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System Identification: Theory For The User

This document is the contents page for the book "System Identification Theory for the User, Second Edition" by Lennart Ljung. It lists the titles and page numbers for 18 chapters and 2 appendices within the book. The chapters cover topics such as linear and nonlinear time-invariant/time-varying models, parameter estimation methods, asymptotic distribution of parameter estimates, computing estimates, recursive estimation methods, experiment design, and model structure selection. The book provides an overview of system identification theory aimed at practitioners.

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208 views7 pages

System Identification: Theory For The User

This document is the contents page for the book "System Identification Theory for the User, Second Edition" by Lennart Ljung. It lists the titles and page numbers for 18 chapters and 2 appendices within the book. The chapters cover topics such as linear and nonlinear time-invariant/time-varying models, parameter estimation methods, asymptotic distribution of parameter estimates, computing estimates, recursive estimation methods, experiment design, and model structure selection. The book provides an overview of system identification theory aimed at practitioners.

Uploaded by

krishna
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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System Identification

Theory for the User


Second Edition

Lennart Ljung
Linköping University
Sweden

PH
PTR

PRENTICE HALL PTR


Upper Saddle River, NJ 07458
http://www.phptr.com
Contents

Preface to the First Edition xiv

Acknowledgments xvi

Preface to the Second Edition xviii

Operators and Notational Conventions xix

► 1 Introduction 1

1.1 Dynamic Systems 1


1.2 Models 6
1.3 An Archetypical Problem—ARX Models and the Linear Least Squares
Method 8
1.4 The System Identification Procedure 13
1.5 Organization of the Book 14
1.6 Bibliography 16

part i: systems and models

► 2 Time-Invariant Linear Systems 18

2.1 Impulse Responses, Disturbances, and Transfer Functions 18


2.2 Frequency-Domain Expressions 28
2.3 Signal Spectra 33
2.4 Single Realization Behavior and Ergodicity Results (*) 42
2.5 Multivariable Systems (*) 44
2.6 Summary 45
2.7 Bibliography 46
2.8 Problems 47
Appendix 2A: Proof of Theorem 2.2 52
Appendix 2B: Proof of Theorem 2.3 55
Appendix 2C: Covariance Formulas 61

vii

viii Contents

► 3 Simulation and Prediction 63

3.1 Simulation 63
3.2 Prediction 64
3.3 Observers 72
3.4 Summary 75
3.5 Bibliography 75
3.6 Problems 76

► 4 Models of Linear Time-Invariant Systems 79

4.1 Linear Models and Sets of Linear Models 79


4.2 A Family of Transfer-Function Models 81
43 State-Space Models 93
4.4 Distributed Parameter Models (*) 103
4.5 Model Sets, Model Structures, and Identifiability: Some Formal Aspects
(*) 105
4.6 Identifiability of Some Model Structures 114
4.7 Summary 118
4.8 Bibliography 119
4.9 Problems 121
Appendix 4A: Identifiability of Black-Box Multivariable Model
Structures 128

► 5 Models for Time-varying and Nonlinear Systems 140

5.1 Linear Time-Varying Models 140


5.2 Models with Nonlinearities 143
5.3 Nonlinear State-Space Models 146
5.4 Nonlinear Black-Box Models: Basic Principles 148
5.5 Nonlinear Black-Box Models: Neural Networks, Wavelets and Classical
Models 154
5.6 Fuzzy Models 156
5.7 Formal Characterization of Models (*) 161
5.8 Summary 164
5.9 Bibliography 165
5.10 Problems 165

Contents ix

part methods


► 6 Nonparametric Time- and Frequency-Domain Methods 168

6.1 Transient-Response Analysis and Correlation Analysis 168


6.2 Frequency-Response Analysis 170
6.3 Fourier Analysis 173
6.4 Spectral Analysis 178
6.5 Estimating the Disturbance Spectrum (*) 187
6.6 Summary 189
6.7 Bibliography 190
6.8 Problems 191
Appendix 6A: Derivation of the Asymptotic Properties of the Spectral
Analysis Estimate 194


► 7 Parameter Estimation Methods 197
7.1 Guiding Principles Behind Parameter Estimation Methods 197
7.2 Minimizing Prediction Errors 199
7.3 Linear Regressions and the Least-Squares Method 203
7.4 A Statistical Framework for Parameter Estimation and the Maximum
Likelihood Method 212
7.5 Correlating Prediction Errors with Past Data 222
7.6 Instrumental–Variable Methods 224
7.7 Using Frequency Domain Data to Fit Linear Models (*) 227
7.8 Summary 233
7.9 Bibliography 234
7.10 Problems 236
Appendix 7A: Proof of the Cram6r-Rao Inequality 245


