Lecture 3

Modelos para Control IPD469
Lecture 3
System Identification
Prof: Juan C. Agero
Departamento de Ingeniera Electrnica

UTFSM, Chile
Valparaso, 31 de Agosto de 2017
J. C. Agero Lecture 3 1/ 38
Outline
1 System identification
2 Non-parametric methods
3 Input signals
4 Models parameterization
5 Estimates / Estimators
Outline
3 Input signals
References for System Identification:
P. Eykhoff. System Identification: Parameter and state estimation. John
Wiley and Sons, 1974.
G. C. Goodwin and R. Payne. Dynamic System Identification: Experi-
ment design and data analysis. Academic Press, 1977.
T. Sderstrm and P. Stoica. System Identification. Prentice-Hall Interna-
tional, 1989.
L. Ljung. System Identification: Theory for the user. Prentice Hall, 2nd
edition, 1999.
R. Pintelon and J. Schoukens. System Identification: A frequency domain
approach. IEEE Press, 2001.
J. P. Norton. An introduction to Identification. Academic Press, 1986.
S. D. Silvey. Statistical inference. Chapman and Hall, 1975.
System identification
Problem of interest:
To find a model for a dynamic system utilizing experimental data.
What for?
Most of modern control design techniques are based on an available model
(e.g. MPC, adpative control).
What for?
We can gain understanding of the real system by building a model that

represents it.
What for?
Many electronic devices utilize some kind of identification method. For

example, channel estimation in wireless communications.
What for?
Methods utilized in Signal processing, Machine Learning, Fault detection,

and Econometrics are closely related to System Identification methods.
What for?
Most of modern control design techniques are based on an available model
(e.g. MPC, adpative control).
We can gain understanding of the real system by building a model that
represents it.
Many electronic devices utilize some kind of identification method. For
example, channel estimation in wireless communications.
Methods utilized in Signal processing, Machine Learning, Fault detection,
and Econometrics are closely related to System Identification methods.
System identification loop:
Difficulties:
Defining inputs and outputs of the systems. What are the available sensors
and actuators?
Difficulties:
Model parametrization Physics, general parametrization (Black-Box).

How to deal with model uncertainty?
Difficulties:
Measurements are usually contaminated with noise. It is important to

know what signals are contaminated with noise. If there is no noise, and
no model uncertainty, then it is enough to solve a system of equations for
most problems.
Difficulties:
Experimental conditions are important to obtain a good model: sampling

time, open / closed loop. In some cases it is impossible to identify the
system irrespective of the identification algorithm utilized.
Difficulties:
How to design an experiment?
Difficulties:
What identification methods should be used for a particular problem?
Difficulties:
Defining inputs and outputs of the systems. What are the available sensors
and actuators?
Model parametrization Physics, general parametrization (Black-Box).
How to deal with model uncertainty?
Measurements are usually contaminated with noise. It is important to
know what signals are contaminated with noise. If there is no noise, and
no model uncertainty, then it is enough to solve a system of equations for
most problems.
Experimental conditions are important to obtain a good model: sampling
time, open / closed loop. In some cases it is impossible to identify the
system irrespective of the identification algorithm utilized.
How to design an experiment?
What identification methods should be used for a particular problem?
Areas of research:
Developing identification algorithms for a particular problem of interest.
Even though we typically use ML or Bayesian estimation methods, it is
still necessary to especialize the methods for a particular problem.
Areas of research:
Establishing limitations and theoretical results that help to define what can
and cannot be achieved for a class of problems. For example, is it better
to run experiments in open or closed loop?
Areas of research:
Design identification experiments: For example what is a good input to

use?
Areas of research:
Use identification for different engineering problems. For example chan-

