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Abstract-Subspace model identification (SMI) has been a highly called MOESP methods [7] are considered in the first group.
interest of research topic in recent years. Subspace methods such The second group consists of method that aim at
as Multivariable Output Error State Space (MOESP) and
approximating the state sequence of the system and use the
Numerical algorithms for Subspace State Space System
approximate state in a second step to estimate the system
Identification (N4SID) algorithms are well known and often
matrices A, B, C and D. The methods that constitute the
implemented especially for multivariable identification due to the
use of robust numerical tools such as the QR decomposition and
second group are the N4SID methods [8] as well as CVA
singular value decomposition (SVD). SMI algorithms are methods [9].
attractive not only because of their numerical stability and Although those numerical tools are applicable for batch
simplicity, but also for the state space form that is very suitable processing, they are inappropriate for on-line identification
in estimating, predicting, filtering and control design. Several due to the computational complexity and storage costs. Thus
simulation studies for MOESP and N4SID algorithms performed to overcome this problem, an on-line subspace identification
in online version are presented. This paper focuses on which consist of recursive algorithm is needed. To make a
computation time, order selection and the stability from both
subspace state space system identification algorithm
methods when performed online.
recursively updated, the need for online in updating and
Keywords- subspace identification; singular value downdating the input output data is required. In this paper, the
decomposition; Hankel matrices; QR decomposition; cllOlesky output from online POMOESP and online N4SID methods
will be discussed.
I. INTRODUCTION
[�� l
U, Ui+1 Uj+2 Ui+/_1
for online identification because of the computational
u= = (4) complexity and storage costs. Thus, an online subspace
Ui+1 Uj+2 Uj+J Ui+J
identification which consist recursive algorithm is developed.
Ui+2 Ui+J Ui+4 Ui+J+1
The most important thing is to online update the estimation for
the extended observability matrix when the new data arriving.
U2i U2i+1 U2i+2 U2i+J-1
' '
The subscript p and 'f stand for 'past' and 'future'. A. Online N4SJD method [12]
Step 1: Construct data block Hankel matrices, i.e. UI; Up, Yt; Yp
Then, the block Toeplitz matrix is defined as: from the given input-output data.
Step 2: Compute EWr {Yj I Wp} and the QR decomposition from
D 0 o
the Hankel matrices.
CB D o
Step 3: Calculate the SVD of the matrix EWr {Yj I wJ.
H= CAB CB o (5)
Step 4: Compute the matrices A, B, C and D by solving the
least square problem.
D Step 5: Update the Hankel matrices by adding the input-output
data and removing the older ones. Go to Step 2 and repeat.
The success of SIMs is mainly due to the fact that it relies B. Online POMOESP method
on a simple matrix decomposition for which reliable Step 1: Construct the block Hankel matrices from the given
numerical algorithms are available. However, the major input-output data.
drawback is large data matrices are involved and may lead to Step 2: Compute the LQ decomposition.
high computing and storage costs. For instance, the subspace Step 3: Compute the SVD.
identification algorithm [10] involves SVD and eigen Step 4: Obtain matrices C and A.
decomposition which require O(MN2 + M2N + M3) flops and Step 5: Estimate B and D by the least square method.
O(MN + M2 + N2) storage where Nis the data length and Mis Step 6: Update the Hankel matrices by adding the input-output
a so called sliding window size. When N 1000 and M 100 = =
data and removing the older ones. Go to Step 2 and repeat.
as could often be the case, the numbers are approximately 109
flops and 10 Mbytes. Later, [11] proposed a faster
identification method by taking advantage of the Hankel TTT. SIMULATION
structure of the data matrix and the low rank shift structure of Fig. 1 shows the simulation block for solving the matrices
the covariance matrix. The method only require O(MN) flops A, B, C and D. It consists of two inputs and two outputs data
and O(N+ M2) storage space. where both in size 400. The block Simulink was simulating
with online POMOESP and N4STD methods. For N4STD
A typical state space subspace system identification method, the computation time is being recorded for different
algorithm involves two steps: ways of constructing the Hankel matrices which the first will
1) Identification of the extended observability matrix and a use QR decomposition and the second will use cholesky
block triangular Toeplitz matrix. method. The order of the system will be determined by the
2) Estimation of the system matrices A, B, C and D from the number of singular values where the change of gradient is
identified observability matrix and Toeplitz matrix. highest [13].
23
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u
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401 410 450 500 1000 1500 2000 2500
y4
Order
algorithms gave mostly different order of the system since the 0.6 .
input-output data for constructing the Hankel matrices are not 0.4 _
in the same way. From Table I, the average order of the system 0.2
-0.2
Also, as can be seen from Fig.3, the eigenvalues for A
-0.4
matrix is within a unit circle. Thus, both methods are
considered stable. -0.6 _
-0.8 _
-1
-1 -0.5 0.5
Real Part
(a)
24
[6] W. Favoreel,B. De Moor, and P. Van Overschee, "Subspace
1 _
identification of bilinear systems subject to white inputs," IEEE
Transactions on Automatic Control, voL 44, no. 6,pp. 1157-1165,
0.8
1999.
0.6 _
-1 _
[9 ] W. Larimore, "Canonical variate analysis in identification,filtering,
-1 -0.5 0.5 and adaptive control," in Decision and Control, 1990 .. Proceedings
Real Part
oj, 1990.
REFERENCES
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