Estimation of transfer function of continuous system from

sampled data
Prof. Naresh K.Sinha, B.Sc. (Eng.), Ph.D., C. Eng., F.I.EJR.E.
Indexing terms:

Transfer functions, Identification, Online operation, z transforms

ABSTRACT
The problem of the estimation of the transfer function of a continuous system based on the observation of sampled
input and output data is considered. The paper deals mainly with the online determination of the continuous-system
transfer function from a linear discrete model obtained from the data. A number of different digital-analogue
transformations are considered, and a comparison is made of their suitability for online identification. It is
suggested that the bilinear z transformation is the most suitable for a large number of practical situations.
1

INTRODUCTION

The identification of process parameters for control purposes

,must often be done online, using a digital computer, from
samples of input and output data. The problem can be conveniently divided into two parts. The first part consists of determining a discrete-time model for the system from the sampled data This has been discussed thoroughly in the literature, and recursive schemes for estimating the parameters
of the discrete model have been proposed recently by
Hastings-James and Sage,1 and Sinha and Pille. 2 The second
part of the problem is the estimation of the parameters of
the continuous-system transfer function from the discrete
model. Apart from the paper by Smith,3 very little work
seems to have been done in this direction.
On the other hand, considerable work has been reported in
the literature on digital filters, in connection with the related
problem of determining the discrete transfer function corresponding to the transfer function of a continuous filter. Although this problem requires an approximation of the frequency response, rather than an approximation of the timedomain response in identification, it is felt that much can be
learnt from it. In particular, in a recent paper, 4 Haykin has
presented a unified theory of digital filtering which relates
the various methods of approximation proposed in the past. A
direct application of some of the results obtained by Haykin
leads to an interesting solution to the second aspect of the
identification problem.

(JmS

T ~ Q ! M _ I SM

-*- +

. . .

Of i S

0!

rt

(1)

where M < N for physical systems. The identification problem, then, is the determination of the parameters ot^ and /3^
from a knowledge of the sampled values of the system input
and output, over a sufficiently long interval of time. In practice, one has to take into account the fact that the input-output measurements are contaminated with noise. The procedures discussed in References 1 and 2 estimate the parameters of a discrete-time system, described by the pulse
transfer function
akz
H(z-i) = J E 2 -

Thus the problem may be stated as follows:

Given the pulse transfer function H(z~1), determine the continuous-system transfer function H(s), so that the responses
of these correspond closely at the sampling instants for all
possible inputs.

ANALOGUE-DIGITAL FILTER TRANSFORMATIONS

Before proposing a solution to this problem, it may be worthwhile to review briefly the work done on the related problem
of determining a discrete transfer function H(z -1 ), the frequency response of which would correspond closely to the
frequency response of a given continuous transfer function
H(s). Haykin4 has shown that the various methods which
have been proposed can be unified through a basic integrodifference equation defining the input-output relation. Consider the partial-fraction expansion

-k
(3)
(2)

1 + I bkz-k
k=i
where z = e s T , such that the input/output samples for H(z"1)
fit sufficiently closely with those for G(s).
The second part of the problem is to find, from the discrete
model H(z~1), a continuous-system transfer function H(s)
Paper 6642 C, first received 24th August and in revised form
6th December 1971
Prof .Sinha is with the Department of Electrical Engineering,
McMaster University, Hamilton, Ont., Canada, and is at present a visiting professor with Stanford Electronics Research
Laboratory, Stanford, Calif. 94305 USA
612

It may be pointed out here that Hfc""1) is not the z transform

of H(s), since this would require that the input to the continuous system be a sequence of impulses. A number of authors
tacitly assume that the input is held constant during the sampling interval, at the value it had at the beginning of interval.
In this case, H(z~1) is the z transform of the cascade combination of a zero-order hold and H(s), and H(s) can therefore
be determined in a unique manner for given Hlz" 1 ). This approximation gives a good result when the input to the system
is actually a step function, or a sequence of steps, but is not
necessarily good when the input varies in some manner between the sampling instants. On the other hand, if there is
no knowledge of the actual variation of the input and the output between the sampling instants, it is impossible to obtain
G(s) from a given K(z~x), so that the responses of the two
exactly correspond, at the sampling instants, for all possible
inputs.

