Automatica, Vol. 17, No, 3, pp.

541-544, 1981 Printed in Great Britain

0005-1098/81/030541-04502.00/0 Pergamon Press Ltd. ,~ 1981 International Federation of Automatic Control

Brief Paper Multivariable System Structure and Parameter Identification Using the Correlation Method*
H. EL-SHERIEFt

Key Words--ldentification; structure and parameter estimation; discrete time systems; multivariable systems; least squares method; state space methods. Abstract--This paper describes an algorithm for the structure determination and parameter identification of linear discretetime multivariable systems from input-output measurements. The algorithm starts by determining the structure parameters of a certain canonical state space representation from an estimate of the correlation functions of the output sequence. Then the parameters of the A matrix are estimated from the estimated correlation functions using the recursive least squares method. Finally a normalized stochastic approximation algorithm is used for the estimation of the parameters of the B matrix from input-output measurements. The proposed algorithm is applied to estimate the structure and parameters of a simulated example and the results of simulation indicate that it works quite well.

2. Problem formulation A linear time-invariant discrete-time multivariable system can be described by the following state-space equations x*(k + 1 ) = A*x*(k ) + B*u(k )
(11

y(k) = C*x*(k )+ v(k)

where x*(k) is the n-dimensional state vector, u(k) is the pdimensional input vector, y(k) is the m-dimensional noisy output vector and v(k) is the m-dimensional output noise vector. The sequences u(k) and r(k) are assumed to be Gaussian with the following statistics

1. Introduction IN RECENT years considerable work has been done in the field of multivariable system identification from input-output measurements (EI-Sherief and Sinha, 1979a). Due to the practical importance of the state space representation, especially in control and filtering theory (El-Sherief and Sinha, 1979b; Mehra, 1970; Saridis, 1977), much of this work has been done on the problem of identification of multivariable systems in the state space representation (Budin, 1971; Lobbia and Saridis, 1973; Blessing, 1977; Sinha and Kwong, 1979; E1-Sherief, 1980). In general this problem can be divided into two main steps: structure determination and parameter estimation of system matrices. The first step is more difficult, especially for the case of noisy data, and several papers have been published on this subject (Guidorzi, 1975; Suen and Liu, 1978; EI-Sherief and Sinha, 1979c). It is well known that the representation of linear multivariable systems in the state space form is not unique and any non-singular transformation of the state vector will lead to a similar state space representation. Because of this non-uniqueness several canonical state space forms have been developed for the identification of multivariable systems (Weinert and Anton, 1972; Mayne, 1972; El-Sherief and Sinha, 1979d) which will simplify the structure determination problem and reduce the number of parameters to be estimated in the system matrices. In this paper an algorithm is proposed for the structure determination and parameter estimation of linear discretetime multivariable systems from input-output measurements. The system is identified in a certain canonical state space representation (Blessing, 1977). The algorithm starts by calculating recursively the correlation functions of the output sequence. Then the structural parameters of the canonical state representation are determined by testing the determinant of a certain matrix whose entries are the correlation functions. The parameters of the A matrix are also estimated from the calculated correlation functions using a recursive least squares method. Finally the parameters of the B matrix are estimated recursively from the input-output data using a normalized stochastic approximation algorithm. A similar algorithm has been proposed by Tse and Weinert (1975) but the control signal has been assumed to be identically zero.

E{u(k)} =E{v(k)} = 0 E{u(k )uT (j)} = Uc5k - j

(2)
E{v( k )vr (j)} = V3k_ ~ E{u(k)vr(j)} =0
where E{ - } denotes the expectation, T denotes transpose and 6k-j is the Kronecker delta function. Assuming that the system given in equation (1) is completely observable and let the matrix C* be partitioned as

c*=lcrcr. .c.I T
then construct the following vector sequences
*, A * T c l*, . . . c!
,

(3)

t
c~, A*rc * ....

(4)

and select them in the following manner to construct the transformation matrix
T * *T *

.......

t,~2 .... , ~

~-i

(5)

where a vector A*r'c .*, is retained if and only if it is independent of all previously selected ones. Let nl, n2,...,nm be the number of vectors selected from the first, second...... ruth sequence in equation (4); these are called the structural parameters of the system and because of the complete observability of the system they satisfy the following relation n l + n 2+ ... +n,~=n. (6)

*Received May 20 1980; revised October 21 1980. The original version of this paper was not presented at any IFAC Meeting. This paper was recommended for publication in revised form by Associate Editor M. Younis. "t'Department of Electrical Engineering, University of Petroleum and Minerals, Dhahran, Saudi Arabia. 541

Using the following equivalence transformation x(k) =Sx*(k), system (1) can be transformed to the following canonical state space representation (Tse and Weinert. 1975; Sinha and Rozsa, 1976; Blessing, 1977)

x(k + l )= Ax(k )+ Bu(k ) y(k)=Cx(k)+v(k),

(7)

542

Brief Paper
Substituting from equation {10} we get
i nf - 1

where A = S A * S -1, B=SB*, C = C * S -~ and the matrices A and C have the following canonical form
All

% ( n , + r ) = ~.
t=l i-1

Y" a,,(llcrA'.4'Pc~
1=0 n~-I

n,>0 (16} n/=O.

