System Identification a = he oS) 7 iWhat is Mathematical Model? A set of mathematical equations (e.g., differential eqs.) that describes the input-output behavior of a system. Ky ‘What is a model used for? ‘simulation Prediction/Forecasting ‘+ Prognostics/Diagnostics Design/Performance Evaluation Control System DesignMathematical Modeling Basics Mathematical model of a real world system is derived using a combination of physical laws (1* principles) and/or experimental means ender’ ° * Physical laws are used to determine the model structure ya (linear oF Ronlinear) and order. ee * The parameters of the model are often estimated and/or pet validated experimentally. + Mathematical model of a dynamic system can often be expressed as a system of differential (difference in the case of discrete-time systems) equationsDifferent Types of Lumped-Parameter Models System Type Model Type Nonlinear input-output differential or o< difference equation linear State equations (system of 1st K | — ue 3 order eqs.) Pa aX? x Linear Time , et Transfer function 2 Invariant ge? { = oo = oe oes w itLinear Input-OutputModels ws L “KRY y” say?” a oo He ord y(k) =a,y(k —1)+---+a,y(k —n) + b,u(k —1)+---+b,u(k —n) , we? Guccey a" wm 2 “ ae a | ; ene (~ os ee wy e +a tay = bul? + +B, + BU Inverse Discretization Or Discretzation oe “a GD AMIE . sgSystem Identification + What is system identification? Asset of methods to obtain a mathematical model of a dynamic system from experimental data. * What is the goal of system identification? The obtained model should on the one hand be compact and on the other hand be adequate for the intended purpose. Such purpose may be the design of a controller for that system. * How is system identification being carried out? In dedicated experiments measurements are carried out on a system. The obtained system response is analysed, e.g. with MATLAB’s system identification toolbox ‘ ident’.Model structure ‘A model structure consists of: 1- Model type: LT! / LTV / Non-linear, etc. @ 2-Model family: Non-parametric, ARK, ARMAX, NARMAX, etc. 3 -Domain of modelling: Time, Frequency, Time-Frequency 6 -Any known constraints on parameters, system matrices, etc. ue There exist no strict rules for selecting a model type, family or domain for 2 ao given application. It heavily depends on (i) end-use of the model, (i) process under study, (ii) ease of estimation and other user choices. In the ensuing discussion, we shall briefly study some numerical methods (wherever applicable), guidelines and recommendations for model structure selection.* Model Sets or Model Structures are families of models with adjustable parameters. Parameter Estimation amounts to finding the “best” values of these parameters. The System Identification problem amounts to finding both a good model structure and good numerical values of its parameters. * Parametric Identification Methods are techniques to estimate parameters in given model structures. Basically it is a matter of finding (by numerical search) those numerical values of the parameters that give the best agreement between the model's (simulated or predicted) output and the measured one. * Nonparametric Identification Methods are techniques to estimate model behavior without necessarily using a given parametrized model set. ‘Typical nonparametric methods include Correlation analysis, which estimates a system’s impulse response, and Spectral analysis, which estimates a system’s frequency response.Basic Modeling Approaches + Analytical * Experimental - Time response analysis (e.g., step, impulse) — Parametric * ARX, ARMAX * BoxJenkins * state-space — Nonparametric or Frequency based * Spectral Analysis (SPA) * Empirical Transfer Function Analysis (ETFE)Parameter series Estimation ARMA model Auto Regressive Moving AverageMoving average processes “ fe fr ees * Start with {Z:} being white noise or if es x s purely random, mean zero, s.d. 6, nee ot ° 2¥ {Xs} is a moving average process of ~ of 8 8e PI x a’ order q (written MAQ)) if for some a as os constants Bo, B1, . . . Ba We have 7 32h or : G=AZt+BAa+-Bihig) x ®™ * Usually Bo=T we aeAutoregressive processes = \ >| *Assume {Zt} is purely random with mean Zero , and s.d. S, oye got ole > & peered le *Then the autoregressive process of ries por > . = 5 ge adn ~ ® AR(p) processis = xpd = 4 7s eae Fen eee A= GX 4+ Kot... hip th pa¥ oe = je oFRepresentation Using Back shift operator (B) ee S =, *The me) process is given by soe = yt BB+ BB. B,B!)Z, = az, er ee Ce «The AR(p) process is given by ye 3 a X, =Z,/ 1-@B-aB— gh = =f(BVzZ, 4? 42 “yDAR and MA relationship p#22 , .->* "Ste 2 ad ‘The first order autoregression is ae 2 ue “Ve a Xt=aXt-1+Zt @ pec eee “gee wea” Provided | |a|<1 it may be written as an infinite teden MA process Qe ate os io +Using the backshift operator we have 1—_, -(! ae “ . (1- @B)Xt= Zt ae ae | %= ARMA processes PRO | MEOW pam (0) a4 pean ey *Combine AR and MA processes -An ARMA process of order (p,q) is given by etd ae Zl Fy a) X= AKirt Xin — ATOM as hh 4+Z, + BZ,1+...BZ (ae 1 + BZ, 1+.--BZ 1g ore Le eet That adr Oe * 4 rs ad oy © ee cone 4 es tf) nee, nwlep , 1, wel tees © > poner 2g WHEW + MAD > tee+Alternative expressions are possible using the backshift operator ABIX, = OBZ, where KB)=1—a,B—..—a,P OB)=1+ BB+. +B *An ARMA process can be written in pure MA or pure AR forms, the operators being possibly of infinite order X, = VBYZ, ABIX, =Z, General autoregressive integrated moving average processes are called ARIMA processesRepresent the given model using MA structure: 2 ARme cv i X,= 0.2 Xer-O.1 Xeg+ Zr +05 Ze 9 pee 3 2) KD en Boe eee D* So xc = (© 4 2 ( a yay S \x es oa see \ Se Le me 42 = ye ‘ oe ae oke ga ddewh ie eee a | aia een i we ie - a ae He NgBox-Jenkins approach - for ARMA models If “Ss ou ‘The approach is an iterative one invo Gd —model identification &*%, ne eee a —model fitting yi 2 AR\zt= = + - (ae checking = E (el = “If the model checking reveals that there are problems, the process is repeatedae Fe yer resid ye Identification: autocorrelation function (acf) and partial Fane autocorrelation function(pacf) to find the model structure 4 aa See Fitting / Estimation: ising Maximuntlikelihood or Least square & a layers — Cust Testing: - 7 to avoid overfitting or underfitting*For a MA(q) process the autocorrelation is zero at lags greater thar partial autocorrelations tail off in exponential fashion ¢For an AR(p)process the partial autocorrelation is zero at lags greater than p, autocorrelations tail off in exponential fashion -For mixed ARMA processes, both the acf and pacf will have large values up to q and p respectively, then tail off in an exponential fashion «Try fitting a model and examine the residuals is the approach usedACF vs. PACF - ACF (Auto-Correlation Function) The correlation between the observation at the current time spot and the observations at previous time spots. - PACF (Partial Auto-Correlation Function) The correlation between observations at two time spots given that we consider both observations are correlated to observations at other time spots. For example, today’s stock price can be correlated to the day before yesterday, and yesterday can also be correlated to the day before yesterday. Then, PACF of yesterday is the “real” correlation between today and yesterday after taking out the influence of the day before yesterday.Model nature ack pact AR Decays exponentially | Significant till p lags MA Significant tll g lags | Decays exponentially peace (ARMA 5 _| Decays exponentially | Decays exponentially —— eek York @Q==Find the system nature and its structure — pac L bo) ae 4+ hanes logs mec? iS ReeZer hee mee?— Fact > > fogs ARe> _ Bed > | by Madd a > He tae