It follows that, if the sampling frequency exceeds the Nyquist

rate, the responses will correspond closely at all instants of
time.

2
STATEMENT OF PROBLEM
Consider a continuous linear system of transfer function
, .

which models the continuous system G(s) in a suitable manner. An interesting aspect of this problem is that it may be
regarded as deterministic, since the effect of noise has already been taken into account in estimating the parameters
of H(z-i).

=i

The output y(t) of the system to an input x(t) is then given by

(4)

y(t)= E '
k=i
where
yk(t) = Aj^e-P^ /ePkTx(T)dT

(5)

Following Haykin, eqn. 5 leads to the basic integrodifference

equation
yk(nT) = e~PkTyk(nT - T) + A k e-P k T ^ T ePk T x(T)dT (6)
PROC.IEE, Vol.119, No. 5, MAY 1972

As x(t) is known only at the sampling instants, the various

methods use an approximation of X(T) over the sampling interval nT T < T nT to evaluate eqn. 6. A simple approach is to assume that X(T) remains constant during the
interval, at a value intermediate between x(nT) and x(nT T)
as defined by

little more involved, owing to the fact that now H(z"1) must
be multiplied by
- 1 + e~PkT) + z - 1 (1 -e-Pk T - Tp k e-Pk T )
so that the residue at each pole must be evaluated separately.

X(T) C* m x(nT) + (1 - m)x(nT T) for nT T < T S nT

(7)
with 0 = m s 1.
Substituting expr. 7 in eqn. 6, Haykin has shown that the analogue-digital transformation corresponding to the approximation of expr. 7 is
Ak

H(s)=

zk=i A (lPk-e~Pk ) ml
k

From the discussion, it would appear that neither of these

two methods is really suitable for online identification, as
the process of determining the poles by finding the roots of
a polynomial, and the procedure for evaluating the residues
can be quite time consuming. Fortunately, there is one other
transformation which requires much less computation. This
is the socalled 'bilinear z transformation', given by

2 /I - z":
s =
T

- m)
or
(8)

Haykin has considered three special cases: when m is equal

to (a) 1, (b) 0 and (c) 0*5. The first case leads to a form
similar to the impulse-equivalent transformation, and the
second leads to the 'step-invariant' form (the same as having
a zero-order hold). On the other hand, the third yields better
phase characteristics and provides a slightly sharper cutoff.
It may be called the 'mean-value' transformation, as setting
m = 0*5 is equivalent to using the mean value of X(T) over
the sampling interval, if the variation is nearly linear.
4
DIGITAL-ANALOGUE TRANSFORMATION
An interesting feature of eqn. 8 is that the poles of H(z) are
independent of m, and that there is a 1:1 correspondence
between the poles of H(s) and H(z),as given by
z k = e~PkT

(9)

showing that the poles of H(z) are z k , if the poles of H(s) are
The residues A k at the different poles of H(s) depends however, upon m. In general, for any given function X(T), one may
find a suitable value of m so that the basic integrodifference
equation (eqn. 6) is satisfied. However, since by hypothesis
X(T) is known only at the sampling instants, such a solution
for m is not possible. Moreover, even for a simple function
like a sinusoid, the best value of m varies over sampling
intervals. One way to obtain a reasonable estimate is to
assume that X(T) for nT - T < T *s nT is held constant at the
arithmetic mean of x(nT T) and x(nT). This is exactly the
case when m is made equal to 0*5. A better approximation in
many cases may be to assume that X(T) varies linearly from
x(nT T) to x(nT) during the interval. This is the method
of 'linear interpolation', and as shown by Haykin it leads to
the 'ramp-invariant' transformation

Ak

Haykin has pointed out that, for | pj^T | 0'5, the transformations of eqns. 8 and 10 yield a digital filter which is
essentially the same as that obtained using the bilinear z
transformation. As pfc are the natural frequencies of H(s),
it is only required that the sampling period T be sufficiently
small, so that the sampling rate exceeds the Nyquist rate.
This transformation therefore appears to be the most efficient method for obtaining H(s) from H(z~ 1 ). In the following
Section, some examples are calculated, to compare the analogue system based on the bilinear transformation with the
others, for a number of different time functions.

