2.

29 A given function g t  ,0≤t ≤∞ , is to be approximated by g a t

n

where ga t= ∑ xk  k t in which the xk ' s are to be selected in the approximation process , and the  k t' s areorthonormal
k=1
functions of time over the time interval 0≤t≤∞ ; that is ,
∫0 k t  j t dt ={ 10 when j =k
∞
1
when j≠ k
The approximated ga tis required to satisfy
∞ ∞
∫0 g a t dt =∫0 g t dt=c 1  a constant . Find the expressions for the optimal x k ' s , x k∗' s , which satisfy this constant
and which minimize the integral− square error I :
∞
I =∫0  g a t −g t2 dt

∂ ∂ ∞ ∞ ∂
∂ xk
 I =
∂ xk
∫0  g a t− g t 2 dt =∫0 ∂ x 2
 g a t −g t dt
k
∞ ∂
=∫0 2 g a t −g t  k t dt  noting g t=0 
∂ xk
n
∞
=∫0 2 ∑ xi  i t − g t k tdt
i=1
∞ n ∞
=∫0 2 ∑ xi  i t  k t  dt−2 ∫0 g t  k t dt
i=1
by 1 the left termis further reduced such that
∞
=2 x k −2∫0 g t k t  dt .
∞ ∞
Letting f 1=∫0 g a t dt and f 2 =∫0 g t dt , we' d note
∂ ∞ ∂ ∂
f =∫0  k t dt while f =0 since g t =0.
∂ xk 1 ∂ xk 2 ∂ xk
Thus our augmented performance measure , f a = f 0h 1 f 1h 2 f 2 takes the form
∂ ∂ ∂ ∞ ∞
 I h1 f 1h 2 f 2=2 x k −2 ∫0 g t  k t dt h 1∫0 k t dt =0
∂ xk ∂ xk ∂ xk
implies
∞ h ∞
x k =∫0 g t  k t dt − 1 ∫0  k t dt . 2 
2
∞ ∞ n
Noting ∫0 g a t dt=∫0 ∑ xk  k t  dt=c 1 we can write from 2
k =1
∞ n ∞ h1 ∞
∫0 ∑ ∫0 g t k tdt − ∫  t  dt k tdt =c1
2 0 k
k=1
implies
n
∞ ∞ h1 ∞ n ∞
∫0 k t  ∑ ∫0 g t  k t dt  dt−
2
∫0 ∑ k t ∫0  k t dt dt =c1
k =1 k =1

n
∞ ∞
implies letting  =∫0 ∑ k t ∫0  k t dt dt
k =1

n
2 ∞ ∞
h 1= ∫0  k t ∑ ∫0 g t  k t dt  dt−c1 .
 k=1
We ' d note x k ∗' s do not depend on the the other lagrange multiplier h 2.