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Outline
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Introduction Identication problem Subspace Identication Nuclear Norm Minimization Rank Minimization Nuclear Norm Minimization Identication by Nuclear Norm Minimization Basics and Variations Simulations Benchmark examples for System Identication Conclusion
S. Grammatico (DESE UNIPI) Nuclear Norm Minimization Identication of Uncertain Systems 2 / 31
Outline
1
Introduction Identication problem Subspace Identication Nuclear Norm Minimization Rank Minimization Nuclear Norm Minimization Identication by Nuclear Norm Minimization Basics and Variations Simulations Benchmark examples for System Identication Conclusion
S. Grammatico (DESE UNIPI) Nuclear Norm Minimization Identication of Uncertain Systems 3 / 31
This presentation is based on Z. Liu and L. Vandenberghe, Interior-point method for nuclear norm approximation with application to system identication, SIAM Journal on Matrix Analysis and Applications, vol. 31, n. 3, pp. 12351256, 2009. Z. Liu and L. Vandenberghe, Notes on rst-order method for nuclear norm approximation problems and system identication, e-mail communications between Zhang Liu and Sergio Grammatico, November 2010.
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Problem statement
State-space identication of a discrete-time LTI model
Discrete-time LTI system x(t + 1) = Ax(t) + Bu(t) y (t) = C x(t) + Du(t), x(t) Rn , u(t) Rm , y (t) Rp , t = 0, 1, ..., N, A Rnn , B Rnm , C Rpn , D Rpm . (1)
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Problem statement
State-space identication of a discrete-time LTI model
Discrete-time LTI system x(t + 1) = Ax(t) + Bu(t) y (t) = C x(t) + Du(t), x(t) Rn , u(t) Rm , y (t) Rp , t = 0, 1, ..., N, A Rnn , B Rnm , C Rpn , D Rpm . (1)
Identication problem Given sequences u(0), u(1), ..., u(N) and y (0), y (1), ..., y (N), nd n, A, B, C , D and the initial state x(0).
S. Grammatico (DESE UNIPI) Nuclear Norm Minimization Identication of Uncertain Systems 5 / 31
Subspace Identication
Main ideas (1)
Dene the block Hankel matrices y (0) y (1) Y = . . . y (1) y (2) . . . y (2) y (3) . . . y (N r ) y (N r + 1) . . . y (N)
(2)
y (r ) y (r + 1) y (r + 2)
u(0) u(1) U = . . .
u(1) u(2) . . .
u(2) u(3) . . .
(3)
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Subspace Identication
Main ideas (2)
(4)
, H =
, (5)
X =
x(N r ) .
(6)
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Subspace Identication
Main ideas (3)
B. De Moor, M. Moonen, L. Vandenberghe and J. Vandewalle, A geometrical approach for the identication of state space models with the singular value decomposition, Proc. of the IEEE Int. Conf. on Acoustics, Speech and Signal Processing, Washington (USA), 1988.
S. Grammatico (DESE UNIPI) Nuclear Norm Minimization Identication of Uncertain Systems 8 / 31
Subspace Identication
(Approximate) Solution (1)
Change of coordinates: x(t) = T x (t), T non singular. G = basis for the range of YU G = GT = G0 G1 . . . r G C CA = . T . . CAr
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Subspace Identication
(Approximate) Solution (2)
C = G0
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Subspace Identication
(Approximate) Solution (2)
C = G0 G1 G2 . . . r G G0 G1 . . . r 1 G A
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Subspace Identication
(Approximate) Solution (2)
C = G0 G1 G2 . . . r G G0 G1 . . . r 1 G A
x C At 0 +
k=0
t = 0, 1, ..., N. (8)
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Subspace Identication
Some references
P. Van Overschee and B. De Moor, N4SID: subspace algorithms for the identication of combined deterministic-stochastic systems, Automatica, vol. 30, pp. 7593, 1994. M. Verhaegen, Identication of the deterministic part of MIMO state space models given in innovations form from input-output data, Automatica, vol. 30, pp. 6174, 1994. M. Viberg, Subspace-based methods for the identication of linear time-invariant systems, Automatica, vol. 31, pp. 18351851, 1995. P. Van Overschee and B. De Moor, Subspace identication for linear systems. Theory, implementation, applications, Kluwer Academic Publishers, 1996. L. Ljung, System Identication Toolbox, MathWorks, 2011.
S. Grammatico (DESE UNIPI) Nuclear Norm Minimization Identication of Uncertain Systems 11 / 31
Outline
1
Introduction Identication problem Subspace Identication Nuclear Norm Minimization Rank Minimization Nuclear Norm Minimization Identication by Nuclear Norm Minimization Basics and Variations Simulations Benchmark examples for System Identication Conclusion
S. Grammatico (DESE UNIPI) Nuclear Norm Minimization Identication of Uncertain Systems 12 / 31
Rank minimization
Problem formulation
(9)
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Rank minimization
Problem formulation
(9)
where A(x) = x1 A1 + x2 A2 + ... + xn An . NP-hard M. Fazel, H. Hindi and S. Boyd, A rank minimization heuristic with application to minimum order system approximation; Rank minimization and applications in system theory, Proc. of the IEEE American Control Conference, Arlington (USA) 2001 and Boston (USA) 2004.