A=

Amt 0 A. =

..

A~,.

= Z
t=I

Z ai,(I)crtAIA~PcJ
/=o

i( a, O) ... 0

Substituting again from equation (15) into equation (16) we get

a,(n i - 1) =
t=l I=O

a.ll)ro(l+r)

ni>O (17)

All = i>j

... i( oij O) . . .

oi i)
aij(n j --

(8)

i-1 .,-~

= ~
t=l

~ altil)r,fll+r)
1=o

ni=O.

c,~=10 ..01 0...01

c r = la. (O). .. a . (n t - l ) . . .

if

n~>0 if n , = 0 (9)

a i . i - l ( n i --

1)0...01

For r = 1, 2 . . . . ,K where K is a large value and assuming the value of n~ is l~, equation (17) can be rewritten in a matrix form for the ith subsystem as follows:

the 1 in c r is in column l + n ~ + ... +n~_t. The matrix B has no special form. We can see from equations (7-9) that system (1) has been partitioned to a number of subsystems equal to the number of outputs (m). The identification problem can be summarized so as to estimate the structure parameters n~, i = l , 2 , . . . , m and the parameters of the system matrices A and B from the given input--output measurements.

ri(K ) = Ht (K )0i
where

(18)

ri(K ) = Irls(li + 1 )ro(l i + 2)... rij(l i + K )It Oi= la, (0)... a , (nl - 1 )... ais(O).., ais(li- 1 )1r
Ht,(K ) = rtj(1) i "" rlj(nl : ) i! riill : )

3. Structural identification
F r o m the definition of the structural parameters n~, i = 1,2 ..... m and the special canonical form of the matrices A and C (equations 8 and 9), the following relations can be obtained for the ith subsystem (output)

"'" Iris(K) ... rl~(K + n t - l ) ri~(K) ...

%(ll)i rO(K + Ii -

1)

Define the matrix S(li) as follows:

S(l~) = Hr,,(K )H,,(K ). erA'=

j=l

{19)

y~ a,fll)cfA'
I=0

if n / > 0

Because of the linear constraint of equation (17) we have detS(l,)>0 if

and
i--ln2-1

=0 if

l~<n i li>n i

(20)

criA'~= ~

~ ao(l)cfAt

n~=O.

(10) Hence the true value of n~, i = 1, 2 ..... m can be estimated one by one as follows:

j = l I=0

Let P denote the covariance matrix of the states of system 17). Then from equations (7) and using relations (2) we get

P = A P A r + B U B r.

(11)

Let R denote the correlation matrix of the output sequence defined as

R(a)=E[y(k +a)yr(k)],
then from equations (7) we get for a > 0

(12)

R [a) = E[CAx (k + a - 1 )xr(k )C r + CAx(k + a - 1)vr(k ) +CBulk+a_l)xr(k)Cr +CBu{k+a_l)vr(k) +v(k + o ) x r ( k ) c r +v(k +a)vT(k)],
then using relations (2) and the following relation (13)

E[x(k + a - l ) x r ( k ) ] = A " - t P
equation (13) is reduced to

S(l~) of dimension l~ where n I is assumed the value 11. Increase the value of I t (I 1 = 1, 2 .... ) and plot det S(l 1) versus 11 until det S(I*)=0 in which case n 1 is found to be n 1 = l * - 1. Step 2. Set i = 2 construct the matrix S(12) of dimension n~ + l 2 using the value of n 1 estimated in step 1 and assuming n 2 = l 2. Increase the value of 12(12= 1,2 .... ) and plot det S(l 2) versus n 2 until det S(I*)=0, in which case n 2 is found to be n 2 = 1~ - I. Step 3. Set i = 3,..., m and repeat step 2 for each value of i. We can notice that the structural identification test can be carried out directly on the vectors of the matrix H~,(K) by checking its rank. But it is not efficient to do so because of the large a m o u n t of storage necessary, and this will be very slow on a computer. Instead the test is done on the matrix S(l~) which has dimensions much less than H t (K). The correlation function matrix R(a) used'in equation (18) and defined in equation (12) can be computed recursively by the following algorithm (Sinha, Mahalanabis and EI-Sherief, 1978)

Estimation rule Step 1. Set i = I and construct the matrix

R(a) = CAPC r.

