On the ill-conditioning of subspace identification with inputs

There is experimental evidence that the performance of standard subspace algorithms from the literature (e.g. the N4SID method) may be surprisingly poor in certain experimental conditions. This happens typically when the past signals (past inputs and outputs) and future input spaces are nearly parallel. In this paper we argue that the poor behavior may be attributed to a form of ill-conditioning of the underlying multiple regression problem, which may occur for nearly parallel regressors. An elementary error analysis of the subspace identification problem, shows that there are two main possible causes of ill-conditioning. The first has to do with near collinearity of the state and future input subspaces. The second has to do with the dynamical structure of the input signal and may roughly be attributed to “lack of excitation”. Stochastic realization theory constitutes a natural setting for analyzing subspace identification methods. In this setting, we undertake a comparative study of three widely used subspace methods (N4SID, Robust N4SID and PO-MOESP). The last two methods are proven to be essentially equivalent and the relative accuracy, regarding the estimation of the (A,C) parameters, is shown to be the same.     

A practical implementation of stochastic programming: an application to the evaluation of option contracts in supply chains

Stochastic programming is a powerful analytical method in order to solve sequential decision-making problems under uncertainty. We describe an approach to build such stochastic linear programming models. We show that algebraic modeling languages make it possible for non-specialist users to formulate complex problems and have solved them by powerful commercial solvers. We illustrate our point in the case of option contracts in supply chain management and propose a numerical analysis of performance. We propose easy-to-implement discretization procedures of the stochastic process in order to limit the size of the event tree in a multi-period environment.     

Improved robust H2 and H∞ filtering for uncertain discrete-time systems

This paper is concerned with the robust H₂ and H_∞ filtering problems for linear discrete-time systems with polytopic parameter uncertainty. We aim to derive a less-conservative design than existing linear matrix inequality (LMI) based sufficient conditions. It is shown that a more efficient evaluation of robust H₂ or H_∞ performance can be obtained by a matrix inequality condition which contains additional free parameters as compared to existing characterizations. When applying this new matrix inequality condition to the robust filter design, these parameters provide extra degrees of freedom in optimizing the guaranteed H₂ or H_∞ performance and lead to a less-conservative design.     

An analysis of the parametrization by data driven local coordinates for multivariable linear systems

In this paper, we study a novel parametrization for state-space systems, namely data driven local coordinates (DDLC) which have recently been introduced and applied. Even though DDLC has meanwhile become the default parametrization used in the system identification toolbox of the software package MATLAB, an analysis of properties of DDLC, which are relevant to identification, has not been performed up to now. In this paper, we provide insights into the geometry and topology of the DDLC construction and show a number of results which are important for actual identification such as maximum likelihood-type estimation.     

Positive-realness analysis of sampled-data systems and its applications

In this paper, we first study strong positive-realness of sampled-data systems and introduce a measure called positive-realness gap index. We show that this index can be computed efficiently with a bisection method, and provide state space formulas for its computation. The importance of this index lies in that it is useful for robust stability analysis of sampled-data systems. An iterative procedure for computing an exact robust stability margin is given and illustrated through a numerical example.     

Ellipsoidal parameter or state estimation under model uncertainty

Ellipsoidal outer-bounding of the set of all feasible state vectors under model uncertainty is a natural extension of state estimation for deterministic models with unknown-but-bounded state perturbations and measurement noise. The technique described in this paper applies to linear discrete-time dynamic systems; it can also be applied to weakly non-linear systems if non-linearity is replaced by uncertainty. Many difficulties arise because of the non-convexity of feasible sets. Combined quadratic constraints on model uncertainty and additive disturbances are considered in order to simplify the analysis. Analytical optimal or suboptimal solutions of the basic problems involved in parameter or state estimation are presented, which are counterparts in this context of uncertain models to classical approximations of the sum and intersection of ellipsoids. The results obtained for combined quadratic constraints are extended to other types of model uncertainty.     

Decentralized overlapping control of a formation of unmanned aerial vehicles

Decentralized overlapping feedback laws are designed for a formation of unmanned aerial vehicles. The dynamic model of the formation with an information structure constraint in which each vehicle, except the leader, only detects the vehicle directly in front of it, is treated as an interconnected system with overlapping subsystems. Using the mathematical framework of the inclusion principle, the interconnected system is expanded into a higher dimensional space in which the subsystems appear to be disjoint. Then, at each subsystem, a static state feedback controller is designed to robustly stabilize the perturbed nominal dynamics of the subsystem. The design procedure is based on the application of convex optimization tools involving linear matrix inequalities. As a final step, the decentralized controllers are contracted back to the original interconnected system for implementation.     

Nonlinear system fault diagnosis based on adaptive estimation

An approach to fault diagnosis for a class of nonlinear systems is proposed in this paper. It is based on a new adaptive estimation algorithm for recursive estimation of the parameters related to faults. This algorithm is designed in a constructive manner through a nontrivial combination of a high gain observer and a recently developed linear adaptive observer, without resort to any linearization. Its global exponential convergence is ensured by an easy-to-check persistent excitation condition. A numerical example is presented for illustration.     

Nonlinear adaptive control for bioreactors with unknown kinetics

We consider a control problem for a single bioreaction occurring in a continuous and well-mixed bioreactor, assuming that the bioreaction's kinetics is not represented by a validated model. We develop a nonlinear controller and prove the global asymptotic stability of the closed-loop system towards the equilibrium corresponding to the set point. Since this control law needs the knowledge of some parameters, we derive an adaptive version of the nonlinear controller and prove again the global asymptotic stability of the closed-loop system. Finally, we show the relevance of our approach on a real-life wastewater treatment plant.     

Iterative learning control design based on composite energy function with input saturation

In this work, an iterative learning control scheme is designed for a class of nonlinear uncertain systems with input saturation. The analysis of convergence in the iteration domain is based on composite energy function, which consists of both input and state information along the time and iteration axes. Through rigorous analysis, the learning convergence in the iteration domain can be guaranteed under the input saturation, provided the desired trajectory is realizable within the saturation bound.