EXAMPLES COMPARING DIFFERENT TRANSFORMATIONS

To make a realistic comparison between the various transformations, it would be desirable to compare their responses
at the sampling instants with those of the continuous system,
for different inputs. Although many different criteria may
be used for the comparison, the following appear most suitable: (a) the sum of the squares of the error at the sampling
instants, and (b) the maximum error at the sampling instants.
The inputs which may be conveniently used are either a
step, a ramp, a sinusoid, or the sum of two sinusoids, the
frequencies of which are not integrally related. It may be
pointed out that, whereas the first two inputs prefer one or
other transformation, the last two provide a fairer comparison. For a given continuous system G(s),the following
transformations are considered:
(a) The 'step-invariant' transformation, given by
AkU-

(13)

(b) The 'mean-value' transformation, given by

- e"PkT - Tp k e"Pk T )

l-e-Pkxz-i

(10)

One may note that, here again, the poles of H(z"1) are unchanged. However, the calculation of residues A k is not as
straightforward for the transformation of eqn. 10 as it is for
the transformation represented by eqn. 8, for m = 0*5. The
mechanics of computation in the latter case can be described
as follows. Given H(z~1), the denominator polynomial is
first factored, and the poles of H ^ - 1 ) are determined. The
corresponding poles of H(s) are then evaluated, using eqn. 9.
Finally, the residues A k are obtained by first multiplying

u- -

N A k (l - e~PkT)

Hfz" ) by

, and then calculating the residues Bjj at

1 + z"1
all poles of H(z~i). It follows from eqn. 8 that A k will then
be given by
(11)

The calculation of residues for the transformation represented by eqn. 10 may proceed on the same lines, but is a
PROC.IEE, Vol.119, No. 5, MAY 1972

(14)

(c) The 'ramp-invariant' transformation, given by

- 1 + e-PkT) + z" 1 (1 - e-pkT - Tp k e-p k T)

1 _ e -PkT z -i

(15)

which is the same as expr. 10.

(d) The 'bilinear z' transformation, given by
N

2B k p k
- e-PkT

1 + z" 1

which is obtained by setting m = 0*5 in eqn. 8.

Ak =

1 - e-

k=i

which is obtained from eqn. 8 by making m = 0.

1 ft A k

* + Pk"Tki'iPk2
(Tpk - 1 + e"PkT) + :

(12)

z" = 2 - sT
2 + sT
1

H 4 (z"i) =

^2

T Ak(l + z"1)
+Tpk-(2-Tpk)z-i

(16)

which is derived from eqns. 12.

For the first example, it was decided to make
613

G(s) =

1
s +2

,j-

and the sampling period T = 0*1 s, so that the maximum

value of |pkT| was 0*2. The various transformations then
yield the following digital transfer functions
H

(18)

1 - 0-8187308Z"1

H ( z -i) = 0-0453173(1 + z" 1 )

2
1 - 0-8187308Z"1
H 3 (z-i) =

which is of second order, with complex poles. The corresponding discrete transfer functions are obtained as
, _n
(z A;

0-190016Z-1 4- 0-00874676Z-2
1 - 1-800634Z-1 + 0-8187308"2

H 2 (z~i) =

0*095008 + 0-0993814Z-1 + Q-Q0437338z-2

1 - 1-800634Z"1 + 0'8187308z- 2

H 3 (z-1) =

0-0966699 + Q-Q060202Z-1 + 0*08459938z-2

1 - 1-800634Z"1 + 0*8187308z"2

(20)
(21)

andH4(Z)

and
H 4 (z-i) =

1 - 0-8181818z-i

(28)

s 2 + 2s + 2

(19)

