Recursive identification for multivariate autoregressive equation-error systems with autoregressive noise

This paper considers the recursive identification problems for a class of multivariate autoregressive equation-error systems with autoregressive noise. By decomposing the system into several regressive identification subsystems, a maximum likelihood recursive generalised least squares identification algorithm is proposed to identify the parameter vectors in each subsystem. In addition, a multivariate recursive generalised least squares algorithm is derived as a comparison. The numerical simulation results indicate that the maximum likelihood recursive generalised least squares algorithm can effectively estimate the parameters of the multivariate autoregressive equation-error autoregressive systems and get more accurate parameter estimates than the multivariate recursive generalised least squares algorithm.     

Recursive Identification Methods for Multivariate Output-error Moving Average Systems Using the Auxiliary Model

This paper studies the parameter identification problems of multivariate output-error moving average systems. An auxiliary model based extended stochastic gradient algorithm and based recursive extended least squares algorithm are proposed for estimating the parameters of the multivariate output-error moving average systems. By using the multi-innovation identification theory, an auxiliary model based multi-innovation extended stochastic gradient algorithm is derived for improving the parameter estimation accuracy. Finally, the simulation results indicate that the proposed algorithms can work well.     

Several multi-innovation identification methods

This paper considers connections between the cost functions of some parameter identification methods for system modelling, including the well known projection algorithm, stochastic gradient (SG) algorithm and recursive least squares (RLS) algorithm, and presents a modified SG algorithm by introducing the convergence index and a multi-innovation projection algorithm, a multi-innovation SG algorithm and a multi-innovation RLS algorithm by introducing the innovation length, aiming at improving the convergence rate of the SG and RLS algorithms. Furthermore, this paper derives an interval-varying multi-innovation SG and an interval-varying multi-innovation RLS algorithm in order to deal with missing data cases.     

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.     

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.     

Convergence analysis of ladder algorithms for AR and ARMA models

A class of exact fast algorithms originally introduced in the signal processing area is provided by the so-called recursive least squares ladder forms. The many nice numerical and structural properties of these algorithms have made them a very powerful alternative in a large variety of applications, yet the convergence properties of the algorithms have not received the necessary attention. This paper gives an asymptotic analysis of two ladder algorithms, designed for autoregressive (AR) and autoregressive moving average (ARMA) models. Convergence is studied based on the stability properties of an associated differential equation. It is shown that the convergence conditions obtained for the algorithms parallel those known for prediction error methods and for a particular type of pseudo-linear regression.     

基于辅助模型和数据滤波的伪线性回归系统参数估计方法

针对伪线性输出误差回归系统的辨识模型新息信息向量存在不可测变量的问题,首先通过构造一个辅助模型,用辅助模型的输出代替未知中间变量,推导得到的基于辅助模型的递推最小二乘参数估计算法计算量较大,但算法的辨识效果不佳。进一步采用估计的噪声模型对系统观测数据进行滤波,使用滤波后的数据进行参数估计,从而推导提出了基于数据滤波的递推最小二乘参数估计算法。仿真结果表明,所提算法能够有效估计伪线性回归线性输出误差系统的参数。     

Correlation Analysis-based Stochastic Gradient and Least Squares Identification Methods for Errors-in-variables Systems Using the Multiinnovation

This paper deals with the identification problem of discrete-time linear time-invariant errors-in-variables systems for the case of the colored output noise. Based on the correlation analysis, the multi-innovation theory is introduced to the errors-in-variables systems where both input and output data are noisy. A correlation analysis-based multi-innovation stochastic gradient algorithm and a correlation analysis-based multi-innovation least squares algorithm are proposed by means of the multi-innovation theory in order to improve the parameter accuracy. The simulation results confirm that these two algorithms are effective.

