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Wang2006 Closed-Loop Subspace Identification Using The Parity Space
Wang2006 Closed-Loop Subspace Identification Using The Parity Space
Wang2006 Closed-Loop Subspace Identification Using The Parity Space
www.elsevier.com/locate/automatica
Brief paper
Closed-loop subspace identification using the parity space夡
Jin Wanga , S. Joe Qinb,∗
a Advanced Process Control, Advanced Micro Devices, Inc. Austin, TX 78741, USA
b Department of Chemical Engineering, The University of Texas at Austin, Austin, TX 78712, USA
Received 10 December 2003; received in revised form 17 February 2005; accepted 13 September 2005
Abstract
It is known that many subspace algorithms give biased estimates for closed-loop data due to the existence of feedback. In this paper we
present a new subspace identification method using the parity space employed in fault detection in the past. The basic algorithm, known as
subspace identification method via principal component analysis (SIMPCA), gives consistent estimation of the deterministic part and stochastic
part of the system under closed loop. Column weighting for SIMPCA is introduced which shows improved efficiency/accuracy. A simulation
example is given to illustrate the performance of the proposed algorithm in closed-loop identification and the effect of column weighting.
䉷 2005 Elsevier Ltd. All rights reserved.
Keywords: Subspace identification; Closed-loop identification; Consistency analysis; Parity space; Instrumental variables
with appropriate column weighting, referred to as SIMPCA- By iterating the system equations, it is straightforward to get
Wc. Then we discuss the persistent excitation condition for the extended state-space model,
SIMPCA for closed-loop data. We further investigate the rela-
tionship between SOPIM (Huang et al., 2005) and SIMPCA. Y f = f Xk + H f Uf + G f E f , (8)
It is shown that the column space of the observability matrix where
extracted from SOPIM is equivalent to that from SIMPCA-Wc.
The remaining parts of the paper are organized as follows. Xk = [x(k) x(k + 1) . . . x(k + N − 1)] ∈ Rn×N .
Section 2 gives the problem formulation and assumptions.
f is the extended observability matrix with rank n, Hf and Gf
Section 3 briefly reviews the original SIMPCA algorithm
are two Toeplitz matrices as defined in Wang and Qin (2002).
(deterministic part) and presents the estimation of stochastic
part. Section 4 presents the SIMPCA with column weighting
3. SIMPCA for estimating the deterministic and stochastic
(SIMPCA-Wc). Section 5 gives a simulation example. The
parts
final section concludes the paper.
In this section, we briefly review the original SIMPCA al-
2. Problem formulation and assumptions gorithm and discuss the persistent excitation condition. Then
we use the SIMPCA model structure to estimate the stochastic
Consider the linear time-invariant system in its innovation model part, namely, the Kalman gain and innovation covariance
representation: under closed-loop conditions.
x(k + 1) = Ax(k) + Bu(k) + Ke(k), (1) 3.1. Estimation of the deterministic part
y(k) = Cx(k) + Du(k) + e(k). (2) Instead of focusing on the observable subspace, SIMPCA
focuses on the parity space, which is commonly used in fault
Here, x(k) ∈ Rn is the state vector, u(k) ∈ Rl and y(k) ∈ Rm detection (Chow & Willsky, 1984). Pre-multiplying Eq. (8) with
are the measured input and output signals. e(k) ∈ Rm is the (⊥f ) , the orthogonal complement of f with full column
T
innovation process. We introduce the following assumptions: rank, and moving the input term to the left-hand side, Eq. (8)
becomes
A1: (A, C) is observable.
A2: (A, [B K]) is controllable. (⊥ T ⊥ T
f ) [I | −Hf ]Zf = (f ) Gf Ef , (9)
A3: The input u and innovation e are jointly stationary and
where Zf ≡ [YfT UfT ]T . Note that Eq. (9) is known as the parity
one-way uncorrelated, i.e.,
space in the fault detection literature.
To eliminate the effect of noise asymptotically, Wang and
Ē[e(k)e(l)T ] = Re kl , (3) Qin (2001, 2002) propose to use instrumental variables that are
not correlated to Ef but most correlated to Zf . Observing that
Ē[e(k)u(l)T ] = 0, k > l, (4) 1 1
lim Ef ZTp = lim Ef [YpT UpT ] = 0 (10)
N→∞ N N→∞ N
where Ē is defined as in Ljung (1999):
because of Assumption A3, the past input and output Zp are
1
N
suitable instrumental variables. Using ZTp as instrumental vari-
Ē{•} = lim E{•}. (5) ables for Eq. (9), we have
N→∞ N
k=1
1 ⊥ T
lim (f ) [I − Hf ]Zf ZTp = 0. (11)
We define the past and future vectors and Hankel matrices in N→∞ N
the following way:
Therefore, (⊥
f ) [I − Hf ] is in the left null space of
T
where p is the past horizon and f is the future horizon. The input where M ∈ R(mf −n)×(mf −n) is an arbitrary non-singular
data Up , Uf and the innovation Ef are formulated similarly. matrix.
