1

System
Identification
ECE 683


Department of Electrical and
Computer Engineering
Fall Term, 2008

Professor W. J. Wilson










2
System Identification Problem
Measured
Output
0 1
1
1
0
1
1
) (
) (
a a s a s
b s b s b
K
s U
s Y
n
n
n
m
m
m
m
+ + + +
+
=

L
L
Identification
Algorithm
Test Signals
Noise
u
k
y
k
u(t)
y(t)
System Model
3
Basic Elements of the System
Identification Problem

Model Structure
Experiment Design
Method for Selecting a Particular
Model
Validation of the Selected Model

Computer tools are required to
support the various parts of the
problem !

Example : Matlab/Simulink and the
Identification Tool Box
4
Mathematical Models of Dynamic
Systems

Models permit the prediction of
the outputs of a system, given
the initial conditions and the
inputs.
All models are approximations of
the dynamic behavior of a
system.
The selected model depends upon
the purpose of the model as well
as the system characteristics.
There are no exact models of real
systems.
5
Non-Parametric Models
Impulse Response Models






Frequency Response Models




6
Parametric Models
Choose the Model Structure
Estimate the Model Parameters for
the Best Fit (parameter
optimization)
1. Transfer Function Models (SISO)


Model structure: choose
Estimate parameters:
Alternate form,



7
2. Time Domain Model (SISO)





3. Discrete Transfer Function Models
(SISO)





8
4. Discrete Time Domain Models (SISO)



9
5. State Space Models (MIMO)


where



Structural parameters:
Model parameters (to be estimated):


Canonical forms: minimum parameter
models
10
6. Transfer Function Matrix Models
(MIMO)







Relation to the State Space Model:



11
State Space -> TF Model Example:














12
7. Discrete State Space Models
(MIMO)



where are the state,
input, and output vectors at k
th
time point.

8. Discrete Transfer Function Matrix
Models (MIMO)




13
9. Stochastic Systems Models
Systems which include random variables.
- disturbances: random (noise) inputs
- measurement noise: random variables
added to the outputs
We cannot directly measure the random
variables.
We describe random variables through
statistical characteristics.
Example Gaussian Distributed noise is
described by the mean and variance.



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10. Nonlinear Systems Models
- Contain nonlinear functions of system
variables.
- Superposition does NOT apply.
- It is difficult to develop general results
the model structures are not constant.
Example




State space nonlinear model form:




15
11. Discrete Nonlinear Systems
Models





12. Time Varying Systems Models
- System characteristics vary with time.
- Model parameters vary with time.
- Real-time tracking of parameters
required.
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Relationship Between Models
- Some relationships are unique while others
are not.
- Some are exact while others are
approximations.
- A summary is given on the following page.
17
Model Forms and Their Relationships






linearization linearization





Transition matrix with assumption of
a constant input between samples























& x
x x
T
k k

+1

x f x u k
y g x u k
k k k
k k k
+
=
=
1
( , , )
( , , )

& ( , , )
( , , )
x f x u t
y g x u t
=
=

& x
x x
T
k k

+1

& x Ax Bu
y Cx Du
= +
= +

x x u
y Cx Du
k k k
k k k
+
= +
= +
1


Y s C sI A B D U s ( ) [ ( ) ] ( ) = +
1
) ( ] ) ( [ ) (
1
z U D zI C z Y + =


Y s
G s G s
G s G s
U s ( )
( ) ( )
( ) ( )
( ) =

11 12
21 22
L
M M
L

Y z
G z G z
G z G z
U z ( )
( ) ( )
( ) ( )
( ) =

11 12
21 22
L
M M
L

) (
1
T small for
sT z
e z
sT
+
=

{ } ) ( ) (
) ( ) ( ) (
( ,
1
,
,
s G t h
s U s G s Y
j i j i
j j i i

=
=
L

{ }
Y z G z U z
h k G z
i i j j
i j i j
( ) ( ) ( )
( ) ( )
,
, , (
=
=

Z
1

y t h t u d
i i j j
t
( ) ( ) ( )
,
=

0

=
=
k
m
j j i i
m u m k h k y
0
,
) ( ) ( ) (
t kT
d T
mT
for small T
=

( )

u b
dt
du
b
dt
u d
b
y a
dt
dy
a
dt
y d
m m
m
m
n n
n
n
+ +
= + + +

1 0
1
L
L

m k m k k
n k n k k
u b u b u b
y a y a y


+ + +
= + + +
L
L
1 1 0
1 1

G s
b s b s b s b
s a s a s a
m m
m m
n n
n n
( ) =
+ + +
+ + +

0 1
1
1
1
1
1
L
L

n
n
m
m
z a z a
z b z b b
z G


+ +
+ +
=
L L
L L
1
1
1
1 0
1
) (

18
Modeling Error Definitions
Output Error:




Example:

where


then the model output is


The output error is clearly a nonlinear
function of the estimated system parameters.

19
Input Error:







This form is not used much.
20
Generalized Error:











The generalized error is linear in the parameters,
and therefore, linear parameter estimation may be
used.
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A Problem:

then



If is white noise, the generalized error
will contain coloured raise, which causes
significant problems in the parameter
estimation process.
Consider Pre-whitening Filters:
Apply the same filter to the input and output
sequences, . This should not cause any
change in the input-output relationship over the
admitted frequencies.



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Now





then


If is white noise and, then is
also white noise.
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Some Common Model Notations
The model given above may be written in a more
general form known as the ARMAX model.




Other related model forms:
The ARX model form.

The MA model form.

The AR model form.

The ARMA model form.

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Notation used in Liungs Book














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Experiment Design






Choices:
a) Inputs
b) Data Collection
c) System Operating Condition
Inputs: size? periodic? noise?
- Periodic sine wave, square wave, triangular
wave, period, and offset.
- Non periodic step, impulse (pulse), random.
- Random white noise (approximation), pseudo
random, PRBNS.
- Size linear/nonlinear considerations, noise
considerations, bias.
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- Off-set Signal perturbations about an
operation condition.
Data Collection:
- Sample data always
- Sample time (period) dynamic considerations
- Length of data series dynamic considerations
System Operating Condition:
- Nonlinear systems operating point (steady
state)
- Sequence of experiments at different
operating points
- Normal plant inputs
- Superimpose test signals