nel estimation for wireless communications.
Areas of research:
Developing identification algorithms for a particular problem of interest.
Even though we typically use ML or Bayesian estimation methods, it is
still necessary to especialize the methods for a particular problem.
Establishing limitations and theoretical results that help to define what can
and cannot be achieved for a class of problems. For example, is it better
to run experiments in open or closed loop?
Design identification experiments: For example what is a good input to
use?
Use identification for different engineering problems. For example chan-
nel estimation for wireless communications.
True system: Linear time-invariant continuous-time systems
yt = G0 (p)ut + H0 (p)wt
d
where p = dt is the derivative operator.
True system: Linear time-invariant discrete-time systems
yt = G0 (q1 )ut + H0 (q1 )wt
where q1 wt = wt1 .
We call this relationship the Data generating mechanism.

We will mainly focus on discrete-time systems.
Outline
3 Input signals

Step response
A step is applied to the system and based on the transient response a model can
be obtained.
Advantages
This is a popular method in pratice and provides low order continuous-
time model.
The computational load is low.
Disadvantages
No useful to obtain higuer order models or non-linear models.
Low accuracy of the model (high variance).
It works only for moderate level of noise.

Basic frequency analysis
A sinuosid is applied to the system. Since the steady-state response is also a

sinusoid a model can be obtained
Advantages
This is a popular method in pratice and it works for any continuous-time
model order.
The computational load is low.
Disadvantages
No useful to obtain non-linear models (even mild non-linearities will af-
fect the resulting model).
Low accuracy of the model (high variance). The transient response cannot
be used.
It works only for moderate level of noise.

Correlation analysis
A model is obtained by computing estimates of the input-output correlation

functions.
Impulse response representation for a discrete-time system:

yt = hk utk + vt
k=0
If the noise is un-correlated with the input, then:

ryu () = hk ru ( k) Wiener-Hopf equation
k=0

Correlation estimates:
1 N
ru () = ut+ ut , = 0, 1, 2, ru () = ru ()
N t=1
1 Nmax(,0)
ryu () = yt+ ut , = 0, 1, 2,
N t=1min(,0)
Note the these estimates are closely related to the correlation of quasi-
stationary signals.
A infinite dimension system of equation should be solved, but for white noise
input we have that
ryu (t)
ht =
ru (0)
Another option (for general inputs) is to truncate the impulse response which
leads to FIR models (ht = 0 for t M).

ryu (0) h0
ryu (1) ru (0) ru (M 1)
h1

=
.
. . . ..
.. . . . .
..

.
ru (M 1) ru (0)
ryu (M 1) hM1
In order to solve this system of equations it is neccesary that the matrices con-
taining the input correlation terms to be full rank. This condition imposes a
constraint on the class of inputs to be used on the experiment.

Advantages
It works for any model order (continuous- and discrete-time), any input
(provides certain matrix is full rank), but the representation is based on
the (infinite) inpulse response.
The computational load is moderate.
Disadvantages
No useful to obtain non-linear models.
It works only for moderate level of noise since the input-output correlation
estimates should be good.

Spectral analysis
A model is directly obtained from the estimates of the input-output spectrum.
yt = G(q1 )ut + vt
If the input and noise are un-correlated, then,
yu (ej ) = G(ej )u (ej )
Model:
yu (ej )
G(ej ) =
u (ej )

Spectral analysis
Spectra definition:

u (ej ) = ru ()ej
=

yu (ej ) = ryu ()ej
=
Spectra estimates:
N
u (ej ) = ru ()ej
=N
N
yu (ej ) = ryu ()ej
=N

Spectral analysis
Advantages
It works for any model order and any input.
The computational load is moderate.
Disadvantages
No useful to obtain non-linear models. However, some research have
been developed in order to obtain models to initiate other (more accurate)
methods.
It works only for moderate level of noise since the spectrum estimates
should be good.

Outline
3 Input signals

Input signals
Common signals used for identification:

step signal.
white noise (pseudo-random numbers).
sum of sinuoids.
binary signals: For example an PRBS is a periodic signal that takes values
a with period T. This signal has similar first and second order statisical
properties to white noise.
We use deterministic, WSS or quasi-stationary signals.