► 8 Convergence and Consistency 247

8.1 Introduction 247


8.2 Conditions an the Data Set 249
8.3 Prediction-Error Approach 253
8.4 Consistency and Identifiability 258
8.5 Linear Time-Invariant Models: A Frequency-Domain Description of the
Limit Model 263
8.6 The Correlation Approach 269
8.7 Summary 273
8.8 Bibliography 274
8.9 Problems 275
x Contents

► 9 Asymptotic Distribution of Parameter Estimates 280

9.1 Introduction 280


92 The Prediction-Error Approach: Basic Theorem 281
9.3 Expressions for the Asymptotic Variance 283
9.4 Frequency-Domain Expressions for the Asymptotic Variance 290
9.5 The Correlation Approach 296
9.6 Use and Relevance of Asymptotic Variance Expressions 302
9.7 Summary 304
9.8 Bibliography 305
9.9 Problems 305
Appendix 9A: Proof of Theorem 9.1 309
Appendix 9B: The Asymptotic Parameter Variance 313

► 10 Computing the Estimate 317

10.1 Linear Regressions and Least Squares 317


10.2 Numerical Solution by Iterative Search Methods 326
10.3 Computing Gradients 329
10.4 Two-Stage and Multistage Methods 333
10.5 Local Solutions and Initial Values 338
10.6 Subspace Methods for Estimating State Space Models 340
10.7 Summary 351
10.8 Bibliography 352
10.9 Problems 353

► 11 Recursive Estimation Methods 361


11.1 Introduction 361
11.2 The Recursive Least-Squares Algorithm 363
11.3 The Recursive IV Method 369
11.4 Recursive Prediction-Error Methods 370
11.5 Recursive Pseudolinear Regressions 374
11.6 The Choice of Updating Step 376
11.7 Implementation 382
11.8 Summary 386
11.9 Bibliography 387
11.10 Problems 388
Appendix 11A: Techniques for Asymptotic Analysis of Recursive
Algorithms 389
11A Problems 398
Contents xi

part user's choices

► 12 Options and Objectives 399

12.1 Options 399


12.2 Objectives 400
12.3 Bias and Variance 404
12.4 Summary 406
12.5 Bibliography 406
12.6 Problems 406

► 13 Experiment Design 408

13.1 Some General Considerations 408


13.2 Informative Experiments 411
13.3 Input Design for Open Loop Experiments 415
13.4 Identification in Closed Loop: Identifiability 428
13.5 Approaches to Closed Loop Identification 434
13.6 Optimal Experiment Design for High-Order Black-Box Models 441
13.7 Choice of Sampling Interval and Presampling Filters 444
13.8 Summary 452
13.9 Bibliography 453
13.10 Problems 454

► 14 Preprocessing Data 458

14.1 Drifts and Detrending 458


14.2 Outliers and Missing Data 461
14.3 Selecting Segments of Data and Merging Experiments 464
14.4 Prefiltering 466
14.5 Formal Design of Prefiltering and Input Properties 470
14.6 Summary 474
14.7 Bibliography 475
14.8 Problems 475

► 15 Choice of Identification Criterion 477

15.1 General Aspects 477


15.2 Choice of Norm: Robustness 479
15.3 Variance-Optimal Instruments 485
15.4 Summary 488

xi i Contents

15.5 Bibliography 489


15.6 Problems 490

► 16 Model Structure Selection and Model Validation 491

16.1 General Aspects of the Choice of Model Structure 491


16.2 A Priori Considerations 493
16.3 Model Structure Selection Based an Preliminary Data Analysis 495
16.4 Comparing Model Structures 498
6.5 Model Validation 509
6.6 Residual Analysis 511
16.7 Summary 516
16.8 Bibliography 517
16.9 Problems 518


► 17 System Identification in Practice 520

17.1 The Tool: Interactive Software 520


17.2 The Practical Side of System Identification 522
17.3 Some Applications 525
17.4 What Does System Identification Have To Offer? 536

► Appendix I Some Concepts From Probability Theory 539

► Appendix II Some Statistical Techniques for Linear Regressions 543

II.1 Linear Regressions and the Least Squares Estimate 543


11.2 Statistical Properties of the Least-Squares Estimate 551
11.3 Some Further Topics in Least-Squares Estimation 559
11.4 Problems 564

References 565

Subject Index 596

Reference Index 603

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