Nonparametric Identication

Zulkii Hidayat
Laboratorium Teknik Sistem
Jurusan Teknik Elektro FTI - ITS
RE1465 Pengolahan Sinyal Pengaturan 2 / 18
Topics:
Transient response estimation
Spectrum estimation
Frequency functions estimation
RE1465 Pengolahan Sinyal Pengaturan 3 / 18
Overview
An excellent method to get a quick and easy insight into cause and
eects relationships, time delays, time constants, and static gains.
The most widely used method in industry for identication.
Only have limited information in form of gures and tables.
Dicult to get sucient accuracy due to input amplitude limitation
and disturbances and measurement errors as well.
Often used to validate parametric models.
RE1465 Pengolahan Sinyal Pengaturan 4 / 18
System Identication
Obtain a model of a system from measured inputs and outputs.
Type of model depends on applications and system in consideration.
Often we assume that the true system can be described as LTI (linear
time-invariant) system:
y(t) = G
0
(q)u(t) +v(t) (1)
or equivalently
y(t) =

k=1
g
0
(k)u(t k) +v(t) (2)
Question: How do we determine/model G
0
(q) or {g
0
(k)}?
RE1465 Pengolahan Sinyal Pengaturan 5 / 18
Transient Response Analysis
What can be obtained?
The variables aected by the input in question.
The time constant of the system.
The characteristic of the response.
RE1465 Pengolahan Sinyal Pengaturan 6 / 18
Impulse Response Analysis
By applying impulse signal as input
u(t) =

k, t = 0
0, t = 0
gives the output
y(t) = k g
0
(t) +v(t)
which motivates the impulse response estimate
g(t) =
y(t)
k
RE1465 Pengolahan Sinyal Pengaturan 7 / 18
Step Response Analysis
By applying step signal as input
u(t) =

k, t 0
0, t < 0
gives the output
y(t) = k
t

k=1
g
0
(k) +v(t)
which motivates the impulse response estimate
g(t) =
y(t) y(t 1)
k
RE1465 Pengolahan Sinyal Pengaturan 8 / 18
Correlation Analysis (1)
Consider a sampled data system with impulse response {g
0
(k)}
y(t) =

k=1
g
0
(k)u(t k) +v(t)
Let {u(t)} be a realization of stochastic process with zero mean and
and covariance function R
u
()
R
u
() = E[u(t)u(t )]
Assume {u(t)} and {v(t)} are uncorrelated
RE1465 Pengolahan Sinyal Pengaturan 9 / 18
Correlation Analysis (2)
Cross covariance between u and y
R
yu
() = E[y(t)u(t )]
=

k=0
g
0
(k)E[u(t k)u(t )] +E[v(t)u(t )]
=

k=0
g
0
(k)R
u
( k)
If the input is white noise
R
u
() =

, = 0
0, = 0
RE1465 Pengolahan Sinyal Pengaturan 10 / 18
Correlation Analysis (3)
We obtain
R
yu
() = g
0
()
and the estimate of impulse response
g() =
1

R
N
yu
()
The better and common way to estimate impulse response is by l-
tering both input and output through a lter L(q) that whitened
{u(t)}
y
F
(t) = L(q)y(t) u
F
(t) = L(q)u(t)
RE1465 Pengolahan Sinyal Pengaturan 11 / 18
Correlation Analysis: Basic Properties
Gives quick insight into time constant and time delays
No special inputs are required, and poor signal to ratios can basically
compensated by longer data records
The result is a table or a graph that cannot be used directly for
simulation.
Correlation analysis described here assumes that the inputs and dis-
turbance are uncorrelated. This means this method cannot work
when data collected from the system under output feedback.
RE1465 Pengolahan Sinyal Pengaturan 12 / 18
Frequency Analysis
Given a linear system with transfer function G(s) and input
u(t) = u
0
sint
After possible transients fade away the output will be
y(t) = y
0
cos(t +)
where
y
0
= |G(j)|u
0
= arg G(j)
RE1465 Pengolahan Sinyal Pengaturan 13 / 18
Improved Frequency Analysis (1)

y(t)

sint
cos t
y
s
(T)
y
c
(T)
RE1465 Pengolahan Sinyal Pengaturan 14 / 18
Improved Frequency Analysis (2)
From gures can be calculated y
s
(T) and y
c
(T)
y
s
(T) =
y
0
T
2
cos
y
0
2

T
0
cos(2t +)dt +

T
0
e(t) sint dt
y
c
(T) =
y
0
T
2
sin
y
0
2

T
0
sin(2t +)dt +

T
0
e(t) cos t dt
If the measurement is noise-free (e(t) = 0) and the integration time
T is a multiple of the sinusoid period, say T = k2/ then
y
s
(T) =
y
0
T
2
cos
y
c
(T) =
y
0
T
2
sin
Thus y
0
and can be calculated just like ones shown in the previous
slide.
RE1465 Pengolahan Sinyal Pengaturan 15 / 18
Improved Frequency Analysis (3)
Assume noise covariance function r
e
() is bounded by exponential
function
|r
e
()| r
0
e
||
, ( > 0)
Relative precision of basic frequency analysis

2
y
s
(T)
{E[y(t)]}
2

8
cos
2

r
0
(y
0
)
2
T
Relative precision of improved frequency analysis

2
y
s
(T)
{E[y(t)]}
2

r
e
(0)
(y
0
)
2
sin
2
(
t
+)
which is usually bigger that that the improved one.
RE1465 Pengolahan Sinyal Pengaturan 16 / 18
Frequency Analysis: Advantages
Easy to use and requires no complicated data processing.
Requires no structural assumptions about the system, other than it
being linear.
It is easy to concentrate on frequency ranges of special interest.
RE1465 Pengolahan Sinyal Pengaturan 17 / 18
Frequency Analysis: Disadvantages
The basic result is a table orf a graph of the function G(j
k
) =
0, . . . , M.
Cannot be used directly for simulation.
Many systems, especially in process industry, cannot be experimented
with freely.
May need long periods of experimentation if many frequency of in-
terests are determined.
RE1465 Pengolahan Sinyal Pengaturan 18 / 18
Estimating Transfer Functions
using Spectral Analysis
Please learn it yourself along with the supporting materials ...
See Textbook, page 209 - 222