Input signals
Spectral density estimates:
N
yu (ej ) = ryu ()ej 1 N
=N YN (ej ) = ys ejs
N s=1
N
1 Nmax(,0)
= N yt+ ut ej 1 N
UN (ej ) = us ejs
=N t=1min(,0) N s=1
1 N N
= ys ut ejs ejt
N s=1 Periodogram:
t=1
1 N 1 N
= ys ejs ut ejt
N s=1 N t=1 u (ej ) = |UN (ej )|2
= YN (ej )UN (ej )
ETFE:
See page 44 of the book by Sderstrm (1989)
for details. Note the slight difference in YN (ej )
the definitions of spectral density and Fourier G(ej ) =
UN (ej )
transform.)
Input signals
If = 2k j j ) can be computed by using

N , k = 0, 1, . . . , N, YN (e ) and UN (e
Fast Fourier Transform (FFT) algorithms.
The spectral density estimates given before are not good for stochastic signals
since their variance do not tend to zero as N .
Periodogram of a sinusoid (Ljungs book, chapter 2)

2
Consider 0 = N0 for some integer N0 , and N = sN0 a multiple of N0 ,
ut = A cos(0 t)
( 2
j 2 N A4 if = 0
|UN (e )| =
0 if = 2k
N , k 6= s

Input signals
Periodogram of a periodic signals (Ljungs book, chapter 2)

If ut = ut+N0 , and N = sN0
(
s|Ar |2 if = 2r
N0 , r = 0, 1, 2, , N20
|UN (ej )|2 = 2k
0 if = N , k 6= rs

Input signals
A necessary condition to obtain an estimate via correlation analysis

In the correlation analysis, the following matrix plays an important role:

ru (0) ru (M 1)
RM .. .. ..
u =

. . .
ru (M 1) ru (0)
This is the covariance matrix of a (column) vector containing

{ut1 , ut2 , . . . , utM } RM u is, in general, positive semidefinite. Thus,
we need RM u to be positive definite (invertible) to be able to solve the
corresponding system of equations to estimate ht .

Input signals
We say that a signal is persistent of order n if

The following limit exists:
ru () = E {ut+ ut }
the matrix

ru (0) ru (n 1)
Rnu =
.. .. ..
. . .
ru (n 1) ru (0)
is positive definite.
In the context of adaptive control, ut a different definition of persistent exciting

signal is available.

Input signals
Some properties:
If a signal is persistent of order n, then it is also persitent of order k, with
0 k n.

Input signals
Some properties:
If ut is white noise, then Rnu = 2 In which is always positive definite. Thus

white noise signals are persistent exciting of all orders.

Input signals
Some properties:
If ut is a constant of magnitude , then ru () = 2 for all . Hence, Rnu is

non-singular iff n = 1. Thus, constant signals are persistent excinting of
order n = 1.

Input signals
Some properties:
If ut is an impulse (Kronecker), then ru () = 0 for all . Thus, an impulse

signal is not persistently exciting of any order.

Input signals
Some properties:
If the spectrum of a ergodic signal is positive definite at n distinct frequen-

cies (within the interval (, )), then the signal is persistent exciting of
order n. For scalar signals this is also a necessary condition.

Input signals
Some properties:
If a signal is persistent of order n, then it is also persitent of order k, with
0 k n.
If ut is white noise, then Rnu = 2 In which is always positive definite. Thus
white noise signals are persistent exciting of all orders.
If ut is a constant of magnitude , then ru () = 2 for all . Hence, Rnu is
non-singular iff n = 1. Thus, constant signals are persistent excinting of
order n = 1.
If ut is an impulse (Kronecker), then ru () = 0 for all . Thus, an impulse
signal is not persistently exciting of any order.
If the spectrum of a ergodic signal is positive definite at n distinct frequen-
cies (within the interval (, )), then the signal is persistent exciting of
order n. For scalar signals this is also a necessary condition.