J. Wang, S.J. Qin / Automatica 42 (2006) 315 – 320 317
After Hf is estimated in the deterministic step, Eq. (8) can KF and F can be estimated as
be rearranged as †
F̂ Im 0 ∗
= ˆ f (1 : m(f − 1), :) Gf 1 , (25)
KF 0
Yf − Ĥf Uf = f Xk + Gf Ef . (16)
where [•]† is the Moore–Penrose pseudo-inverse. Finally,
In order to identify the noise covariance, we denote e(k) =
Fe∗ (k) such that Ē(e∗ (k)e∗ (k + )T ) = I and the covariance F̂−1
K̂ = (KF) (26)
Re = FFT . Therefore,
and
Gf Ef = Gf∗ Ef∗ , (17)
R̂e = F̂F̂T . (27)
318 J. Wang, S.J. Qin / Automatica 42 (2006) 315 – 320
4. SIMPCA with column weighting column weighting in closed-loop identification. Results from
SIMPCA, N4SID with CVA weighting from the Matlab Sys-
Like other subspace identification methods, SIMPCA also tem Identification Toolbox (version 6.5) (denoted as N4SID-
uses SVD or PCA to obtain the observability matrix first. WCV A ), MOESP-PO and SIMPCA-Wc are presented for com-
It is thus of great interest to optimize the estimate of the parison. The simulation example is a first order SISO system
observability matrix. One direction is to apply a weight- under closed-loop operation,
ing matrix to improve the estimate. Several contributions in
the literature have appeared in this area (Gustafsson, 2002; y(k) − 0.9y(k − 1) = u(k − 1) + e(k) + 0.9e(k − 1). (31)
Jansson & Wahlberg, 1996; Viberg, Wahlberg, & Ottersten, The feedback has the following structure:
1997). Gustafsson (2002) pointed out that although different
approaches of analysis were adopted, the column weightings u(k) = −y(k) + r(k), (32)
in Jansson and Wahlberg (1996) and Verhaegen (1994) all
where = 0.6 for closed-loop operations. The excitation signal
correspond to the CVA weighting of Larimore (1983).
r(k) is a moving average process:
Because SIMPCA also picks the subspace by performing
SVD (PCA) on process data and instrumental variables are ap- r(k) = (1 + 0.8q −1 + 0.6q −2 )r0 (k), (33)
plied to remove noise, it would be beneficial to scale the instru-
mental variables to unit variance. SIMPCA does not remove where r0 (k) is zero mean white noise with unit variance. The
the future input and the generalized instrumental variable is just process innovation e(k) is zero mean white noise with standard
past data Zp . In this case, the “optimal” column weighting is deviation e = 1.2. Monte-Carlo experiments are conducted
simply ((1/N )Zp ZTp )−1/2 , denoted as Wc , which is the same with 50 runs.
weighting applied in IV-4SID (Viberg, 1995). We compare results from all four different algorithms.
In summary, SIMPCA with column weighting, denoted as Mean and variance of the estimated poles (true value
SIMPCA-Wc, is based on the following equation: 0.9) from different methods are summarized as follows:
−1/2
1 ⊥ T 1 Mean Variance
(f ) [I | −Hf ]Zf ZTp Zp ZTp
N N N4SID-WCV A 0.6666 7.068 × 10−5
1 1.229 × 10−4
= √ (⊥ T −1/2
f ) Gf Ef Zp (Zp Zp )
T T
. (28) MOESP-PO 0.5907
N SIMPCA 0.8755 2.725 × 10−3
The right-hand side of (28) goes to zero as N → ∞ SIMPCA-Wc 0.8999 1.720 × 10−4
due√to Assumption A3. Therefore, performing PCA on Fig. 1 shows the Bode plot of the identified system. Not
(1/ N)Zf ZTp (Zp ZTp )−1/2 can extract the residual subspace surprisingly, N4SID-WCVA and MOESP-PO give biased
which contains the system information. The remaining steps estimates, while estimates from SIMPCA group are unbi-
in SIMPCA-Wc to estimate A, B, C, D, K and Re are the ased. We also plot the asymptotic performance of different
same as in SIMPCA. Simulation results show that the column methods under closed-loop in Fig. 2, which confirms that
weighting matrix ((1/N )Zp ZTp )−1/2 can significantly improve SIMPCA-Wc is more efficient than SIMPCA without column
estimate accuracy, as shown in Section 5. weighting. For the stochastic part, since the Kalman gain K
Huang et al. (2005) proposed a projection based on the SIM-
PCA structure for closed-loop identification, where the parity Bode Diagram
space is projected onto the row space of past data, 20
true
15 SIMPCA
(⊥
f ) [I
T
− Hf ]Zf ZTp = (⊥
f ) Gf Ef ZTp ,
T
Magnitude (dB)
CVA
(29) 10
SIMPCA-Wc
MOESP
5
where ZTp = ZTp (Zp ZTp )−1 Zp and the right-hand side tends
0
to zero when N goes to infinity. PCA is then performed on
-5
Zf ZTp which is equivalent to an eigendecomposition of
-10
[Zf ZTp ][Zf ZTp ]T . It is straightforward to show that 0
[Zf ZTp ][Zf ZTp ]T = [Zf ZTp Wc ][Zf ZTp Wc ]T . (30) -45
Phase (deg)
-90
Therefore, the projection based method in Huang et al. (2005)
is equivalent to SIMPCA-Wc. -135
-180
5. Simulation study
10-2 10-1 100
Frequency (rad/sec)
In this section a simulation study is presented to demon-
strate the performance of SIMPCA algorithm and the effect of Fig. 1. Bode plot of the identified system for the closed-loop case.
