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Lecture Notes - MIT - System Identification

This document summarizes lecture notes on system identification. It discusses computation methods like the Levinson algorithm and recursive estimation. It describes using initial conditions and dealing with initial conditions in different methods. It also discusses numerical methods for optimization like Newton's method. Special schemes for nonlinear least squares are presented. Recursive methods are described as having computational advantages by carrying the covariance matrix to update estimates sequentially. Properties of recursive algorithms like storage needs are outlined.

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313 views

Lecture Notes - MIT - System Identification

This document summarizes lecture notes on system identification. It discusses computation methods like the Levinson algorithm and recursive estimation. It describes using initial conditions and dealing with initial conditions in different methods. It also discusses numerical methods for optimization like Newton's method. Special schemes for nonlinear least squares are presented. Recursive methods are described as having computational advantages by carrying the covariance matrix to update estimates sequentially. Properties of recursive algorithms like storage needs are outlined.

Uploaded by

sabrahima
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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System Identification

6.435
SET 11
Computation Levinson Algorithm Recursive Estimation

Munther A. Dahleh
Lecture 11 6.435, System Identification Prof. Munther A. Dahleh 1

Computation
Least Squares: QR factorization

Q is invertible and
error
Lecture 11 6.435, System Identification Prof. Munther A. Dahleh 2

Initial Conditions:

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6.435, System Identification Prof. Munther A. Dahleh

What about initial conditions? Solution 1: sum starts appropriately shifted, assume data is available at (Covariance method) Solution 2: assume and augment the sum to (autocorrelation method).

Lecture 11

6.435, System Identification Prof. Munther A. Dahleh

In the 2nd case

only depends on

Lecture 11

6.435, System Identification Prof. Munther A. Dahleh

Block Toeplitz.

Structure allows for fast computations AR model of order n

Lecture 11

6.435, System Identification Prof. Munther A. Dahleh

Levinson Algorithm

definition

Lecture 11

6.435, System Identification Prof. Munther A. Dahleh

def. of flip flip

add

1st + 2nd

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6.435, System Identification Prof. Munther A. Dahleh

Flip:

Clearly

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6.435, System Identification Prof. Munther A. Dahleh

Initial conditions

good reduction.

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Numerical Methods
Both have no analytical solutions in general

General Procedure

step size

direction of the search depends on

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Different Methods

f depends on f depends on f depends on


Newtons Quasi Newton: Approximate (Newtons)

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Special Schemes: Nonlinear Least Squares

A family of Algorithms

step size, chosen so that

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gradient steepest descent Newtons

negligible around min.

Newton-Gauss, Newton-Raphson
Lecture 11 6.435, System Identification Prof. Munther A. Dahleh 14

For instrumental method

Newton-Raphson

Computing the gradient: ARMAX:

diff. with respect to

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diff. w. r. to

diff. w. r. to

Recall

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Re-arrange

dep. on

, however assumed stable

Of course a special case for ARX:

Exercise Jenkins Black-Box model State-space model

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Recursive Methods
Computational advantages Carry the covariance matrix General form: in the estimate.

Specific form:

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Least-square estimate as a recursive estimate Off line

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Recursive Identification (LS)


Assume

Example exponential weight means in general

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algorithm Normalized Gain estimate:

A recursive

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Recursive Algorithm:

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Properties of Recursive Algorithms


Need to store estimate and to compute the next

is the covariance (an estimate) of estimate of the accuracy of

and hence gives an ]

[Recall that

is symmetric, so you only need to store the lower part of it. (Save on memory)

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Recursive Algorithms with Efficient Matrix Conversion


Define Inversion formula

Consider the matrix

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Recursive Algorithm:

Advantage: no need to compute is iterated directly! Kalman filter interpretation


Lecture 11

at each iteration

is the gain is the solution of the Riccati equation


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Recursive Instrumental Variable Method


For a fixed, not model dependent Instrument,

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You can show:

where

satisfies (by assumption)

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Adaptive Control
P Estimator (recursive)

Controller r is a bdd input. Estimator: Std least squares Controller


Lecture 11

: Condition

is a stable time-varying system.

is bold for any bdd

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