Input signals
Some properties:
The output of an ARMA system is persistent of any finite order.
The correlation of a PRBS signal is given by
(
a2 = kT k = 0, 1, 2, . . .
ru () = 2
a /T elsewhere
2
a2 /T a2

a
a2 /T a2 a2 /T

.. .. ..
RT+1 = .
u
2. .

a /T
a2 2
a /T a 2
Since the first and last row are the same, the matrix RT+1
u is singular.
Hence a PRBS with period T is persistently exciting of order equal but
not greater than T.

Input signals
The order of persistency is related to the capacity to identify systems of

determined order. For example, in some identification algorithms, it is
necessary to have a persistent input of order 2n to identify a system of
order n. For LS only an input of order n is needed to identify a system of
order n.
The condition of persistency is necessary to identify a system but not suf-
ficient. In most cases, we need an input with some particular spectra in
order to obtain the best estimate.

Outline
3 Input signals

Models parameterization
Parametrization of the true system:
yt = G(q1 , 0 )ut + H(q1 , 0 )wt Model
yt = G(q1 , )ut + H(q1 , )wt

G(q1 , 0 ) = G0 (q1 )
H(q1 , 0 ) = H0 (q1 )
We want to find a parameter estimate, , that is close (in a statistical sense) to

the true parameter 0 .

A general class for linear systems is given by
B(q1 , ) C(q1 , )
A(q1 , )yt = ut + wt
F(q1 , ) D(q1 , )
where wt is zero mean white noise with variance 2 , and

A(q1 , ),B(q1 , ),F(q1 , ),C(q1 , ), D(q1 , ) are polynomial in
the the backward-shift operator (q1 wt = wt1 ).
A(q1 , ) = 1 + a1 q1 + + an qn
B(q1 , ) = b0 + b1 q1 + + bn qn
C(q1 , ) = 1 + c1 q1 + + cn qn
D(q1 , ) = 1 + d1 q1 + + dn qn
F(q1 , ) = 1 + f1 q1 + + fn qn
Polynomials might, in general, be of different orders.

Particular cases:
AR: A(q1 , )yt = wt .
MA: yt = C(q1 , )wt
ARMA: A(q1 , )yt = C(q1 , )wt .
ARMAX: A(q1 , )yt = B(q1 , )ut + C(q1 , )wt .
ARX: A(q1 , )yt = B(q1 , )ut + wt .
FIR: yt = B(q1 , )ut + wt .
B(q1 , )
OE: yt = u + wt .
F(q1 , ) t
B(q1 ,) C(q1 ,)
BJ: yt = u + D(q
F(q1 ,) t 1 ,) wt .

Outline
3 Input signals

Estimates / Estimators
Estimate:
An estimate of 0 is any function of the (input-output) data, i.e.
= (y1:N , u1:N )
Since the data is given, we obtain a particular estimate of 0 .
For different experiments we will obtain, in general, different estimates for 0 .

Using the data generating mechanism and the statistical properties of the noise
signal wt (e.g. Gaussian white noise) then we can find the statistical properties
of the estimator .

Estimators properties

Unbiasness: E = 0 .
Consistency: 0 .
Efficiency: E ( 0 )( 0 )T achieving its smallest value (in a ma-

trix sense).
Example
Assume we take measurements from a Gaussian random variable and we would
like to estimate the mean value . Just one sample of the random variable
would be enough to obtain an unbiased estimator. However, the variance of
this estimate might be too large. A better estimate is provided by the average
of several measurements.
These three properties are independent and one would like to obtain estimators
with all of them. Moreover, we would like to have general system identification
methods with nice properties (ML and Bayesian methods).
Estimators for dynamic systems
In system identification we deal with dynamic systems G(q1 , 0 ). Thus we

are interested on the statistical properties of G(ej , ), i.e.
E G(ej , ) = G(ej , 0 )

G(ej , ) G(ej , 0 )
E |G(ej , ) G(ej , 0 )|2

Note that G(ej , ) is a complex random variable.

