Filtering and Identification

Lecture 9:
The system identification cycle

Michel Verhaegen and Jan Willem van Wingerden

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Delft Center for Systems and Control

Delft University of Technology
System identification
Is there more then fitting a model to the data?

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System identification
Is there more then fitting a model to the data?

General Rule: Identify the system under

conditions it will be used for!

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 The system identification cycle
Yes
Experiment Data pre− (u(k),y(k) ) Fit model Model
Start processing to data validation ok? End
Design

No

Model
structure
selection

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Overview
• Experiment design
• Data pre-processesing
• Model structure selection
• Model validation
• Demo acoustical duct

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Experiment design
Choice of · · ·
• Sampling frequency
• Experiment duration
• Type of input sequence
• “Persistency of excitation of the input”

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Choice of sampling frequency
Aliasing: [Shannon] All frequency components
with a frequency higher than ωS /2 are mirrored
across the line ω = ω2S in the band [− ω2S , ω2S ].

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Choice of sampling frequency
Aliasing: [Shannon] All frequency components
with a frequency higher than ωS /2 are mirrored
across the line ω = ω2S in the band [− ω2S , ω2S ].

⇒ if frequency band of interest equals [−ωB , ωB ]

then pre-filter signals by a band-pass filter

−ωB 0 ωB ω

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Choice of sampling frequency
Bandwith LTI system: ωB is the frequency at
which |G(ω)| ≈ |G(0)|
√
2

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Choice of sampling frequency
Bandwith LTI system: ωB is the frequency at
which |G(ω)| ≈ |G(0)|
√
2
⇒ qualitative info by simple transient
experiments.

Rule of tumb: based on a rough estimate of ω

bB
one ’over’ selects ωS ≈ 10b
ωB .

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Example: qualitative selection
1
Consider G(s) = , 1

1 + τs 0.8

1
then ωB = , (τ = 10) 0.6

τ 0.4

When G(s) is unknown: 0.2

get info on ωB via the step 0

0 10 20 30 40 50 60

response Step response

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Example: qualitative selection
1
Consider G(s) = , 1

1 + τs 0.8

1
then ωB = , (τ = 10) 0.6

τ 0.4

When G(s) is unknown: 0.2

get info on ωB via the step 0

0 10 20 30 40 50 60

response Step response

Rule: If we select about 8 or 9 samples during
the period [0, ≈ steady state], we sample at
about 10ωB . The time interval T between the
2π
circles-◦ ≈ equals 10ω B
= 2π seconds.
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Transient analysis
The use of the response to simple inputs (steps,
impulses, . . . ) to retrieve info on:
• which input affects which output?
• linearity of the system
• dominant time constants

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Transient analysis
The use of the response to simple inputs (steps,
impulses, . . . ) to retrieve info on:
• which input affects which output?
• linearity of the system
• dominant time constants

Procedures can be devised to 1.6

1.4

determine dominant time con- 1.2

stants (and bandwith) from step 0.8

0.6

response when the system is un- 0.4

0.2

derdamped 0
0 5 10 15

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Experiment duration
In PEM, the covariance matrix of the estimated
parameter vector equals
" N −1 #−1
σe2 1 X
φ(k)φ(k)T ⇒ Select large N .
N N
k=0

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Experiment duration
In PEM, the covariance matrix of the estimated
parameter vector equals
" N −1 #−1
σe2 1 X
φ(k)φ(k)T ⇒ Select large N .
N N
k=0

However, slow system dynamics constrain N .

For example: with a destillation column the
collection of ≈ 1000 data points may require
testing for over a week.
This can be a lot of money!
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Experiment duration
A rule of tumb: experiment duration ≈ 10 times
the largest time constant.

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Experiment duration
A rule of tumb: experiment duration ≈ 10 times
the largest time constant.
1
Example: Consider G(s) = (1+τ1 s)(1+τ 2 s)
τ1 = 1 sec. and τ2 = 0.01 sec.
1 rad
Sampling frequency: ωs = 10. 0.01 sec ≈ 160 Hz
Experiment duration: ≈ 10 · 1 sec.

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Experiment duration
A rule of tumb: experiment duration ≈ 10 times
the largest time constant.
1
Example: Consider G(s) = (1+τ1 s)(1+τ 2 s)
τ1 = 1 sec. and τ2 = 0.01 sec.
1 rad
Sampling frequency: ωs = 10. 0.01 sec ≈ 160 Hz
Experiment duration: ≈ 10 · 1 sec.
What efficiency do we gain if we could handle
multi-rate (double-rate) sampled data
sequences?