S. Grammatico (DESE UNIPI) Nuclear Norm Minimization Identication of Uncertain Systems 13 / 31
(10)
Nuclear norm Z
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(10)
Nuclear norm Z
sub. to
0,
(11)
U = U Rpp , V = V
S. Grammatico (DESE UNIPI)
=
i
|zi | = z
(12)
min Px q
(13)
(14)
sub. to y Px q y
S. Grammatico (DESE UNIPI) Nuclear Norm Minimization Identication of Uncertain Systems 15 / 31
Outline
1
Introduction Identication problem Subspace Identication Nuclear Norm Minimization Rank Minimization Nuclear Norm Minimization Identication by Nuclear Norm Minimization Basics and Variations Simulations Benchmark examples for System Identication Conclusion
S. Grammatico (DESE UNIPI) Nuclear Norm Minimization Identication of Uncertain Systems 16 / 31
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min
(t) y
YU
(15)
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Trade-o: identied dimension rank(YU ) vs output deviation ((t) y (t)) y Nuclear Norm Minimization with Quadratic Regularization
N
min
(k) y
YU
+
t=0
(t) y (t) y
2 Wt
(16)
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Trade-o: identied dimension rank(YU ) vs output deviation ((t) y (t)) y Nuclear Norm Minimization with Quadratic Regularization
N
min
(k) y
YU
+
t=0
(t) y (t) y
2 Wt
(16)
YU
(17) t = 0, 1, ..., N
Identication of Uncertain Systems 18 / 31
sub. to
S. Grammatico (DESE UNIPI)
(t) y (t) y
Nuclear Norm Minimization
= optimal solution of (16) y (0) y (1) y Y= . . . (1) y (2) y . . . (2) y (3) y . . . (N r) y (N r + 1) y . . . (N) y
(r) (r + 1) (r + 2) y y y
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= optimal solution of (16) y (0) y (1) y Y= . . . (1) y (2) y . . . (2) y (3) y . . . (N r) y (N r + 1) y . . . (N) y
(r) (r + 1) (r + 2) y y y
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Outline
1
Introduction Identication problem Subspace Identication Nuclear Norm Minimization Rank Minimization Nuclear Norm Minimization Identication by Nuclear Norm Minimization Basics and Variations Simulations Benchmark examples for System Identication Conclusion
S. Grammatico (DESE UNIPI) Nuclear Norm Minimization Identication of Uncertain Systems 20 / 31
Simulations
Benchmark examples for System Identication
Experimental data sets Experiment 1 2 3 . . . 10 CD player arm Continuous stirred tank reactor Hair dryer # Inputs 2 1 1 # Outputs 2 2 2 N 800 950 550
Industrial dryer
850
B. De Moor, P. De Gersem, B. De Schutter and W. Favoreel, DAISY: a database for the identication of systems, Journal A, vol. 38, no. 3, pp. 4-5, 1997.
S. Grammatico (DESE UNIPI) Nuclear Norm Minimization Identication of Uncertain Systems 21 / 31
Simulation results
MIMO CD Player Arm
2 Inputs (forces of the mechanical actuators) 2 Outputs (tracking accuracy of the arm) Identied dimension: n = 3 N4SID default: n = 10 Validation error denition: eV =
NV 1 t=0 NV 1 t=0
2 2 yV 2 2
1 2
(18)
Simulation results
MIMO CD Player Arm in Python (1)
Original Optimized
10-4
10-6
10-8 0
10
20
25
30
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Simulation results
MIMO CD Player Arm in Python (2)
(Estimated) Outputs
1.5 1.0 Output y0 0.5
0.0 0.5 1.0 1.50 1.5 2.0 1.0 0.5 0.0 0.5 1.0 1.50
100
200
300 Time t
400
500
600
Measured Estimated
Output y1
100
200
300 Time t
400
500
600
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Simulation results
SISO Heating system
1 Input (input drive voltage) 1 Output (temperature) Identied dimension: n = 3 N4SID default: n = 2 Validation error Comparison: 0.08 (Nuclear Norm method) vs 0.09 (N4SID with n = 2, 3)
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Simulation results
SISO Heating system in Matlab (1)
10^(2)
10^(4)
10^(6)
10^(8)
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Simulation results
SISO Heating system in Matlab (2)
(Estimated) Outputs
200
180
160 Output y0
140
120
100
80 0
50
100
150
200 Time t
250
300
350
400
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Simulations
Software implementation
Input/Output experimental data from http://homes.esat.kuleuven.be/smc/daisy/ CVXOPT (Python) sol = sysid.sysid(y[:,:N],u[:,:N],1/gamma,threshold) CVX (Matlab) cvx begin variable y(N,1) minimize( norm nuc(hankel(y(1:r),y(r:end))*Un) + gamma*(y-ym)*(y-ym) ) cvx end
S. Grammatico (DESE UNIPI) Nuclear Norm Minimization Identication of Uncertain Systems 28 / 31
Outline
1
Introduction Identication problem Subspace Identication Nuclear Norm Minimization Rank Minimization Nuclear Norm Minimization Identication by Nuclear Norm Minimization Basics and Variations Simulations Benchmark examples for System Identication Conclusion
S. Grammatico (DESE UNIPI) Nuclear Norm Minimization Identication of Uncertain Systems 29 / 31
Conclusion
Summarizing
(Linear) Systems Identication can be casted into SDP Main advantage of the Nuclear Norm technique: automatic selection of the identied-model order
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Conclusion
Summarizing
(Linear) Systems Identication can be casted into SDP Main advantage of the Nuclear Norm technique: automatic selection of the identied-model order
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Conclusion
System Identication by Nuclear Norm Optimization: still investigated
K. Mohan and M. Fazel, Reweighted nuclear norm minimization with application to system identication, Proc. of the IEEE American Control Conference, Baltimore (USA), 2010. P.M.O. Gebraad, J.W. van Wingerden, G.J. van der Veen and M. Verhaegen, LPV subspace identication using a novel nuclear norm regularization method, Proc. of the IEEE American Control Conference, San Francisco (USA), 2011.
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