System Identification: Black Box

Robert Grepl
Institute of Solid Mechanics, Mechatronics and Biomechanics
Faculty of Mechanical Engineering, Brno University of Technology
2010 - 2015
 Black box - agenda

1. Prerequisities:
Least squares.
Discrete dynamic system.
2. How to use LS to estimate parameters of DDS?
Example: mechanical oscillator
3. Problem: Noise.

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 Methods: Least Squares 1/2

generally: LS is Linear Optimization method

assume function
(linear)(ordinary) LS requires
linear parametrization:
example:
consider m measurements
... written in matrix form:

if m=n, then Problem: Find parameters of

line if 2 points are given.
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 Methods: Least Squares 2/2

in real apps, the measurement is not ideal

task is: how to solve this overdetermined problem?

(m equations and n unknowns)
answer: minimize criterion

result:

Note: Penrose pseudoinversion

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 LS example: regression 1D function

fit 1D function
(this task = the fitting of static model linear in parameters)
noise added to measurement
regression matrix: 2.5
noisy data
2 original
fit
1.5

0.5

0
y
-0.5

-1

[E015] -1.5

-2

-2.5
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
t

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 Recursive Least Squares (RLS) (Plackett's algorithm)

online estimation
gives identical result as OLS

assume model

in matrix form:

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 Black box - agenda

1. Prerequisities:
Least squares.
Discrete dynamic system.

2. How to use LS to estimate parameters of DDS?

Example: mechanical oscillator
3. Problem: Noise.

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 OLS & RLS example:
Estimation of mass+spring+damper system 1/3
1) Discretization

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 OLS & RLS example:
Estimation of mass+spring+damper system 2/3
2) Create matrix X and vector Y

Y(k) = y(k);
X(k,:) = [y (k-1), y(k-2), u(k-2)];
{E003}

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 OLS & RLS example:
Estimation of mass+spring+damper system 3/3

3) Solve LS/RLS problem

both LS and RLS provide the same results
convergence of RLS/precision of LS depends on excitation signal
Oscilator position
10
continuous sim
0 ARX sim
{E003} -10
0 2 4 6 8 10
t [s]
Input excitation force [N]
50
input u

But: there is no noise 0

considered in our -50

simulation! 0 2 4
t [s]
6 8 10

convergence of Recursive LS (RLS)

2
a1
0 a2
b2
-2
0 2 4 6 8 10
t [s] www.mechlab.cz 10
ISMMB, Faculty of Mechanical Engineering, Brno University of Technology
 Black box - agenda

1. Prerequisities:
Least squares.
Discrete dynamic system.
2. How to use LS to estimate parameters of DDS?
Example: mechanical oscillator

3. Problem: Noise.

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ISMMB, Faculty of Mechanical Engineering, Brno University of Technology
Problem = noise: simple example study setup 1/4

consider first order system

discretization:

Ts

for simplicity, consider NO INPUT

xk 1 axk
TASK: estimate one parameter a. 2

1.5

simulation data : 1

x
0.5

0
0 2 4 6 8 10
t

1.5
x(k+1)

0.5

-1 0 1 2 www.mechlab.cz
3 12
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x(k) University of Technology
 Problem = noise: simple example study
without noise 2/4
Consider ini value x_0 and simulate equation: xk 1 axk
On lower Fig. we see the plot x(k) vs. x(k+1).
From the equation, it is obvious, that it should be a line.
The slope of this line is a.
2
With data WITHOUT noise, 1.5

the estimation of a is precise. 1

x
0.5

0
0 2 4 6 8 10
t

1.5
x(k+1)

0.5

-1 0 1 2 3
x(k)

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 Problem = noise: simple example study
noise on output 3/4
Consider further the noise on output (e.g. noise of sensor).
Equation: xk 1 axk
(w is random number with normal distribution (Gauss) yk xk w
We can observe a problem with estimation of parameter a.
6
% simulation
5 5 x(1) = x0;
for i = 2:length(t)
4 4
x(i,1) = a*x(i-1);
3 5
3
y(i,1) = x(i) + randn*0.2;
end
x(k+1)

2
x

4 2

1
1
0
3
x(k+1)

0
-1
2
-1
-2
0 2 4 6 8 10 -1 0 1 2 3 4 5
t 1 x(k)

0
Example:
-1
SI 004
4 6 8 10 -1 0 1 2 3 4 5
t x(k) www.mechlab.cz 14
ISMMB, Faculty of Mechanical Engineering, Brno University of Technology
 Problem = noise: simple example study

Next, consider noise inside the system

which modifies the state of x(k). xk 1 axk w
Equation:
y k xk
This noise can be considered as a random
disturbance (input) influencing the system.
Using the simulation, we can observe, that the estimation of
parameter a is perfect.
12
10
10 10 % simulation
8 for i = 2:length(t)
8 8
6 x(i,1) = a*x(i-1) + randn*0.2;
6 6 y(i,1) = x(i) ;
4
4
4
end
x(k+1)

2
2
x

x(k+1)

2
0 0
0
-2 -2
-2
-4 -4

-6 -4
-6
Example:
-8
0 2 4 6 8 10
-6
-5 0 5 10
SI 004
t x(k)
0 2 4 6 8 10 -5 0 5 10 www.mechlab.cz 15
t x(k)
ISMMB, Faculty of Mechanical Engineering, Brno University of Technology
 Linear Models for System Identification

q = forward shift operator

e.g.: q-1 x(k) = x(k-1)

linear models = relation between y(),u(), and noise v(k) through

transfer functions
general form:

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 Linear Models for System Identification

