P Ni=;N x 2 [i]. 3.2 Constructing all Solutions When the a i 's are drawn from ordinary (real or complex) Euclidean n-space, with the usual (unweighted) inner product, A is an n m matrix of full column rank, and the equation (1a) is simply y = A x (1b)

3 where A has full row rank. Since the m rows of A in (1b) are independent, this matrix has m independent columns as well. It follows that the system (1b), which can be read as expressing y in terms of a linear combination of the columns of A (with weights given by the components of x) has solutions x for any y. If A were square and therefore (under our rank assumption) invertible, (1b) would have a unique solution, obtained simply by premultiplying (1b) by the inverse of A. The closest we come to having an invertible matrix in the non-square case is by invoking the Gram matrix lemma, which tells us that A A is invertible under our rank assumption. This fact, and inspection of (1b), allow us to explicitly write down one particular solution of (1b), which we denote by x: x = A (A A) ;1 y (2a) Simple substitution of this expression in (1b) veries that it is indeed a solution. We shall shortly see that this solution actually has minimum length (norm) among all solutions of (1b). For the more general equation in (1a), we can establish the existence of a solution by demonstrating that the appropriate generalization of the expression in (2a) does indeed satisfy (1a). For this, pick x = A A A ;1 y (2b) It is easy to see that this satises (1a), if we use the fact that A A =A A for any array of scalars in our case is the m 1 array A A ;1 y. Any other x is a solution of (1a) i it diers from the particular solution above (or any other particular solution) by a solution of the homogeneous equation A x = the same statement can be made for solutions of (1b). The proof is easy, and presented below for (1b), with x denoting any solution, x p denoting a particular solution, and x h denoting a solution of the homogeneous equation: Conversely, y = A x p = A y = A x p A x h = ) y = A x ) A (x ; x p ) = {z } ) x = x p + x h x h (x p + {z x h } ) ) x = x p + x h : x Equations of the form (1a), (1b) commonly arise in situations where x represents a vector of control inputs and y represents a vector of objectives or targets. The problem is then to use some appropriate criterion and/or constraints to narrow down the set of controls. Example 3.2 Let m = 1, so that A is a single nonzero row, which we shall denote by a. If y =, the set of solutions corresponds to vectors x that are orthogonal to the vector a, i.e. to vectors in the orthogonal complement of a, namely in the subspace Ra? (a). Use this to costruct all solutions to Example 3.1.

4 There are several dierent criteria and constraints that may reasonably be used to select among the dierent possible solutions. For example, in some problems it may be natural to restrict the components x i of x to be nonnegative, and to ask for the control that minimizes P s i x i, where s i represents the cost of control component x i. This is the prototypical form of what is termed the linear programming problem. (You should geometrically characterize the solution to this problem for the case given in the above example.) The general linear programming problem arises in a host of applications. We shall focus on the problem of determining the solution x of (1a) for which kxk 2 =< x x > is minimized in the case of (1b), we are looking to minimize x x. For the situation depicted in the above example, the optimum x is immediately seen to be the solution vector that is aligned with a. It can be found by projecting any particular solution of (1b) onto the space spanned by the vector a. (This fact is related to the Cauchy-Schwartz inequality: For x of a specied length, the inner product < a x > is maximized by aligning x with a, and for specied < a x > the length of x is minimized by again aligning x with a.) The generalization to m > 1 and to the broader setting of (1a) is direct, and is presented next. You should note the similarity to the proof of the orthogonality principle. 3.3 Least Squares Solution Let x be a particular solution of (1a). Denote by x A its unique projection onto the range of A (i.e. onto the space spanned by the vectors a i ) and let x A? denote the projection onto the space orthogonal to this. Following the same development as in the proof of the orthogonality principle in Lecture 2, we nd x A = A A A ;1 A x (3a) with x A? = x ; x A. Now (1a) allows us to make the substitution y =A x in (3a), so x A = A A A ;1 y (3b) which is exactly the expression we had for the solution x that we determined earlier by inspection, see (2b). Now note from (3b) that x A is the same for all solutions x, because it is determined entirely by A and y. Hence it is only x A? that is varied by varying x. The orthogonality of x A and x A? allows us to write < x x > = < x A x A > + < x A? x A? > so the best we can do as far as minimizing < x x > is concerned is to make x A? =. In other words, the optimum solution is x = x A = x. Example 3.3 For the FIR lter mentioned in Example 3.1, and considering all in- P N put sequences x[k] that result in y[] = 7, nd the sequence for which i=;n x 2 [i] is minimized. (Work out this example for yourself!)