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 Type of input sequences
T
a
a

0
Step 0
Harmonic
1 b N 1 N

c
a

Short pulse
a
0
Gaussian
0

1 b N 1 N
white noise
c
a a
Frequency
0
Doublet 0

sweep
1 b N 1 N

a a
n steps

0 Staircase 0 PRBS
1 N 1 N

PRBS: Pseudo Random Binary Sequence

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Persistency of excitation
Example Consider the input u(k):
(
sin ωk k = 1, 2, · · · , N
u(k) =
0 k≤0

Can we estimate the parameters of the following

model uniquely?
y(k) = θ1 u(k) + θ2 u(k − 1) + θ3 u(k − 2)

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Persistency of excitation
The sequence {u(k)}N k=1 is persistently exciting
of order n if and only if there exists an integer N
such that the matrix:
 
u(0) u(1) · · · u(N − 1)
 u(1) u(2) · · · u(N ) 
 
U1,n,N =  .
. .
. 
 . . 
u(n − 1) u(n) · · · u(N + n − 2)

has full column rank n.

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Persistency of excitation with an ARX model

Lemma 2: Let the input-output data be generated

by the system:
Bn (q)
y(k) = u(k) + v(k)
An (q)
with v(k) p.e. of any order, then we can uniquely
estimate the coefficients of an n-th order ARX
model provided the input u(k) is persistently ex-
citing of order n.

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 Overview
Yes
Experiment Data pre− (u(k),y(k) ) Fit model Model
Start processing to data validation ok? End
Design

No

Model
structure
selection

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Data pre-processing
• Decimation
• Detrending
• Pre-filtering
• Concatenating data sequences

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Decimation
Definition: Taking every jn + 1-th sample (for
j ∈ N and n = 0, 1, · · · ) of the original
input-output data sequences. ⇒ ωS → ωjS

Caution: Make use of a digital anti-aliasing filter

with cut-off ≡ ω2jS ( rad
s ).

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Decimation
When is decimation necessary?
The effect of having selected a too high (original)
sampling frequency may reflect into:
• The poles cluster around the point z = 1:

lim e−λj T = 1
T →0

• High-frequency disturbance in the data

(above the frequency band of interest)

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 Why Detrending?
Example: Consider the nonlinear system,
 
x(k + 1) = f x(k) y(k) = x(k)

Linearization of f (x) = x2 in Local coordinates x̃(k)

the point (1, 1)
x(k + 1) x(k + 1)
x2 (k) x̃(k + 1)
2x(k) − 1

x̃(k)
1 x(k) 1 x(k)
-1 -1
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Detrending
A linear model approximation in a limited region
of the operation envelope:
x x(k) + B(u(k) − u)
e(k + 1) = Ae x
e(k0 ) = x0
y(k) = C x
e(k) + y
Two ways to deal with unknown offsets (u, y):
• Subtracting sample means from input and
output sequences {u(k), y(k)}.
• Estimating the offsets together with other
system parameters.
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RPs in the frequency domain
The cost function optimized by Prediction error
methods:
2
lim JN (θ) = E[ǫ(k) ]
N →∞

The stochastic variant of Parseval is:

Z π/T
2 T
E[ǫ(k) ] = Rǫ (0) = Φǫ (ω)dω
2π −π/T

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Data pre-filtering
\ : y = Ĝu + Ĥe,
Given {uk , yk } and a linear filter L(q), and SGM
what system is identified using {L(q)uk , L(q)yk }?

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Data pre-filtering
\ : y = Ĝu + Ĥe,
Given {uk , yk } and a linear filter L(q), and SGM
what system is identified using {L(q)uk , L(q)yk }?

yk = G(q)uk + vk ⇒ (L(q)yk ) = G(q)(L(q)uk ) + L(q)vk

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Data pre-filtering
\ : y = Ĝu + Ĥe,
Given {uk , yk } and a linear filter L(q), and SGM
what system is identified using {L(q)uk , L(q)yk }?

yk = G(q)uk + vk ⇒ (L(q)yk ) = G(q)(L(q)uk ) + L(q)vk

However, JN (θ) is modified,

Z π 2 2
1 b 2 |L| Φ u |L| Φv
lim JN (θ) = |G − G| + dω
N →∞ 2π −π b
|H| 2 b
|H| 2

The filter L(q) can be used a posteriori to modify the weighting

term of |Gb − G|2 .
b −1 .
For example: to cancel the effect of H
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 Overview
Yes
Experiment Data pre− (u(k),y(k) ) Fit model Model
Start processing to data validation ok? End
Design

No

Model
structure
selection

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Model structure selection
• Delay or system dead-time estimation →
shifting the data sequences and then
identifying delay-free models.
• Model structure selection in subspace
identification
• Illustration with acoustical duct model