     

基于滤波的分段线性Hammerstein系统的递推辨识方法

Hammerstein模型具有结构简单、能很好地反映典型非线性特性等优点, 一直是控制领域的重要研究内容之一. 本文主要研究输出误差自回归Hammerstein系统的辨识问题, 系统的输入非线性部分采用分段线性函数拟合,并引入切换函数和位置函数将其表示为线性参数表达式. 为克服有色噪声的干扰, 本文通过关键项分离和数据滤波技术, 建立系统的滤波辨识模型. 在此基础上, 文中提出了基于滤波的遗忘梯度算法, 基于滤波的递推广义最小二乘算法和基于滤波的多新息遗忘梯度算法估计未知参数. 本文通过仿真实例验证了所提算法的有效性, 证明了多新息理论的应用可以有效地提高递推算法的辨识性能.     

Identification and frequency domain analysis of non-stationary and nonlinear systems using time-varying NARMAX models

This paper introduces a new approach for nonlinear and non-stationary (time-varying) system identification based on time-varying nonlinear autoregressive moving average with exogenous variable (TV-NARMAX) models. The challenging model structure selection and parameter tracking problems are solved by combining a multiwavelet basis function expansion of the time-varying parameters with an orthogonal least squares algorithm. Numerical examples demonstrate that the proposed approach can track rapid time-varying effects in nonlinear systems more accurately than the standard recursive algorithms. Based on the identified time domain model, a new frequency domain analysis approach is introduced based on a time-varying generalised frequency response function (TV-GFRF) concept, which enables the analysis of nonlinear, non-stationary systems in the frequency domain. Features in the TV-GFRFs which depend on the TV-NARMAX model structure and time-varying parameters are investigated. It is shown that the high-dimensional frequency features can be visualised in a low-dimensional time–frequency space.     

Performance analysis of multi-innovation stochastic Newton recursive algorithms

The stochastic Newton recursive algorithm is studied for system identification. The main advantage of this algorithm is that it has extensive form and may embrace more performance with flexible parameters. The primary problem is that the sample covariance matrix may be singular with numbers of model parameters and (or) no general input signal; such a situation hinders the identification process. Thus, the main contribution is adopting multi-innovation to correct the parameter estimation. This simple approach has been proven to solve the problem effectively and improve the identification accuracy. Combined with multi-innovation theory, two improved stochastic Newton recursive algorithms are then proposed for time-invariant and time-varying systems. The expressions of the parameter estimation error bounds have been derived via convergence analysis. The consistence and bounded convergence conclusions of the corresponding algorithms are drawn in detail, and the effect from innovation length and forgetting factor on the convergence property has been explained. The final illustrative examples demonstrate the effectiveness and the convergence properties of the recursive algorithms.     

MISO系统辅助模型多新息增广随机梯度算法

对于有色噪声干扰的输出误差多输入单输出（MISO）系统,常规的递推最小二乘辨识方法给出的参数估计是有偏的。为了提高随机梯度辨识方法的收敛精度和速度,用辅助模型的输出代替辨识模型信息向量中的未知不可测变量,推导出其辅助模型增广随机梯度辨识算法;再引入新息长度扩展标量新息为新息向量,提出了基于辅助模型的MISO系统多新息增广随机梯度辨识算法。所得算法在每一次的迭代中不仅使用了当前数据和新息,而且使用了过去数据和新息,提高了参数估计精度和收敛速度。仿真例子验证了算法的有效性。     

差分模型参数递推估计的Householder变换法

本文提出了利用Householder变换进行差分模型参数递推估计的新方法.并由该方法导 出了新的递推最小二乘法、递推增广矩阵法、递推广义最小二乘法、递推极大似然法. 文中分单变量、多变量两种情况重点讨论了新递推最小二乘法及其与传统递推最小二乘 法的比较,并给出了计算实例.     

