Matlab SysId Tutorial

Matlab System Identication Toolbox Quickstart
Chiara Masiero
http://automatica.dei.unipd.it/people/chiara-masiero/teaching.html Department of Information Engineering University of Padova, Italy 16 febbraio 2012 Version 1.0
C. Masiero (DEI - UniPD)
Matlab SysId tutorial
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System Identication
We need a better model
No
Data
Identication data
Candidate model
Performances analysis
Are performances ok?
Yes
Done!
Validation data
Matlab System Identication Toolbox: help ident GUI (Graphical User Interface) version: ident
C. Masiero (DEI - UniPD) Matlab SysId tutorial 2 / 23
Outline
Data management Model selection Performances analysis Conclusion
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Data management
Signals generation - 1/2

Input signals: some examples
e = m+s*randn(100,1) Creates 100 samples of WGN with mean m and variance s 2 . u = idinput(N,TYPE) Generates input signals for identication. In particular:
N = [Ns Nu] Input signal with Nu channels (each of Ns samples); N = [P Nu M] Input signal with Nu channels, with period P, of length M P ; TYPE = RGS Random Gaussian Signal TYPE = RBS Random Binary Sequence TYPE = PRBS Pseudo Random Binary Signal TYPE = SINE Sum-of-sinusoid Signal
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Data management
Signals generation - 2/2

Output signals: some examples
A(z ) b0 +b1 z +b2 z Fed the lter H (z ) = B (z ) = a0 +a1 z 1 +a2 z 2 +a3 z 3 with input u : A = [a0 a1 a2 a3]; B = [b0 b1 b2]; In order to compute the output signal y in Matlab you can. . .
1 2
. . . use the command filter: y=filter(B,A,u); . . . dene H = H (z ) by means of z=tf(z), then y = lsim(H,u); . . . create a Simulink model.
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Data management
Data preprocessing - 1/2
Let u and y be the available input/output sequence (arrays or matrices). First, put it in the form of an iddata object data=iddata(y,u,Ts) % Ts is the sampling time. Elaborate example data = iddata(y,u,0.08,InputName,Power,InputUnit,... Watt,OutputName,Temperature,OutputUnit,C); The available data should be split into identication and validation data.
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Data management
Data preprocessing 2/2
Usually you should remove osets and linear trends from the data (e.g. if you want a linearized model which describes the system in the neighbourhood of an equilibrium point) [detData, Trend]=detrend(data,TYPE) where data is the iddata object to process and TYPE can be either 0 (oset removal) or 1 (linear trend removal) Simulate the identied model in proximity of the working point input = detData(:,[],:) % Input signal ylin = sim(model,input) % No trend is considered ytotal = retrend(ylin,Trend) % Add trend
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Model selection
System Identication
Our framework: parametric identication Starting point choose a model class (ARMA, AR, BJ, etc. . . ); x the model complexity. Lets give a look to frequently used model classes. . .
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Model selection
Model classes 1/2
ARX: A(z )y (t ) = B (z )u (t nk ) + e (t ) A(z ) = 1 + a1 z 1 + + ana z na , B (z ) = b1 + b2 z 1 + + bnb z nb +1 . Matlab command model=arx(data,[na nb nk]) ARMAX: A(z )y (t ) = B (z )u (t nk ) + C (z )e (t ) A(z ) = 1 + a1 z 1 + + ana z na , B (z ) = b1 + b2 z 1 + + bnb z nb +1 , C (z ) = 1 + c1 z 1 + + cnc z nc . Matlab command model=armax(data,[na nb nc nk])
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Model selection
Model classes 2/2

B (z ) F (z ) u (t
OE: y (t ) =
nk ) + e (t )
B (z ) = b1 + b2 z 1 + + bnb z nb +1 , F (z ) = 1 + f1 z 1 + + fnf z nf Matlab command model=oe(data,[nb nf nk]) BJ: y (t ) =

B (z ) F ( z ) u (t
nk ) +
C (z ) D (z ) e (t )
B (z ) = b1 + b2 z 1 + + bnb z nb +1 , F (z ) = 1 + f1 z 1 + + fnf z nf , C (z ) = 1 + c1 z 1 + + cnc z nc , D (z ) = 1 + d1 z 1 + + dnd z nd Matlab command model=bj(data,[nb nc nd nf nk])
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Model selection
How to select a model class?