AR autoregressive model

MA moving average

example: smoothing

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 Linear Models for System Identification
Very popular linear in parameters
OLS
ARMA

ARX

ARMAX

OE

Example: system completely deterministic,

BJ noise added only to output (e.g. position
sensor = potentiometer)

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 Black-box identification
- the use of a tool System Identification/GUI
Robert Grepl
Institute of Solid Mechanics, Mechatronics and Biomechanics
Faculty of Mechanical Engineering, Brno University of Technology
2010 - 2015
 System Identification Toolbox - GUI

System Identification Toolbox

very (very) complex tool, author L. Ljung
you can work using
command line
GUI
how to run it?: ident

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System Identification Toolbox GUI: Import data

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 System Identification Toolbox GUI: Preprocessing

preprocessing of the data

check data
select estimation divide
and verification data Estimation and
Verification
data

Check
imported data

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 System Identification Toolbox GUI: Select data

Select data for Estimation and for Verification

Data for
estimation

Data for
verification

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 System Identification Toolbox GUI:
Estimate order of the system
Example:
You can estimate ARX
several ARX models at
once.
Think about noise...

Example:
OE
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 Exercise

S005

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 Dodatky

Offline vs. online odhad parametr

IV (Instrumental variable) method
Nelinern nejmen tverce

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 Offline vs. online odhad parametr

batch estimation
measurement in time (0,T)
data processing
parameter estimation using all data
online estimation
parameter estimation during system operation
recursive algorithm
advantages:
memory requirements (often) reduced OLS vs. RLS
the slow changes of parameters can be captured

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 Recursive Least Squares (RLS) (Plackett's algorithm)

online estimation
gives identical result as OLS

assume model

in matrix form:

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ISMMB, Faculty of Mechanical Engineering, Brno University of Technology
 OLS & RLS example:
Estimation of mass+spring+damper system 3/3

Solve LS/RLS problem

both LS and RLS provide the same results
convergence of RLS/precision of LS depends on excitation signal
Oscilator position
10
continuous sim
0 ARX sim
{E003} -10
0 2 4 6 8 10
t [s]
Input excitation force [N]
50
input u

No noise considered in our 0

simulation! -50
0 2 4 6 8 10
t [s]
convergence of Recursive LS (RLS)
2
a1
0 a2
b2
-2
0 2 4 6 8 10
t [s] www.mechlab.cz 37
ISMMB, Faculty of Mechanical Engineering, Brno University of Technology
 OLS & RLS example:
Estimation of mass+spring+damper system with noise

Assume noise added to measurement (e.g. if potentiometer used)

noise_stdvar = 0.1;
(later, we name this noise model Output Error = OE model)
Oscilator position
2
0
-2
-4
-6
{E003} 5.5 6 6.5 7 7.5continuous8sim
t [s] ARX sim
Input excitation force [N]
50
input u

-50
0 2 4 6 8 10a1
t [s] a2
convergence of Recursive LS (RLS) b2
2
1
0
-1
0 2 4 6 8 10
t [s]
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Estimation of OE: Instrumental Variable (IV) Method

solution for consistency problem

1. Estimate ARX
2. Simulate model with estimated parameters
3. Create instrumental matrix Z

4. Estimate

repeat steps 2-4 (usually upto 3-4 steps) [E009]

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 Nonlinear Least Squares 1/2

motivation: need to find parameters for functions which are

nonlinear in parameters
assume vector field
goal: minimize criterion

Taylor series

gradient:

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 Nonlinear Least Squares 2/2

all NLS methods are iterative

methods for computation of h:
Steepest descent

Newtons method

Gauss-Newton

Levenberg-Marquardt

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 Example NLS: Solution of overdetermined system

Assume vector field

clearly, the system is overdetermined

x = 1 / 0.4115
Task: Find solution which has minimal mean square error.
convergence of iteration method

0.8
values of x

0.6 LM lambda = 2
0.4 GN alpha = 0.5
solution of individual equations
0.2

0
0 2 4 6 8 10 12 14 16 18 20
[E002] iterations
Plot of square error
0.8
f21
0.6
f22
0.4
f21 + f22

0.2

0
0.4 0.5 0.6 0.7 0.8 0.9 1 1.1 1.2 1.3
variable x
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 References

[Iserman 2011] Isermann, R., Muenchhof, M.: Identification of Dynamics Systems,

Springer 2011
[Nelles, 2001] O. Nelles: Nonlinear system identification: from classical approaches to
neural networks and fuzzy models, Springer-Verlag, 2001
google books
[Noskievi, 1999] P. Noskievi: Modelovn a identifikace systm, Montanex, 1999
[Ljung 2008] L. Ljung: Perspectives on System Identification, Seoul 2008,
http://www.control.isy.liu.se/~ljung/
[Denery 2005] T. Denery: Modeling Mechanical, Electric and Hydraulic Systems in
Simulink, Matlab webinars, 2005
[Blaha] doc. Ing. Petr Blaha, PhD., FEKT, CAK
http://sites.google.com/site/modelovaniaidentifikace/
[Gander, 1980] Gander, W.: Algorithms for QR-Decomposition, research report, 1980
http://www.emeraldinsight.com/journals.htm?articleid=1943785&show=html
http://courses.ae.utexas.edu/ase463q/design_pages/fall02/AWE_web/secondorder.htm
http://www.ni.com/white-paper/4028/en/

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Kontakt: www.mechlab.cz
stav mechaniky tles, mechatroniky a biomechaniky
Fakulta strojnho inenrstv
Vysok uen technick v Brn
doc. Ing. Robert Grepl, Ph.D.
grepl@fme.vutbr.cz