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Outline of this lecture

Practical Control Systems

1. Identification: General overview

System Identification I

models
time domain / frequency domain identification
2. System identification in the time domain

Bart De Schutter & Robert Babuska

general case
identification of 1st order models

Web Page: Blackboard or http://www.dcsc.tudelft.nl/sc4070

identification of 2nd order models

Delft Center for Systems and Control

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Delft University of Technology

ARX, OE, and ARMAX models

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1. Identification: General overview

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Black-box models:

1st order & 2nd order linear models (continuous-time):

Models:

G1 (s) =

tailor-made

1
s + 1

G2 (s) =

2
s2 + 2s + 2

black-box
linear models (ARX, OE, ARMAX, BJ discrete-time):
Tailor-made models (based on physical modeling):

y(k) = G(q, )u(k) + H(q, )e(k)

d
x(t) = f (x(t), u(t), e(t), )
dt
y(t) = h(x(t), u(t), e(t), )
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nonlinear models (neural networks, fuzzy models, . . . )

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Box-Jenkins and Output-Error model

rag replacements

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ARMAX and ARX models

PSfrag replacements

C
D
u

B
F

Box-Jenkins (BJ)

y(k) =

B(q)
C(q)
u(k) +
e(k)
F(q)
D(q)

ARMAX

1
A

1
A

A(q)y(k) = B(q)u(k) +C(q)e(k)

B
e
u
&

B
F

Output-Error (OE)

y
y(k) =

B(q)
u(k) + e(k)
F(q)

u
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ARX

A(q)y(k) = B(q)u(k) + e(k)

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References

Identification

L. Ljung, System Identification: Theory for the User, 2nd edition,

Prentice-Hall, 1999

Time domain

L. Ljung, System Identification, Chapter 58 of the Control Engineering

Frequency domain (yields transfer function G, for linear systems)

Handbook, pp. 10331054, CRC Press, 1996

frequency analysis (sines as input signal)

om
& B. Wittenmark, Computer-Controlled Systems,
K.J. Astr

Fourier analysis (arbitrary input signals)

Prentice-Hall, 1997, Chapter 13

spectral analysis ( signal spectra G)

Lecture notes of the courses Filtering & identification (SC4040) or

We concentrate on identification in the time domain.

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System identification (SC4110)

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Manual of MATLAB System Identification Toolbox

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General case (nonlinear)

Model:

2. Identification in the time domain

d
x(t) = f (x(t), u(t), e(t), )
dt
y(t) = h(x(t), u(t), e(t), )

Overview:

Optimal value of ?

General case
Identification of 1st order models

Model, prediction of output y(t

k |) at t = tk = k h

Identification of 2nd order models

k |)
Prediction error: (k, ) = y(tk ) y(t
Performance:

ARX, OE, and ARMAX models

JN () =

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Performance:
JN () =

Note:

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General case (continued)

Usually:

with N : # data points

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General case (continued)

d
x(t) = f (x(t), u(t), e(t), )
dt
y(t)
= h(x(t), u(t), e(t), )

1 N
g((k, ))
N k=1

Optimal value of :

g() = 2

1 N
N = arg min 2 (k, )
N k=1

g() = log f e () with fe probability density function of noise e

N
In general: use numerical, nonlinear optimization algorithms to compute

Optimal value:

N = arg min JN ()

(see course Optimization in Systems and Control (SC4090))

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1 N
g((k, ))
N k=1

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maximum likelihood estimate

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Matlab optimization toolbox (lsqnonlin)

Matlab NCD toolbox (nonlinear control design)
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Nonlinear least squares

N

f () =

i=1

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Syntax:

2i () = ()T ()
N

f () = 2() ()

i=1

Approximation of the Hessian:

H()
:= 2()T ()
k+1 = k H 1 (k ) f (k )

1
k)
Levenberg-Marquardt method : k+1 = k I + H(
f (k )
Gauss-Newton method :

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x=lsqnonlin(fun,x0,lb,ub,options) with

[e,J]=fun(x)
e=...
% Compute Jacobian if required.
if ( nargout > 1 )
J=...
end;

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lsqnonlin

fun : m-file function returning e and its Jacobian e (optional)

H() = 2() () + 2 i ()i ()

T

x0 : initial starting point

lb, ub : lower and upper bounds for x (optional)
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options : options structure (optional)

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LargeScale : use a large-scale algorithm (on) or medium-scale

algorithm (off).

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Example of lsqnonlin

Note: Illustrative example, not related to identification

min eT e

Display : controls display of (intermediate) values. Possible values:

off, iter, and final

Define m-file:

Jacobian : indicates whether Jacobian is defined by user

MaxIter : maximum number of iterations allowed
TolFun, TolX : termination tolerance on the function value and on x
LevenbergMarquardt : Choose Levenberg-Marquardt over
Gauss-Newton algorithm (default: on)

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Most important options:

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with

e(x) =

10(x2 x12 ) (1 x1 )

function [e,J]=fun_rosenbrock_e(x)
e=[10*(x(2)-x(1)2) (1-x(1))];
if ( nargout > 1 )
J=[-20*x(1) -1;
10
0];
end;

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Identification of 1st order models

step response y(t) K(1 exp((t L)/))

Perform optimization:

x0=[2 2];
K
slope = K/
% Select medium-scale, Gauss-Newton, and
% Jacobian provided by user
PSfrag replacements 0.63K
options=optimset(LargeScale,off,...
LevenbergMarquardt,off,...
Jacobian,on);
x=lsqnonlin(fun_rosenbrock_e,x0,[],[],options)

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2nd order models

PSfrag replacements

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ARX, OE, and ARMAX models

envelope et

y0

Model:

y(k) = G(q, )u(k) + H(q, )e(k)

with e zero-mean white noise sequence

Optimal one-step ahead prediction:

a2
a1
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N1

N1
, {y(k)}k=1
and model (G(q, ), H(q, )), determine
best estimate of y(k): y(k,
|k 1)

Given {u(k)}k=1

2
=
T
1
a1
=
ln
2 a2
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t + T

Prediction error:

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(k, ) = y(k) y(k,

|k 1)
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Prediction error

OE: y(k) = G(q, )u(k) + e(k)

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Solving optimization analytically?

Necessary condition for minimum of JN ():

y(k,
|k 1) = G(q, )u(k),

(k, ) = y(k) G(q, )u(k)

JN () = 0

When (k, ) is linear in parameter vector (ARX!):

ARX: A(q)y(k) = B(q)u(k) + e(k)

(k, ) = y(k) (k)T

y(k) = a1 y(k 1) ana y(k na )

+ b0 u(k L) + + bnb u(k L nb ) + e(k)

necessary condition becomes:

y(k,
|k 1) = a1 y(k 1) + bnb u(k L nb )

JN () =

(k, ) = y(k) + a1 y(k 1) + + ana y(k na )

b0 u(k L) bnb u(k L nb )
linear in parameters ai , bi !
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1 N
2 (k, )(k, )
N k=1


1 N
2(k) y(k) (k)T = 0

N k=1

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Nonlinear versus linear models

These are well-known Normal Equations:
N

k=1

k=1

(k)y(k) = (k)(k)T

Nonlinear models

+ general
+ based on physical models

solve linear equation to obtain

+ relation with physical system

- nonlinear optimization local minima, time-consuming

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Linear models
+ often very effective
+ intuitive behavior (in particular for 1st & 2nd order models)
+ identification is fast process
+ many control design methods for linear models
- black-box relation with physical system?
- linear not general

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