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System
Identification
ECE 683

Department of Electrical and

Computer Engineering
Fall Term, 2008

Professor W. J. Wilson
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System Identification Problem

Noise

Measured
Output
Test Signals
u(t) y(t)

uk yk
Identification
Algorithm

Y(s) bm s m + bm −1s m −1 Lb0

=K
U(s) s n + an −1s n −1 + L+ a1 + a0

System Model
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Basic Elements of the System

Identification Problem

• Model Structure
• Experiment Design
• Method for Selecting a Particular
Model
• Validation of the Selected Model

Computer tools are required to

support the various parts of the
problem !

Example : Matlab/Simulink and the

Identification Tool Box
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Mathematical Models of Dynamic

Systems

• Models permit the prediction of

the outputs of a system, given
the initial conditions and the
inputs.
• All models are approximations of
the dynamic behavior of a
system.
• The selected model depends upon
the purpose of the model as well
as the system characteristics.
• There are no exact models of real
systems.
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Non-Parametric Models
Impulse Response Models

Frequency Response Models

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Parametric Models
• Choose the Model Structure
• Estimate the Model Parameters for
the Best Fit (parameter
optimization)
1. Transfer Function Models (SISO)

Model structure: choose

Estimate parameters:

Alternate form,
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2. Time Domain Model (SISO)

3. Discrete Transfer Function Models

(SISO)
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4. Discrete Time Domain Models (SISO)

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5. State Space Models (MIMO)

where

Structural parameters:
Model parameters (to be estimated):

Canonical forms: minimum parameter

models
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6. Transfer Function Matrix Models

(MIMO)

Relation to the State Space Model:

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State Space -> TF Model Example:

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7. Discrete State Space Models

(MIMO)

where are the state,

input, and output vectors at kth time point.

8. Discrete Transfer Function Matrix

Models (MIMO)
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9. Stochastic Systems Models

Systems which include random variables.

- disturbances: random (noise) inputs
- measurement noise: random variables
added to the outputs

We cannot directly measure the random

variables.

We describe random variables through

statistical characteristics.
Example Gaussian Distributed noise is
described by the mean and variance.
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10. Nonlinear Systems Models

- Contain nonlinear functions of system
variables.
- Superposition does NOT apply.
- It is difficult to develop general results –
the model structures are not constant.
Example

State space nonlinear model form:

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11. Discrete Nonlinear Systems

Models

12. Time Varying Systems Models

- System characteristics vary with time.
- Model parameters vary with time.
- Real-time tracking of parameters
required.
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Relationship Between Models

- Some relationships are unique while others
are not.
- Some are exact while others are
approximations.
- A summary is given on the following page.
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Model Forms and Their Relationships
x k +1 − x k
x& ≈ x k +1 = f ( x k , uk , k )
x& = f (x,u, t) T

y = g(x, u,t) y k = g ( x k , uk , k )

linearization x k +1 − x k linearization
x& ≈
T
x& = Ax + Bu x k +1 = Φx k + Γuk
y = Cx + Du y k = Cx k + Duk
Transition matrix with assumption of
a constant input between samples

Y ( s ) = [C( sI − A) −1 B + D]U ( s ) Y ( z ) = [C ( zI − Φ ) −1 Γ + D]U ( z )

⎡ G11 ( s ) L G12 ( s ) ⎤ ⎡ G11 ( z ) L G12 ( z ) ⎤

Y ( s ) = ⎢⎢ M M ⎥⎥U ( s ) Y ( z ) = ⎢⎢ M M ⎥⎥U ( z )
⎢⎣G21 ( s ) L G22 ( s )⎥⎦ ⎢⎣G21 ( z ) L G22 ( z )⎥⎦
z = e sT
Yi ( s ) = Gi , j ( s )U j ( s ) Yi ( z ) = Gi , j ( z )U j ( z )
hi , j (t ) = L−1 {Gi , j ( ( s )} z ≈ 1 + sT
{
hi , j ( k ) = Z −1 Gi , j ( ( z )}
( for smallT )

t k
y i ( t ) = ∫ hi , j ( t − τ )u j (τ )dτ t = kT yi (k ) = ∑ hi , j (k − m)u j (m)
m =0
dτ ≈ T
0

τ = mT
dny dy
+L+ a n −1 + an y =
dt n
dt
( for small T )
yk + a1 yk−1 +L+ an yk−n =
d mu
b0 m +Lbm −1
du
+ bm u b0uk +b1uk−1 +L+bmuk−m
dt dt

b0 s m + b1s m−1 + L bm−1s + bm

G( s ) = n
s + a1s n −1 + L a n −1s + a n b0 + b1 z −1 +LLbm z − m
G( z) =
1 + a1 z −1 +LLan z −n
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Modeling Error Definitions

Output Error:

Example:

where

then the model output is

The output error is clearly a nonlinear

function of the estimated system parameters.
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Input Error:

This form is not used much.

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Generalized Error:

The generalized error is linear in the parameters,

and therefore, linear parameter estimation may be
used.
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A Problem:

then

If is white noise, the generalized error

will contain coloured raise, which causes
significant problems in the parameter
estimation process.
Consider Pre-whitening Filters:
Apply the same filter to the input and output
sequences, . This should not cause any
change in the input-output relationship over the
admitted frequencies.
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Now

then

If is white noise and, then is

also white noise.
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Some Common Model Notations

The model given above may be written in a more
general form known as the ARMAX model.

Other related model forms:

The ARX model form.

The MA model form.

The AR model form.

The ARMA model form.

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Notation used in Liung’s Book

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Experiment Design

Choices:
a) Inputs
b) Data Collection
c) System Operating Condition
Inputs: size? periodic? noise?
- Periodic – sine wave, square wave, triangular
wave, period, and offset.

- Non periodic – step, impulse (pulse), random.

- Random – white noise (approximation), pseudo

random, PRBNS.

- Size – linear/nonlinear considerations, noise

considerations, bias.
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- Off-set – Signal perturbations about an
operation condition.

Data Collection:
- Sample data – always

- Sample time (period) – dynamic considerations

- Length of data series – dynamic considerations

System Operating Condition:

- Nonlinear systems – operating point (steady
state)

- Sequence of experiments at different

operating points

- Normal plant inputs

- Superimpose test signals