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Model selection in subspace ident.
Recipe: Selecting the number of (block) rows of
the Hankel matrices, that is the index s.
s>n

Therefore only a rough estimate of the system

order needs to be known.
Subspace methods provide usefull information
on the only model structure parameter, namely
the order of the state-space model.
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Model selection in subspace ident.
2
10

1
10

The computed 0
10
singular values
-1
10

-2
10
0 5 10 15 20

LET THE DATA SPEAK FOR ITSELF

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Model selection in subspace ident.
100

95

90

VAF for 85

different 80

75
model orders
70

65

60
2 4 6 8 10 12

PN !
1 2
N k=1 ky(k) − y
b (k, θ)k2
VAF (y(k), yb(k, θ)) = 1− 1 P N
· 100%
ky(k)k 2
N k=1 2

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An illustrative example
Consider a schematic view of our acoustical duct:
Noise
Speaker Second Speaker Microphone

u(k) y(k)
We determine the parameters of a sixth order
state space model [A, B, C, D] given
{u(k), y(k)}6000
k=1 with subspace identification using
s = 40.

The results are compared with PEM.

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An illustrative example
Distribution of the VAF values
for 100 identification experiments
on the acoustical duct

100 100 100

90 53.1 % 90 89.5 % 90 96.9 %

80 80 80

70 70 70

60 60 60

50 50 50

40 40 40

30 30 30

20 20 20

10 10 10

0 0 0
0 20 40 60 80 100 0 20 40 60 80 100 0 20 40 60 80 100

PEM SI SI and PEM

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 Overview
Yes
Experiment Data pre− (u(k),y(k) ) Fit model Model
Start processing to data validation ok? End
Design

No

Model
structure
selection

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Model Validation v(k)
+ y(k)
G(q)
u(k) + + e(k)
−
b θ)
H(q,

+ ŷ(k)
b θ)
G(q, +
b θ) (H(q,
Objective determine G(q, b θ)) such that
e(k) is small as possible.

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Model Validation v(k)
+ y(k)
G(q)
u(k) + + e(k)
−
b θ)
H(q,

+ ŷ(k)
b θ)
G(q, +
b θ) (H(q,
Objective determine G(q, b θ)) such that
e(k) is small as possible.
What is small?
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When does small not imply fitting the noise?

How to check this?

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When does small not imply fitting the noise?

How to check this?

Split the available data into two sets:
• one data set to estimate the models
• another data set to validate the models

Validation tests:
• VAF or value of cost function

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What is small/What is a good model?
When it satisfies the conditions for optimality?
• e(k) is a white noise signal

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What is small/What is a good model?
When it satisfies the conditions for optimality?
• e(k) is a white noise signal
• e(k), u(k) are statistically independent

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What is small/What is a good model?
When it satisfies the conditions for optimality?
• e(k) is a white noise signal
• e(k), u(k) are statistically independent
How to check this?

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What is small/What is a good model?
When it satisfies the conditions for optimality?
• e(k) is a white noise signal
• e(k), u(k) are statistically independent
How to check this?
• Auto-correlation residuals
• Cross-correlation residuals and inputs

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Check Conditions for optimality?
White noise test by Cross-correlation test
Auto-correlation residual residual and input
1 0.1
0.5

0 0
-0.5

-1 -0.1
-20 -10 0 10 20 -20 -10 0 10 20 ARX
1 0.1
0.5

0 0
-0.5

-1 -0.1
-20 -10 0 10 20 -20 -10 0 10 20 OE
1 0.1
0.5

0 0
-0.5

-1 -0.1
-20 -10 0 10 20 -20 -10 0 10 20 ARMAX
time lag time lag

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Demo acoustical duct
• Sampling rate Fs = 2000Hz
• Excitation: zero-mean white noise
• Number of samples N = 4000
• Measure data (u, y)

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 Summary of Lecture 12
The system identification cycle

Yes
Experiment Data pre− (u(k),y(k) ) Fit model Model
Start processing to data validation ok? End
Design

No

Model
structure
selection

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And there is much more . . .
• Controller design by system identification

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And there is much more . . .
• Controller design by system identification
• Adaptive control via parameter estimation
methods

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Delft Center for Systems and Control

And there is much more . . .
• Controller design by system identification
• Adaptive control via parameter estimation
methods
• Fast algorithms for system identification

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And there is much more . . .
• Controller design by system identification
• Adaptive control via parameter estimation
methods
• Fast algorithms for system identification
• Interesting applications: Adaptive Optics,
Windenergy, Automotive, · · ·

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Next ...
Exam: Tuesday Jan 24, 2017

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