随机线性系统参数估计的偏差补偿方法

将偏差补偿最小二乘法（ＢＥＬＳ）推广到一般单输入单输出系统的辨识。结果表明：这种推广的偏差补偿最小二乘法可以在有色噪声下获得系统参数的无偏估计而不需对噪声建模。仿真例子验证了理论分析的正确性。     

一类有输入噪声扰动的逆系统无偏参数辨识算法研究

对逆系统建模时,原系统的输出作为逆系统参数辨识时的输入.由于原系统输出存在测量噪声,且噪声方差未知,采用普通最小二乘法辨识,无法得到逆系统参数的一致无偏估计.为此,本文研究了一种有输入扰动的的逆系统无偏参数辨识算法,该算法先通过小波变换估计输入信号噪声的方差,再由估计得到的方差,通过偏差消除的递推最小_乘法,对逆系统的参数进行无偏辨识.该算法降低了对输入辨识信号为白噪声的要求,具有较强的实用性.由于采用递推运算,该算法也可以用于逆系统参数的在线辨识.最后,通过实验验证了该算法的有效性.     

应用最小二乘法辨识闭环系统

研究了有色噪声扰动下闭环系统参数的无偏估计问题.基于偏差补偿最小二乘辨识方法, 提出了一种用于闭环辨识的偏差补偿最小二乘法.这种方法不需要对噪声建模,即可获得闭 环系统前向通道和反馈通道传递函数中参数的渐近无偏估计.     

有色噪声干扰输出误差系统的偏差补偿递推最小二乘辨识方法

借助于偏差补偿原理和预滤波思想, 推导了有色噪声干扰输出误差系统参数估计的偏差补偿递推最小二乘 (Bias compensation recursive least squares, BCRLS) 辨识方法. 该方法降低了辨识对输入信号平稳性的要求, 实现了偏差补偿方法参数估计的递推计算, 可以用于在线辨识. 提出的递推 BCRLS 辨识方法优于非递推偏差补偿最小二乘算法, 提高了参数估计精度. 仿真试验证实了算法的有效性.     

具有限定记忆的辅助变量参数辨识法与仿真研究

最小二乘参数辨识法可用于动态系统、静态系统、线性系统、非线性系统的参数估计。可用于离线估计,也可用于在线估计。最小二乘辨识法简单、实用,其递推算法收敛可靠,并且当模型噪声为白噪声时,可得到无偏、一致和有效的估计,从而得到广泛的应用。但当模型噪声是有色噪声时,最小二乘参数估计不是无偏、一致估计,并且随着数据的增长,最小二乘递推辨识算法将出现数据饱和现象,以致递推算法慢慢失去修正的能力。辅助变量递推算法解决了噪声的模型结构不确定且模型噪声是有色噪声时,最小二乘参数估计的元偏性和一致性问题,但依然存在数据饱和问题。为此在辅助变量递推算法的基础上引入限定记忆方式,获得了具有限定记忆的辅助变量参数估计递推算法,解决了辅助变量递推算法的数据饱和问题。仿真结果表明了该算法的有效性。     

Box-Jenkins模型偏差补偿方法与其他辨识方法的比较

对于存在相关噪声干扰的Box—Jenkins系统,本文借助于偏差补偿原理,推导了一个偏差补偿最小二乘(BCLS)辨识方法;理论分析说明BCLS方法能够给出系统模型参数的无偏估计,并将提出的方法与递推增广最小二乘算法和递推广义增广最小二乘算法进行了比较研究;用仿真试验分析了这些算法的各自特点和适用范围。     

Hammerstein模型的模型参考自适应参数估计方法及其应用

本文应用模型参考自适应技术提出了Hammerstein非线性模型的模型参考自适应参数估计方法。该方法能克服有色观测噪声的污染获得参数的无偏估计，并且和Hammerstein模型的最小二乘估计方法[1]进行了比较，同时在辨识酸硷中和反应器模型中得到成功的应用。     

基于偏差补偿递推最小二乘的Hammerstein-Wiener模型辨识

许多实际系统可以表示成一种中间为线性动态环节、输入输出端为非线性静态环节的Hammerstein-Wiener模型. 针对含过程噪声的Hammerstein-Wiener模型, 提出一种改进在线两阶段辨识方法. 第一步采用偏差补偿递推最小二乘法在线辨识含原系统参数乘积项的参数向量. 通过在递推最小二乘算法中引入一个修正项, 补偿过程噪声引起的估计偏差. 第二步采用基于张量积逼近的奇异值分解法分离出原系统各参数的值. 通过引入两个矩阵的张量积逼近加权最小二乘的权系数, 提高参数分离精度. 理论分析和计算机仿真验证了本文方法的有效性.     

多变量系统状态空间模型的递阶辨识

研究多变量系统状态空间模型的递阶辨识问题,推广了作者提出的标量系统状态和参数联合辨识算法.当状态可量测时,利用最小二乘原理直接辨识状态空间模型的参数矩阵;当状态不可测时,利用递阶辨识原理提出了状态空间模型递阶辨识方法,使用系统输入输出数据来估计系统的未知状态和参数.状态空间模型递阶辨识方法分为两步:首先假设系统状态是已知的(即参数估计算法中的未知系统状态用其估计代替),基于状态估计和系统输入输出数据递归计算系统参数估计;然后基于系统输入输出数据和获得的参数估计,递归计算系统的状态估计.     