0-0468269 - Q-Q17624Z-1
1 - 0-8187308Z"1

For the second example, the continuous system was taken as

0-0950226 + 0-0090498Z-1 - Q-Q8597285z-2

1 - 1-800905Z"1 + 0*8190045z-2

The following inputs were used

x x (t) = unit step

(22)

x 2 (t) = t

(23)

x 3 (t) = sin t

(24)

x 4 (t) = sin t + 0-5 cos 1-2 t

(25)

,
(

(30)
(31)
(32)

It will be seen that, as in the first example, H3(z~1) and

H 4 (z" 1 ) are again sufficiently close. The response of G(s),
as well as the discrete transfer function, was calculated
again for k = 1 to 100, for the sinusoidal input x(t) = sin t,
and the two cost functions evaluated. The results are given
in Table 3.
TABLE 3

For each input, the output of the continuous system and the
discrete equivalents were calculated, and the following cost
function was evaluated for each approximation
100
J i = YJ {y(kT) - yi(kT)}2
(26)
k=i
The results are shown in Table 1.

EVALUATION OF COST FUNCTIONS

Type of approximation

Jj

"

Step invariant
Mean value
Ramp invariant
Bilinear z

0-500873
0-166609
0105022
0095123

Pj
0109049
0059143
0-046876
0-048004

TABLE 1
The results again show that the bilinear z transformation is
better than all the others from the mean-square error point
of view, although it gives a slightly larger maximum error
than the ramp-invariant transformation.

Ji FOR DIFFERENT INPUTS

Cost function for the following input
Type of
approximation
Step
invariant
Mean value
Ramp invariant
Bilinear z

Sum of two
sinusoids
CONCLUSIONS
0-0248060 6
0*0067746
The various methods of obtaining continuous transfer func0*0070598 tions equivalent to a given discrete transfer function have
0*0004144 been considered. In particular, it has been shown that the
bilinear z transformation provides the best approximation
for different inputs, in addition to being most suitable from
the computational point of view. For online identification,
therefore, we may use the bilinear z transformation to
Next, the following cost function was calculated for each case
obtain a transfer function for the continuous system from
a given discrete transfer function, so that the outputs of the
p. = Max i y ( k T ) _ y . ( k T ) i i = i , 2,3,4
(27)
two for any input correspond closely at all sampling instants.
Step
Ramp
0
0*02868934
0-0041755 0-00002962
0*0096049 0
0*0043744 0-00000087

Sinusoid
0-0142893
0-0067479
0-0067163
0-0000026

The results are shown in Table 2.

7
ACKNOWLEDGMENTS
The author is grateful to the National Research Council of
Canada for supporting this research, and to Prof.S.S.Haykin
for useful discussions. He would like to thank H. deBruin
for helping in computations.

TABLE 2
Pi FOR DIFFERENT INPUTS
Cost function for the following input
Type of
approximation

Step

Ramp

Sinusoid

Sum of two
sinusoids

Step invariant
Mean value
Ramp invariant
Bilinear z

0
0-03710242
0-05627218
0-03746443

0-02382883
0-00082996
0
0-0003078

0-0174034
0-0119538
0-0119221
0-0003698

0-028579
0-018348
0-019103
0-011837

It will be seen from this example that the bilinear z transformation is preferable to the other transformations for a
more general input, in addition to the fact that it is more
easily calculated.

614

REFERENCES
HASTINGS-JAMES,R.,and SAGE,N.W.: 'Recursive
generalised-least-squares procedure for online identification of process parameters', Proc.IEE, 1969,116,
(12), pp. 2057-2062
SINHA, N.K.,and PILLE,W.: 'Online parameter estimation using matrix pseudoinverse', ibid., 1971,118, (8),
pp.1041-1046
SMITH, F. W.: 'System laplace-transform estimation
from sampled data',IEEE Trans., 1968, AC-13, pp. 37-55
HAYKIN, S.S.: 'A unified treatment of recursive
digital filtering', ibid., 1972, AC-17, pp. 113-116

PROC. IEE, Vol. 119, No. 5, MAY 1972