(14)

t~k+, i~l =,~d~)- ~+ f I,~kl~)-.vlk + ~)fl'ik) I

1211

Defining the correlation function r#la) as the i, jth entry of the correlation matrix R(a), we get from equation (14)
ro(n i + r ) = cr A"~A~Pcj, (15)

w h e r e i = l , 2 ..... m a n d r = l , 2 . . . .

where/~k~ d a) is the estimate of R(a) obtained from k inputoutput samples. We may add that in practice det S(l~) for I~>n~ may not be equal to zero as shown in equation (20) but to ~ which is a small error. In this case det S(l~) will be plotted versus l~ until det S(1")<1: in which case n i is found to be n i = l * - I.

Brief Paper
4. Parametric ident!fication of the "A" matrix
After determining the structure parameters n~, i = 1,2 ..... m the parameters of the A matrix can be estimated from the correlation functions as follows. For a large value of K and assuming the structure parameters n~, i = 1 , 2 ..... m are known, an estimate of the parameter vector 0~ (equation 18) can be obtained by the following least squares formula

543

6. Simulation results
In this section the application of the proposed identification algorithm to a simulated fourth order 2-input 2-output system is presented. The system is described by the following equations:

(l

O,(K)=[H~(K)H.(K}]-tH~I(K)r(K),

(22)

x(k+ll:

- 0. I 0

0.65 0 1.67

0 0 -0.25

0 I l

where OdK ) is the estimate of 0i from K correlation functions. A recursive version of equation (22) for estimating OAK ) is given by /~,(K + I ) = O,(K 1+

0.67

2 0.8

Q~IK )hAK + l ) lro(K + 1 ) - h~ (K + l )O~(K)! 1 + hT(K + 1 )Q~(K )hi(K + I )

x(k)+

0.25

0
I

0
I

u(k)

Q,(K+I)=Q~IKI-Q'(K)hAK +Ik'-"[OIK~I,i. KI + 1 )]7

1 +J'7(K + 1 )Qi(K)tlI(K+ I)

123)

0 0l

v(k)= 0

0 0 x ( k t + v(k).

where
H, (K)

H , ( K + l ) = hrlK + 1 ) and

h~(K + 1 ) = l r o ( K + l )... ri;iK + n t)...rO(K + l )... r,j(K + n~)[r. 5. Parametric" identification of the "B" matrix
Assuming that the initial states of equation (7) are zeros. Then from equation (7) the ith observed output of the system at the kth sampling instant is given by

The above system was simulated with zero initial states and the input vector u(k) was taken as a zero-mean uncorrelated sequence with unit variance. The noise vector v(k) was taken as a zero-mean white noise with standard deviation of 0.1. First the correlation functions were calculated from 1000 samples of the output sequence Then det S(I~) was estimated for i = 1,2 from 12 correlation functions and is plotted in Fig. 1. We can see from Fig. 1 that the values of nl = 2 and n2 =2.

15

yi(k)= ~ CA~-IBu(j-1}+v~(k),
j=l

(24)

1"12
I0 5

Because of the special structure of the matrices A and C (equations 8 and 9), equation (24) can be reduced to
yi(nl)= ~ b r (j)u(j-- I )+ v~(ni), j=1 (25)

"T_ u'J 05

2 I

where the matrix B has been partitioned as follows:

B=tb~(l)b~(2)...b~Oh)b2(1)...b=(n=)[L

(26)
OI

It may be noticed that the parameters b~(j)'s represent the Markov parameters of the system. For k samples equation (25) can be rewritten in a vector form as )'i(k + n~)= YT(k}q~i+vitk+nl), where
Yi(k)=tur(k)uT(k+l)...uT(k+n1-1)I
T

(27)

o.ol

L I

I 2

1 3

Li FIG. 1. Structure determination test for subsystems 1 and 2.

(k~= IbT(1 )bT(2) ... bT(ni)l r. The parameter vector ~b~ of equatlon (27) can be estimated recursively by the following normalized stochastic approximation algorithm (EI-Sherief and Sinha, 1979e): After estimating the structure parameters of the system the parameters of the A matrix were estimated from the calculated correlation functions using the method of section 4. The final estimate of matrix A after 400 iterations is obtained
as

49~(k+ l )=6ilk ) + vAk ~ l y A k

Y[(k)

+ n~)- Y~ (k )~(k )l,

0 (28) 1 0.780 0 0.670 0 0 0 -0.399 0 0 1 1.110

,~=
where (~(k) is the estimate of qS~ at the kth sampling insta~nt and the sequences vi(k) satisfy Dvoretzky's conditions (Dvoretzky, 1956). We can see from equation (27) that the error term r A k + , i ) is uncorrelated with the forcing function }',rlki: hence it can be proved that the estimate of the parameter vector of equation (28! is consistent and unbiased (EI-Sherief and Sinha. 19791).