Estimators for dynamic systems
Delta rule:
Using a Taylor series of first order:
dG(q1 , )

1 1
G(q , ) G(q , 0 ) + ( 0 )
d T 0
dG(ej , )

j j

E G(e , ) G(e , ) T
(E 0 )
d

0
j , ) dG(ej , )

j j 2
dG(e
E |G(e , ) G(e , 0 )|

d T 0 d
0
T

= E ( 0 )( 0 )

Lecture 3

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Modelos para Control IPD469

Prof: Juan C. Agero

Departamento de Ingeniera Electrnica

Valparaso, 31 de Agosto de 2017

We can gain understanding of the real system by building a model that

Many electronic devices utilize some kind of identification method. For

Methods utilized in Signal processing, Machine Learning, Fault detection,

System identification loop:

Model parametrization Physics, general parametrization (Black-Box).

Measurements are usually contaminated with noise. It is important to

Experimental conditions are important to obtain a good model: sampling

How to design an experiment?

What identification methods should be used for a particular problem?

Design identification experiments: For example what is a good input to

Use identification for different engineering problems. For example chan-

True system: Linear time-invariant continuous-time systems

True system: Linear time-invariant discrete-time systems

yt = G0 (q1 )ut + H0 (q1 )wt

We call this relationship the Data generating mechanism.

J. C. Agero Lecture 3 10/ 38

J. C. Agero Lecture 3 11/ 38

A sinuosid is applied to the system. Since the steady-state response is also a

J. C. Agero Lecture 3 12/ 38

A model is obtained by computing estimates of the input-output correlation

Impulse response representation for a discrete-time system:

If the noise is un-correlated with the input, then:

J. C. Agero Lecture 3 13/ 38

J. C. Agero Lecture 3 15/ 38

J. C. Agero Lecture 3 16/ 38

A model is directly obtained from the estimates of the input-output spectrum.

If the input and noise are un-correlated, then,

yu (ej ) = G(ej )u (ej )

J. C. Agero Lecture 3 17/ 38

J. C. Agero Lecture 3 18/ 38

J. C. Agero Lecture 3 19/ 38

J. C. Agero Lecture 3 20/ 38

Common signals used for identification:

We use deterministic, WSS or quasi-stationary signals.

J. C. Agero Lecture 3 21/ 38

If = 2k j j ) can be computed by using

Periodogram of a sinusoid (Ljungs book, chapter 2)

J. C. Agero Lecture 3 23/ 38

Periodogram of a periodic signals (Ljungs book, chapter 2)

J. C. Agero Lecture 3 24/ 38

A necessary condition to obtain an estimate via correlation analysis

This is the covariance matrix of a (column) vector containing

J. C. Agero Lecture 3 25/ 38

We say that a signal is persistent of order n if

In the context of adaptive control, ut a different definition of persistent exciting

J. C. Agero Lecture 3 26/ 38

J. C. Agero Lecture 3 27/ 38

If ut is white noise, then Rnu = 2 In which is always positive definite. Thus

J. C. Agero Lecture 3 27/ 38

If ut is a constant of magnitude , then ru () = 2 for all . Hence, Rnu is

J. C. Agero Lecture 3 27/ 38

If ut is an impulse (Kronecker), then ru () = 0 for all . Thus, an impulse

J. C. Agero Lecture 3 27/ 38

If the spectrum of a ergodic signal is positive definite at n distinct frequen-

J. C. Agero Lecture 3 27/ 38

J. C. Agero Lecture 3 27/ 38

J. C. Agero Lecture 3 28/ 38

The order of persistency is related to the capacity to identify systems of

J. C. Agero Lecture 3 29/ 38

J. C. Agero Lecture 3 30/ 38