Frequency domain identification of continuous-time output error models, Part II: Non-uniformly sampled data and B-spline output approximation

This paper treats several aspects relevant to the identification of continuous-time output error (OE) models based on non-uniformly sampled output data. The exact method for doing this is well known in the time domain, where the continuous-time system is discretized, simulated and the result is fitted in a mean square sense to measured data. The material presented here is based on a method proposed in a companion paper (Gillberg & Ljung, 2010) which deals with the same topic but for the case of uniformly sampled data. In this text it will be shown how that method suggests that the output should be reconstructed using a B-spline with uniformly distributed knots. This representation can then be used to directly identify the continuous-time system without proceeding via discretization. Only the relative degree of the model is used to choose the order of the spline.     

Frequency domain identification of Wiener models

This paper proposes a frequency domain algorithm for Wiener model identifications based on exploring the fundamental frequency and harmonics generated by the unknown nonlinearity. The convergence of the algorithm is established in the presence of white noise. No a priori knowledge of the structure of the nonlinearity is required and the linear part can be nonparametric.     

Frequency-domain identification of continuous-time ARMA models from sampled data

The subject of this paper is the direct identification of continuous-time autoregressive moving average (CARMA) models. The topic is viewed from the frequency domain perspective which then turns the reconstruction of the continuous-time power spectral density (CT-PSD) into a key issue. The first part of the paper therefore concerns the approximate estimation of the CT-PSD from uniformly sampled data under the assumption that the model has a certain relative degree. The approach has its point of origin in the frequency domain Whittle likelihood estimator. The discrete- or continuous-time spectral densities are estimated from equidistant samples of the output. For low sampling rates the discrete-time spectral density is modeled directly by its continuous-time spectral density using the Poisson summation formula. In the case of rapid sampling the continuous-time spectral density is estimated directly by modifying its discrete-time counterpart.     

On the accuracy of a covariance matching method for continuous-time errors-in-variables identification

An analysis of a covariance matching method for continuous-time errors-in-variables system identification from discrete-time data is made. In the covariance matching method, the noise-free input signal is not explicitly modeled and only assumed to be a stationary process. The asymptotic normalized covariance matrix, valid for a large number of data and a small sampling interval, is derived. This involves the evaluation of a covariance matrix of estimated covariance elements and estimated derivatives of such elements, and large parts of the paper are devoted to this task. The latter covariance matrix consists of two parts, where the first part contains integrals that are approximations of Riemann sums, and the second part depends on the measurement noise variances.     

Time and frequency domain identification and analysis of a gas turbine engine

The nonlinear autoregressive moving average model with eXogenous inputs (NARMAX) approach is used to analyse the dynamics of a gas turbine engine. The fuel flow-shaft speed relationship is analysed by identifying both time and frequency domain models of the system. The frequency domain analysis is studied by mapping the discrete-time NARMAX models into the generalised frequency response functions (GFRFs) to reveal the nonlinear coupling between the various input spectral components and the energy transfer mechanisms in the system. A continuous-time nonlinear differential equation model is also estimated using the GFRFs.     

Subspace-based continuous-time identification of fractional order systems from non-uniformly sampled data

This work focuses on the identification of fractional commensurate order systems from non-uniformly sampled data. A novel scheme is proposed to solve such problem. In this scheme, the non-uniformly sampled data are first complemented by using fractional Laguerre generating functions. Then, the multivariable output error state space method is employed to identify the relevant system parameters. Moreover, an in-depth property analysis of the proposed scheme is provided. A numerical example is investigated to illustrate the effectiveness of the proposed method.     

Bounded error moving horizon state estimator for non-linear continuous-time systems: application to a bioprocess system

This paper investigates moving horizon state estimation (MHSE) within a bounded-error context for continuous-time systems. Verified integration of the non-linear ordinary differential equations used as system equation is achieved with interval Taylor expansions. In addition, interval constraint propagation techniques are used in order to reduce the pessimism due to interval arithmetic. The new MHSE method is illustrated with a bio-process system, for several lengths of the time horizon.     