5 Example 3.4 Consider a unit mass moving in a straight line under the action of a force x(t), with position at time t given by p(t). Assume p() =, p_() =, and suppose we wish to have p(t ) = y (with no constraint on p_(t )). Then Z T y = p(t ) = (T ; t)x(t) dt =< a(t) x(t) > (4) This is a typical underconstrained problem, with many choices of x(t) for t T that will result in p(t ) = y. Let us nd the solution x(t) for which Z T x 2 (t) dt = < x(t) x(t) > (5) is minimized. Evaluating the expression in (2a), we nd x(t) = (T ; t)y=(t 3 =3) (6) How does your solution change if there is the additional constraint that the mass should be brought to rest at time T, so that p_(t ) =? We leave you to consider how weighted norms can be minimized.

6 Exercises Exercise 3.1 Least Square Error Solution We begin with a mini-tutorial on orthogonal and unitary matrices. An orthogonal matrix may be dened as a square real matrix whose columns are of unit length and mutually orthogonal to each other i.e., its columns form an orthonormal set. It follows quite easily (as you should try and verify for yourself) that: the inverse of an orthogonal matrix is just its transpose the rows of an orthogonal matrix form an orthonormal set as well the usual Euclidean inner product of two real vectors v and w, namely the scalar v w, equals the inner pproduct of Uv and Uw, if U is an orthogonal matrix and therefore the length of v, namely v v, equals that of Uv. A unitary matrix is similarly dened, except that its entries are allowed to be complex so its inverse is the complex conjugate of its transpose. A fact about orthogonal matrices that turns out to be important in several numerical algorithms is the following: Given a real m n matrix A of full column rank, it is possible (in many ways) to nd an orthogonal matrix U such that U A = where R is a nonsingular, upper-triangular matrix. (If A is complex, then we can nd a unitary matrix U that leads to the same equation.) To see how to compute U in Matlab, read the comments obtained by typing help qr the matrix Q that is referred to in the comments is just U. We now turn to the problem of interest. Given a real m n matrix A of full column rank, and a real m-vector y, we wish to approximately satisfy the equation y = Ax. Specically, let us choose the vector x to minimize ky ; Axk 2 = (y ; Ax) (y ; Ax), the squared Euclidean length of the \error" y ; Ax. By invoking the above results on orthogonal matrices, show that (in the notation introduced earlier) the minimizing x is x^ = R ;1 y 1 where y 1 denotes the vector formed from the rst n components of Uy. (In practice, we would not bother to nd R ;1 explicitly. Instead, taking advantage of the upper-triangular structure of R, we would solve the system of equations Rx^ = y 1 by back substitution, starting from the last equation.) The above way of solving a least-squares problem (proposed by Householder in 1958, but sometimes referred to as Golub's algorithm) is numerically preferable in most cases to solving the \normal equations" in the form x^ = ( A A) ;1 A y, and is essentially what Matlab does when you write x ^ = Any. An (oversimplied!) explanation of the trouble with the normal equation solution is that it implicitly evaluates the product (R R) ;1 R, whereas the Householder/Golub method recognizes that this product simply equals R ;1, and thereby avoids unnecessary and error prone steps. R Exercise 3.2 Suppose the input sequence fu j g and the output sequence fy j g of a particular system are related by nx y k = h i u k;i i=1

7 where all quantities are scalar. (i) Assume we want to have y n equal to some specied number y. Determine u : : : u n;1 so as to achieve this while minimizing u 2 + : : : + un;1. 2 (ii) Suppose now that we are willing to relax our objective of exactly attaining y n = y. This leads us to the following modied problem. Determine u : : : u n;1 so as to minimize r(y ; y n ) 2 where r is a positive weighting parameter. + u 2 + : : : + u 2 n;1 (a) Solve the modied problem. (b) What do you expect the answer to be in the limiting cases of r = and r = 1? Show that your answer in (a) indeed gives you these expected limiting results. Exercise 3.3 Return to the problem considered in Example 3.4. Suppose that, in addition to requiring p(t ) = y for a specied y, we also want p_(t ) =. In other words, we want to bring the mass to rest at the position y at time T. Of all the force functions x(t) that can accomplish this, determine R the one that minimizes < x(t) x(t) >= T x 2 (t) dt. Exercise 3.4 (a) Given y = A x, with A of full row rank, nd the solution vector x for which x W x is minimum, where W = L L and L is nonsingular (i.e. where W is Hermitian and positive denite). (b) A specied current I is to be sent through the xed voltage source V in the gure. Find what values v 1, v 2, v 3 and v 4 must take so that the total power dissipation in the resistors is minimized.

8 MIT OpenCourseWare J / J Dynamic Systems and Control Spring 211 For information about citing these materials or our Terms of Use, visit:

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