满秩分解最小二乘法船舶航向模型辨识

为了解决标准遗忘因子最小二乘法在线辨识船舶航向模型参数漂移和发散问题,考虑到船舶在实际航行中存在海洋环境扰动和数据欠激励的情况,提出并验证了一种基于满秩分解的递推最小二乘法.用实船数据进行船舶航向模型参数辨识,将辨识结果与标准遗忘因子最小二乘算法、多新息最小二乘法、最小二乘支持向量机的辨识结果进行对比,验证了满秩分解有...     

Auxiliary model-based interval-varying multi-innovation least squares identification for multivariable OE-like systems with scarce measurements

The identification problem of multivariable OE-like systems with scarce measurements is considered in this paper. By replacing the unknown inner variables in the information matrix with the outputs of the auxiliary model and by expanding the scalar innovation to an innovation vector, an auxiliary model-based multi-innovation least squares (AM-MILS) algorithm is proposed. In order to deal with the scarce measurement pattern, the algorithm takes the form of interval-varying recursive computation to skip the unavailable measurements including outliers. The introduction of the multi-innovation concept improves the parameter estimation accuracy and makes the identification algorithm more efficient. The convergence analysis shows that for the proposed algorithm, the parameter estimates can converge to their true values in the scarce output measurement pattern. Illustrative examples are given to demonstrate the effectiveness and accuracy of the proposed method.     

Data filtering based least squares algorithms for multivariable CARAR-like systems

This paper focuses on the identification problem of multivariable controlled autoregressive autoregressive (CARAR-like) systems. The corresponding identification model contains a parameter vector and a parameter matrix, and thus the conventional least squares methods cannot be applied to directly estimate the parameters of the systems. By using the hierarchical identification principle, this paper presents a hierarchical generalized least squares algorithm and a filtering based hierarchical least squares algorithm for the multivariable CARAR-like systems. The simulation results show that the two hierarchical least squares algorithms are effective.     

Auxiliary model-based RELS and MI-ELS algorithm for Hammerstein OEMA systems

This paper considers the identification problem for Hammerstein output error moving average (OEMA) systems. An auxiliary model-based recursive extended least-squares (RELS) algorithm and an auxiliary model-based multi-innovation extended least-squares (MI-ELS) algorithm are presented using the multi-innovation identification theory. The basic idea is to express the system output as a linear combination of the parameters by using the key-term separation principle and auxiliary model method. The proposed algorithms can give highly accurate parameter estimates. The simulation results show the effectiveness of the proposed algorithms.     

Parameter estimation for nonlinear systems by using the data filtering and the multi-innovation identification theory

For Hammerstein output-error autoregressive systems, a decomposition based multi-innovation stochastic gradient (D-MISG) identification algorithm and a data filtering based multi-innovation stochastic gradient (F-MISG) identification algorithm are derived by means of the key-term separation principle and the multi-innovation identification theory. The D-MISG algorithm uses the decomposition technique to transform a Hammerstein system into two subsystems and requires less computational cost, and the F-MISG algorithm uses a linear filter to filter the input-output data and has a higher estimation accuracy for larger innovation lengths. The simulation results show that the proposed two algorithm can give satisfactory parameter estimates.     

基于KRLS的非均匀采样非线性系统辨识

利用提升技术可将非均匀采样非线性系统离散化为一个多输入单输出传递函数模型,从而将系统输出表示为非均匀刷新非线性输入和输出回归项的线性参数模型,进一步基于非线性输入的估计或过参数化方法进行辨识.然而,当非线性环节结构未知或不能被可测非均匀输入参数化表示时,上述辨识方法将不再适用.为了解决这个问题,利用核方法将原始非线性数据投影到高维特征空间中使其线性可分,再对投影后的数据应用递推最小二乘算法进行辨识,提出基于核递推最小二乘的非均匀采样非线性系统辨识方法.此外,针对系统含有有色噪声干扰的情况,参考递推增广最小二乘算法的思想,利用估计残差代替不可测噪声,提出核递推增广最小二乘算法.最后,通过仿真例子验证所提算法的有效性.