J. Wang, S.J. Qin / Automatica 42 (2006) 315 – 320 319
100 Acknowledgements
10-2 Appendix A
MSE
Because
depends on the state realization, we examine the estimates of
F (true value 1.2) and the zero of the system [C, A, K, I] (true f Hf
f > n, rank(f ) = n and
value −0.9) to test the accuracy of the identified innovation 0 Ilf
dynamics. Mean and variance of the identified zero of the
stochastic part and F from SIMPCA-Wc and N4SID-WCVA has full column rank, which is lf + n. Therefore, if
are summarized as follows, which shows that SIMPCA-Wc
x(k)
gives a good estimate of stochastic part under closed-loop. Ē z (k) T
uf (k) p
SIMPCA-Wc N4SID-WCVA has full row rank, rank((1/N )Zf ZTp ) is lf +n as N → ∞.
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Ljung, L., & McKelvey, T. (1996). Subspace identification from closed loop Jin Wang obtained the BS degree in Chemical
data. Signal Processing, 52, 209–215. Engineering from Tsinghua University in Bei-
Qin, S. J., Lin, W., & Ljung, L. (2005). A novel subspace identification jing, China, in 1994. She received the MS and
PhD degrees in Chemical Engineering from the
approach with enforced causal models. Automatica, 41(12), 2043–2053.
University of Texas at Austin in 2001 and 2004,
Qin, S. J., & Ljung, L. (2003a). Closed-loop subspace identification with respectively. She is currently a Senior Develop-
innovation estimation. In Proceedings of the 13th IFAC symposium on ment Engineer with Advanced Process Control
system identification (pp. 887–892). Rotterdam, Netherlands. at Advanced Micro Devices, Inc. Her research
Qin, S. J., & Ljung, L. (2003b). Parallel QR implementation of subspace interests include system identification, control
identification with parsimonious models. In Proceedings of the 13th performance monitoring, semiconductor process
IFAC symposium on system identification (pp. 1631–1636). Rotterdam, modeling and control, and fault detection and
Netherlands. classification.
Van Overschee, P., & De Moor, B. (1994). N4SID: Subspace algorithms for the
identification of combined deterministic-stochastic systems. Automatica, S. Joe Qin holds Paul D. and Betty Robertson
30, 75–93. Meek and American Petrofina Foundation Cen-
Verhaegen, M. (1994). Identification of the deterministic part of MIMO tennial Professorship in Chemical Engineering
state space models given in innovations form from input–output data. at University of Texas at Austin. He obtained his
Automatica, 30, 61–74. BS and MS degrees in Automatic Control from
Tsinghua University in Beijing, China, in 1984
Viberg, M. (1995). Subspaced-based methods for the identification of linear and 1987, respectively. He received his PhD de-
time-invariant systems. Automatica, 31(12), 1835–1851. gree in Chemical Engineering from University
Viberg, M., Wahlberg, B., & Ottersten, B. (1997). Analysis of state space of Maryland in 1992. He worked as a Princi-
system identification methods based on instrumental variables and subspace pal Engineer at Fisher-Rosemount from 1992
fitting. Automatica, 33, 1603–1616. to 1995 and then joined University of Texas
Wang, J., & Qin, S. J. (2001). Principal component analysis for errors- as a professor. His research interests include system identification, process
monitoring and fault diagnosis, model predictive control, run-to-run control,
in-variables subspace identification. In Proceedings of the 40th IEEE
microelectronics process control, and control performance monitoring. He is
conference on decision and control (pp. 3934–3941). a recipient of the NSF CAREER Award, DuPont Young Professor Award,
Wang, J., & Qin, S. J. (2002). A new subspace identification approach NSF-China Outstanding Young Investigator Award. He was an Editor for
based on principal component analysis. Journal of Process Control, 12(8), Control Engineering Practice from 1999 to 2005 and is currently a Member
841–855. of the Editorial Board for Journal of Chemometrics.