Data filtering based least squares iterative algorithm for parameter identification of output error autoregressive systems

This letter derives a data filtering based least squares iterative identification algorithm for output error autoregressive systems. The basic idea is to use the data filtering technique to transform the original identification model to an equation error model and to estimate the parameters of this model. The proposed algorithm is more efficient and can produce more accurate parameter estimation than the existing least squares iterative algorithm.     

On closed-loop system identification using polyspectral analysis given noisy input–output time-domain data

The problem of closed-loop system identification given noisy input–output measurements is considered. It is assumed that the closed-loop system operates under an external non-Gaussian input which is not measured. If the external input has non-vanishing integrated bispectrum (IB) and data IB is used for identification, then the various disturbances/noise processes affecting the system are assumed to be zero-mean stationary with vanishing IB. If the external input has non-vanishing integrated trispectrum (IT) and data IT is used for identification, then the various disturbances/noise processes affecting the system are assumed to be zero-mean stationary Gaussian. Noisy measurements of the (direct) input and output of the plant are assumed to be available. The closed-loop system must be stable but it is allowed to be unstable in open loop. Parametric modeling of the various noise sequences affecting the system is not needed. First the open-loop transfer function is estimated using the integrated polyspectrum and cross-polyspectrum of the time-domain input–output measurements. Then two existing techniques for parametric system identification given consistent estimates of the underlying transfer function, are exploited. The parameter estimators are strongly consistent. Asymptotic performance analysis is also carried out. A computer simulation example using an unstable open-loop system is presented to illustrate the proposed approach.     

Quantification of frequency domain error bounds with guaranteed confidence level in prediction error identification

This paper considers prediction error identification of linearly parametrized models in the situation where the system is in the model set. For such situation it is easy to construct a confidence ellipsoid in parameter space in which the true parameter lies with an a priori fixed probability level, α. Surprisingly perhaps, the construction of a corresponding uncertainty set in the frequency domain, to which the true system belongs with probability α, is still an open problem. We show in this paper how to construct such frequency domain uncertainty set with a probability level of at least α.     

Low-gain integral control of continuous-time linear systems subject to input and output nonlinearities

Continuous-time low-gain integral control strategies are presented for tracking of constant reference signals for finite-dimensional, continuous-time, asymptotically stable, single-input single-output, linear systems subject to a globally Lipschitz and non-decreasing input nonlinearity and a locally Lipschitz, non-decreasing and affinely sector-bounded output nonlinearity. Both non-adaptive (but possibly time varying) and adaptive integrator gains are considered. In particular, it is shown that applying error feedback using an integral controller ensures asymptotic tracking of constant reference signals, provided that (a) the steady-state gain of the linear part of the plant is positive, (b) the positive integrator gain is ultimately sufficiently small and (c) the reference value is feasible in a very natural sense. The classes of actuator and sensor nonlinearities under consideration contain standard nonlinearities important in control engineering such as saturation and deadzone.     

Realisation and estimation of piecewise-linear output-error models

Piecewise-linear systems in input/output form can have different switching schedules. In this article, two categories, instant and delayed switching, are analysed. Even though a general piecewise-linear state-space model cannot be converted into input/output form, it is shown that it is possible to find state-space models representing instant and delayed switching. In addition, a prediction-error minimisation (PEM) method for piecewise-linear output-error predictors is derived and it is concluded that the instant-switching model candidate is not necessarily the most suitable for the parameter estimation procedure.     