-0.167 0 -0.530

Finally the parameters of the B matrix were estimated using the method of section 5 and the final estimate from 500

544
samples of the input--output data is obtained as 0.009 1.988

Brief Paper
El-Sherief, H. and N. K. Sinha (1979a). Identification and modeling for linear multivariable discrete-time systems a survey. J. Cybernet. 9, 43. El-Sherief, H. and N. K. Sinha 11979b). Bootstrap estimation of parameters and states of linear multivariable systems. IEEE Trans. Automatic Comrol AC-24, 340. EI-Sherief, H. and N. K. Sinha (1979c). Determination of the structure of a canonical model for the identification of linear multivariable systems. F(fth IFAC Symposium on Identification and System Parameter Estimation. Darmstadt. Federal Republic of Germany. EI-Sherief, H. and N. K. Sinha (1979d). Choice of models for identificatibn of linear multivariable discrete-time systems. Proc. IEE 126, 1321. EI-Sherief, H. and N. K. Sinha 11979e). Stochastic approximation for the identification of linear multivariable systems. IEEE Trans. Automatic Control AC-24, 33l. E1-Sherief, H. and N. K. Sinha (19791"). On the convergence and unbiasedness of stochastic approximation algorithm for the identification of linear multivariable systems. IEEE Trans Automatic Control AC-24, 493. Guidorzi, R. (1975). Canonical structure in the identification of multivariable systems. Automatica 1I, 361. Lobbia, R. N. and G. N. Saridis (1973i. Identification and control of multivariable stochastic discrete systems. J. Cybernet. 3, 40. Mayne, D. Q. t1972t. A canonical model for identification of muhivariable linear systems. IEEE Trans. Automatic Control AC-17, 728. Mehra, R. K. (1970). On the identification of variances and adaptive Kalman filtering. IEEE Trans. Automatic Control AC-15, 175. Saridis, G. N. (1977). Self-organizing Control of Stochastic Systems. Marcel Dekker, New York. Sinha, N. K. and Y. H. Kwong (1979). Recursive identification of multivariable systems. Automatica 15, 471. Sinha, N. K., A. K. Mahalanabis and H. EI-Sherief (1978). A nonparametric approach to the identification of linear multivariable systems. Int. J. Systems Sci. 9, 425. Sinha, N. K. and P. Rozsa (1976). Some canonical forms for linear multivariable systems. Int. J. Control 23, 865. Suen, L. C. and R. Liu [1978). Determination of the structure of multivariable stochastic linear systems. IEEE Trans. Automatic Control AC-23, 458. Tse, E. and H. L. Weinert (1975). Structure determination and parameter identification for multivariable stochastic linear systems. IEEE Trans. Automatic Control AC-20, 603. Weinert, H. and J. Anton (1972). Canonical forms for multivariable system identification. Proceedings of IEEE Conference on Decision and Control. 37-39.

B=

O.259 0.796 0.007 0.037 0.953 0.966

We can add that the estimate of the matrices A and B can be improved by increasing the number of iterations. 7. Conclusion In this paper an algorithm has been developed for both structure determination and parameter identification of linear discrete-time multivariable systems from noisy data. The proposed algorithm is similar to Tse and Weinert's algorithm but with the following improvements. First, the algorithm has been extended to handle the case where the control signal exists. Second, the structure parameters of the system were estimated from more correlation functions which gives a good estimate. Finally, a recursive least squares was used to estimate the parameters of the A matrix from more correlation functions which improves the obtained estimate. The proposed algorithm was applied to a simulated fourth order 2-input 2-output system. The results of simulation indicate that the proposed structure and parameter estimation algorithm works quite well. When the order of the system is increased this will not create any computational difficulty as the identification process is done separately on the m subsystems.

REFERENCES Blessing, P. (1977). Parameter estimation of state-space models for multivariable system with correlation analysis and method of least squares. Proceedings of IFAC Symposium on Multicariable Technical Systems, Canada. Budin, M. A. (1971). Minimal realization of discrete linear time-invariant systems from input-output observations. IEEE Trans. Automatic Control AC-16, 395. Dvoretzky, A. (1956). On stochastic approximation. Proceedings of the Third Berkeley Symposium on Mathematical Statistics and Probability, Vol. 1. University of California Press, Los Angeles, 39-56. El-Sherief, H. (1980). Parametric identification of a state-space model of multivariable systems using the extended leastsquares method, 1980 IEEE International Conference on Cybernetics and Society, Cambridge, Massachusetts.