Physics can suggest some information about what kind of model we should use; What are our aims? e.g. prediction, control, model reduction, etc. . . ; ARX models If no additional information is provided, starting from an ARX model may a good idea:
1 2 3
Numerically ecients routines; Matlab provides useful tools in order to select the best model order; The identied AR models provides a starting point for the identication of other models.
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Model selection
Order selection in Matlab - 1/4

Aim Simplicity: use models with low complexity whenever you can. Order selection also depends on delay estimate: NK = delayest(DATA,NA,NB) where NA and NB are the number of coecients of the denominator and the numerator of the candidate transfer function, respectively. The delayest command evaluates the ARX models described by
y (t ) + + an y (t na ) = b1 u (t nk ) + ... + bn u (t nb nk + 1)
for dierent values of nk e selects the value which exhibits the best t.
Model selection
arxstruc compute the value of a loss function corresponding to ARX models of dierent orders struc generates triples describing the orders of the ARX models to be considered by arxstruc selstruc compares the values of the loss function for dierent choices of the order and select the best Example V = arxstruc(dataId,dataVal,struc(2,2,1:10)); [bestOrders,Vm] = selstruc(V,0);
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Model selection
V = arxstruc(dataId,dataVal,struc(1:10,1:10,3)); Compute the loss function for ARX models of orders nA and nB from 1 to 10 and xed delay of 3; The best triple is given by bestOrders = selstruc(V,0) Validation data They are fundamental in prevent overtting.
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Model selection
Order estimation in Matlab - 4/4
selstruc provide an interactive GUI: bestOrders = selstruc(V)

Model Misfit vs number of par's 2.5
Green: MDL Choice Blue: AIC Choice

2 Unexplained output variance (in %)
Red: Best Fit
1.5
0.5
10 15 Number of par's
20
25
selctruc also allows to take into account other criteria in order to select the best order, like AIC and MDL.
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Model validation and evaluation 1/6

Use validation data (which were not used to compute the candidate model, previously) to asses the quality of the model For instance, resid(dataVal,model) computes an estimate of the correlation of the residues and the condence interval within they should be (except for the rst one) in case the model is good.
Correlation function of residuals. Output Temperature 1 0.5 0 0.5 0
10 lag
15
20
25
Cross corr. function between input Power and residuals from output Temperature 0.5
0.5 30
20
10
0 lag
10
20
30
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The command pzmap allows to analyse the zero-poles map of the identied model:
From Power 1 0.8 0.6 0.4 To Temperature 0.2 0.9/T 0.8/T 0.7/T 0.5/T 0.6/T 0.4/T 0.1 0.3/T 0.2 0.3 0.4 0.2/T 0.5 0.6 0.7 0.1/T 0.8 0.9
/T 0 /T 0.2 0.4 0.6 0.8 1 1 0.8/T 0.7/T 0.6/T 0.4/T 0.5/T 0 0.3/T 0.2/T 0.9/T 0.1/T
0.5
0.5
pzmap(arx223,b,arx423,r);

In order to valuate a model and compare it with others candidates, you can turn to compare:
Temperature. (sim) Measured arx223; fit: 88.74% arx443; fit: 89.29% 10
5 Temperature (o C)
Fit = 100 1
yh y y y
10
15 52
y : real output : sample mean y yh : output provided by the identied model.

54 56 58 60 62 64 66
compare(dataVal,arx223,b,arx423,r)
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Example Consider an ARX model. Do the orders [4 4 3] perform better the triple [2 2 3]?
From Voltage 1 0.8 0.6 0.4 To Temperature
arx443 = arx(dataId,[4 4 3]); zpplot(arx443,3)
0.2 0 0.2 0.4 0.6 0.8 1 1
0.5
0.5
Overlapping condence intervals suggest the presence of reductions. Therefore, the lower order model could be adequate.

Example Actually, compare suggests the eectiveness of an ARX model of orders [2 2 3]:
Temperature. (sim) Measured arx223; fit: 88.74% arx443; fit: 89.29% 10
5 Temperature (o C)
10
15 52
54
56
58
60
62
64
66
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Plot the Bode diagrams in order to analyse the frequency response of the model:
10 Amplitude 10 10 10
0
From Power to Temperature
10
10
10
10
0 Phase (degrees) 200 400 600 1 10
10
10 Frequency (rad/s)
10
bode(arx223,b,arx313,r)
Conclusion
Suggestions and references
Are you in a hurry? Micro SysId Toolbox manual: help idhelp Come into action! Ocial demos: iddemo Further readings All Matlab SysId can oer: help ident Ocial manual: http://www.mathworks.it/help/toolbox/ident/
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chiara.masiero@dei.unipd.it
http://automatica.dei.unipd.it/people/chiara-masiero/teaching.html

Matlab SysId Tutorial

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Matlab System Identication Toolbox Quickstart

C. Masiero (DEI - UniPD)