Backtracking search heuristics for identification of electrical muscle stimulation models using Hammerstein structure

The electrical muscle stimulation models (EMSMs) are effectively described through Hammerstein structure and are used to restore the functionality of paralyzed muscles after spinal cord injury (SCI). In the present study, global search efficacy of evolutionary computing paradigm through backtracking search algorithm (BSA) is exploited for parameter estimation of EMSMs. The approximation theory in mean squared error sense is used for the construction of a merit function for EMSMs based on deviation between optimal and approximated parameters. Variants of BSA are designed based on memory size and population dynamics for the minimization problem of EMSMs having cubic spline as well as sigmoidal nonlinearities. Comparative studies by means of rigorous statistics establish the worth of scheme for effective, accurate, reliable, robust and stable identification of EMSMs in rehabilitation scenarios of SCI.     

Combined parameter and output estimation of dual-rate systems using an auxiliary model

For a dual-rate sampled-data system, an auxiliary model based identification algorithm for combined parameter and output estimation is proposed. The basic idea is to use an auxiliary model to estimate the unknown noise-free output (true output) of the system, and directly to identify the parameters of the underlying fast single-rate model from the dual-rate input-output data. It is shown that the parameter estimation error consistently converges to zero under generalized or weak persistent excitation conditions and unbounded noise variance, and that the output estimates uniformly converge to the true outputs. An example is included.     

An addendum and correction to: ‘On identification and adaptive estimation for systems with interrupted observations’

An error in the proof of the Theorem 1 of a previous paper of the author's is corrected. It is also pointed out that an important class of system/signal models, called composite sources, can be cast into the framework of the model considered in the referenced paper. Thus, the parameter estimation/system identification results of the paper are applicable to the composite source system model.     

Output frequency response characteristics of nonlinear systems. Part I: general multi-tone inputs

A systematic algorithm for determining the output frequencies generated by a nonlinear system subject to a general multi-tone input, including a bias input, is presented. The algorithm is very efficient, and circumvents many of the difficulties of ‘duplicate frequencies’ that are often generated using previous methods. The inclusion of the dc bias component in the analysis is also important because of the significant effect that non-zero mean inputs can have on nonlinear system response. The algorithm is straightforward to implement on a computer, and the results are illustrated by means of an example.     

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.     

Exponential nonlinear observer for parametric identification and synchronization of chaotic systems

This work proposes the use of a new exponential nonlinear observer for the purpose of parametric identification and synchronization of chaotic systems. The exponential convergence of the observer is guaranteed by a persistent excitation condition. This approach is shown to be suitable for a wide variety of chaotic systems. In order to illustrate the observer design procedure, several examples with simulation results are presented.     

Design and analysis of linear precoders under a mean square error criterion, Part I: foundations and worst case designs

Part I of this two-part paper formulated the precoder design problem as an optimisation problem and solved it with respect to a worst case criterion. Part II studies a similar optimisation problem but with respect to a criterion measuring average performance. A stochastic optimisation algorithm is proposed for solving this problem. For special cases, closed form solutions are also given. These results indicate linear precoders reduce the effects of frequency distortion caused by multipath channels but are powerless to counteract additive white Gaussian noise. The conclusion is linear precoders should introduce only a small amount of redundancy and be used in conjunction with an error correcting code capable of combatting additive noise.     

Accuracy analysis of time domain maximum likelihood method and sample maximum likelihood method for errors-in-variables and output error identification

For identifying errors-in-variables models, the time domain maximum likelihood (TML) method and the sample maximum likelihood (SML) method are two approaches. Both methods give optimal estimation accuracy but under different assumptions. In the TML method, an important assumption is that the noise-free input signal is modelled as a stationary process with rational spectrum. For SML, the noise-free input needs to be periodic. It is interesting to know which of these assumptions contain more information to boost the estimation performance. In this paper, the estimation accuracy of the two methods is analyzed statistically for both errors-in-variables (EIV) and output error models (OEM). Numerical comparisons between these two estimates are also done under different signal-to-noise ratios (SNRs). The results suggest that TML and SML have similar estimation accuracy at moderate or high SNR for EIV. For OEM identification, these two methods have the same accuracy at any SNR.