闭环系统辨识的偏差最小二乘法

研究有色噪声扰动下反馈未知的闭环系统的无偏辨识问题,提出了一种偏差补偿最 小二乘法.应用这种方法,在噪声未建模的情况下,即可获得前向通道中对象模型和反馈通道 中控制器模型参数的渐近无偏估计.     

应用遗传算法辨识Hammerstein模型

基于遗传算法,提出了一种辨识Hammerstein模型的方法,该方法能够克服有色观测噪声的污染,获得非线性静态环节参数和线性动态环节参数的无偏估计,并与Hammerstein模型的MSLS辨识方法进行了比较,仿真结果说明了该方法的有效性。     

Recursive least squares parameter identification algorithms for systems with colored noise using the filtering technique and the auxilary model

This paper focuses on the parameter estimation problems of output error autoregressive systems and output error autoregressive moving average systems (i.e., the Box–Jenkins systems). Two recursive least squares parameter estimation algorithms are proposed by using the data filtering technique and the auxiliary model identification idea. The key is to use a linear filter to filter the input–output data. The proposed algorithms can identify the parameters of the system models and the noise models interactively and can generate more accurate parameter estimates than the auxiliary model based recursive least squares algorithms. Two examples are given to test the proposed algorithms.     

A new subspace identification approach based on principal component analysis

Principal component analysis (PCA) has been widely used for monitoring complex industrial processes with multiple variables and diagnosing process and sensor faults. The objective of this paper is to develop a new subspace identification algorithm that gives consistent model estimates under the errors-in-variables (EIV) situation. In this paper, we propose a new subspace identification approach using principal component analysis. PCA naturally falls into the category of EIV formulation, which resembles total least squares and allows for errors in both process input and output. We propose to use PCA to determine the system observability subspace, the A, B, C, and D matrices and the system order for an EIV formulation. Standard PCA is modified with instrumental variables in order to achieve consistent estimates of the system matrices. The proposed subspace identification method is demonstrated using a simulated process and a real industrial process for model identification and order determination. For comparison the MOESP algorithm and N4SID algorithm are used as benchmarks to demonstrate the advantages of the proposed PCA based subspace model identification (SMI) algorithm.     

Input–output data filtering based recursive least squares identification for CARARMA systems

This paper uses an estimated noise transfer function to filter the input–output data and presents filtering based recursive least squares algorithms (F-RLS) for controlled autoregressive autoregressive moving average (CARARMA) systems. Through the data filtering, we obtain two identification models, one including the parameters of the system model, and the other including the parameters of the noise model. Thus, the recursive least squares method can be used to estimate the parameters of these two identification models, respectively, by replacing the unmeasurable variables in the information vectors with their estimates. The proposed F-RLS algorithm has a high computational efficiency because the dimensions of its covariance matrices become small and can generate more accurate parameter estimation compared with other existing algorithms.     

协方差重置的两阶段递推贝叶斯参数辨识算法

为了在有色噪声干扰情况下获得无偏估计,基于辅助模型思想和分解技术,提出了一种带协方差重置的两阶段递推贝叶斯辨识算法。该算法首先把待辨识模型分解成两个虚拟子模型,然后分别辨识;同时,把估计到的噪声方差引入算法,并加入了一种新的协方差重置方法。计算量分析表明,与带协方差重置的最小二乘算法相比,所提算法可以减少计算量。仿真结果显示,所提算法的估计误差比传统最小二乘算法要小。实例建模证明了算法的有效性。     

Identification of EIV models by compensated PEM

This paper deals with identification of discrete-time errors-in-variables models where the input and output data are both perturbed by different additive noises. The goal is to study the effects of input noise on the model which is estimated based on the prediction error method. The obtained model is then improved by modifying the results and implementing the instrumental variable method. It is proved that the identification of the errors-in-variables models based on the proposed approach could result in an unbiased estimation in the presence of independent colour noises on the input and output data with adequate accuracy and mediocre complexity.     

Parameter identification of distributed parameter systems in the presence of measurement noise

A new approach to recursive parameter identification of second-order distributed parameter systems in the presence of measurement noise under unknown initial and boundary conditions is proposed. A two-dimensional low-pass filter is introduced to pre-filter the observed data corrupted by measurement noise. The low-pass filter is designed in the continuous time-space domain and discretized by bilinear transformation. Thus a discrete estimation model of the system under study is easily constructed with filtered input-output data for recursive identification algorithms. The recursive least squares method is still efficient in the presence of low measurement noise if the filter parameters are designed so that the noise effects are reduced sufficiently. Using filtered input data as instrumental variables, a recursive instrumental variable method is also presented to obtain consistent estimates when the digital low-pass filters are not designed successfully or when the output data is corrupted by high measurement noise. Illustrative examples are given to demonstrate the applicability of the proposed methods.