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Jan Swevers

July 2006

0-0

Introduction to system identification 1

• What is system identification

• Time vs. frequency domain identification

• Discrete time representation of continuous time systems

• Frequency domain interpretation of sampled data signals

• Discrete time input-output models for linear time-invariant systems

• Linear least squares parameter estimation

• Example

• Conclusion

Introduction to system identification 2

• Definition of system identification : Selection of a model for a process

(i.e. studied system or device under test (DUT)), using a limited number of

measurements of the input and outputs, which may be disturbed by noise,

and a priori system knowledge.

• Definition of parameter estimation : The experimental determination

of values of parameters that govern the dynamic behaviour, assuming that

the structure of the process model is known

• 3 basic steps:

1. collecting useful data,

2. choosing a convenient model set,

3. computing the (best) model within the model set, possibly following a

certain identification criterion, i.e. parameter estimation.

Control Theory [H04X3a]

Introduction to system identification 3

• determination of inputs and outputs

• choice of input signals:

– normal operation or specifically designed identification experiments

– persistency of excitation

– optimal excitation : maximally informative, minimal uncertainty

• data sampling rate: Nyquist frequency, aliasing/frequency folding, filtering:

10 time higher than highest frequency of interest

Introduction to system identification 4

• specify within which collection of models we are going to look for a suitable

one

• very important but often difficult

• a priori available information : certain physical laws are known to hold true

for the system

• preliminary data analysis: step or frequency response

• black box or trial and error

Introduction to system identification 5

• determine within the set of models, the model that is the “best”

approximation or provides the “best” explanation of the observed data

• we need a criterion to measure the model quality : the estimation of the

model parameters corresponds to the minimization of the chosen criterion

• the choice of the criterion depends on the available information about and

the purpose of the model.

• conflicting requirements: a model that is as simple as possible, and that

explains as much as possible of the observed data

Introduction to system identification 6

Model validation

• how do you know if the model is satisfactory: use it and check if it serves

its purpose

• this is often too dangerous: model validation criteria to get some feeling on

the accuracy, confidence on its value

– simulate and compare with different sets of measurements

– compare parameter estimates with expectations or values found using

other measuring techniques (if available)

Introduction to system identification 7

Introduction to system identification 8

• Time domain identification: use measured data directly to estimate model

parameters.

• Frequency domain identification: first transform data to frequency domain

using DFT, then, estimate model parameter in the frequency domain.

Introduction to system identification 9

Frequency Domain Estimator Time Domain Estimator

PROS

- convenient frequency domain noise properties - usually linear in the parameters

- compact data set - no leakage problems

- clear insight into the effect of nonlinear distortions - on-line estimation is possible

- applicable to discrete time as well as continuous

time systems

- measurements in time domain as well as frequency

domain

CONS

- non-linear in the parameters - large data set

- limited set of input signals (cf. leakage errors) - exact representation of continuous

time systems ?

- often off-line processing only - correlated time domain noise ?

- nonlinear distortions ?

- time domain measurements only

Introduction to system identification 10

Introduction to system identification 11

systems

• Output of a linear time-invariant system for a given input u(t) and impulse

response: Z ∞

y(t) = g(τ )u(t − τ )dτ

τ =0

τ =0 is called the

transfer function G(s):

c0 snc + c1 s(nc −1) + · · · + cnc

G(s) = ,

d0 snd + d1 s(nd −1) + · · · + dnd

with nc ≤ nd (due to the causality condition).

• We consider the output only at discrete times tk = kT , for k = 1, 2, ...:

Z ∞

y(kT ) = g(τ )u(kT − τ )dτ

τ =0

Introduction to system identification 12

• Due to ZOH condictions, the input u(t) is kept constant between the

sampling instants:

• This yields:

Z ∞ ∞ Z

X lT

y(kT ) = g(τ )u(kT − τ )dτ = g(τ )u(kT − τ )dτ

τ =0 l=1 τ =(l−1)T

ÃZ !

∞

X lT ∞

X

= g(τ )dτ uk−l = gT (l)uk−l

l=1 τ =(l−1)T l=1

Z lT

gT (l) = g(τ )dτ

τ =(l−1)T

Introduction to system identification 13

• We omit T :

∞

X

y(t) = g(k)u(t − k), for t = 1, 2, ...

k=1

• The z-transform of the discrete impulse response {g(k)}∞

discrete time transfer function G(z):

G(z) = n (n

,

a0 z + a1 z

a a −1) + · · · + ana

with nb < na (due to the strict causality condition, i.e. g(k) = 0, for

k = 0).

Introduction to system identification 14

continuous time system and the parameters of its zoh-discrete time

equivalent can be calculated using published tables or CACSD (MATLAB)

software.

Introduction to system identification 15

Example

• Consider:

ωn2

G(s) = 2

s + 2ζωn s + ωn2

Assume that ζ < 1. This corresponds to the continuous time transfer

function with:

nc = 0

nd = 2

c0 = wn2

d0 = 1

d1 = 2ζωn

d2 = wn2

Introduction to system identification 16

Example (2)

• The zoh-discrete time equivalent of this transfer function equals :

b 0 z + b1

G(z) =

z 2 + a1 z + a2

with

a1 = −2e−σT cos(ωT )

a2 = e−σT

b0 = 1 − e−σT (cos(ωT ) + γ sin(ωT ))

b1 = e−σT (e−σT − cos(ωT ) + γ sin(ωT ))

and with

p

σ = ζωn , ω = ωn 1 − ζ 2

ζ

γ = p

1 − ζ2

T is the sampling period.

Control Theory [H04X3a]

Introduction to system identification 17

Example (3)

• The relation between the continuous-time and discrete-time poles is:

λd = e−λc T

• The numbers of transfer zeros differ, and their relation is much more

complex than the relation between the poles.

Introduction to system identification 18

Introduction of disturbances

• We assume that the disturbances and noise can be lumped into an additive

term v(t) at the output:

∞

X

y(t) = g(k)u(t − k) + v(t)

k=1

• Sources of disturbances:

– Measurement noise: the sensors that measure the signals are subject to

noise and drift.

– Uncontrollable inputs: the system is subject to signals that have the

character of inputs, but are not controllable by the user.

• This model does not consider input disturbances, for example noise on the

measurements of the input data sequence.

Introduction to system identification 19

• Time domain identification approach to model disturbances:

∞

X

v(t) = h(k)e(t − k)

k=0

variables with a certain probability density function, and h(0) = 1.

• The mean value of e is equal to zero, yielding:

∞

X

E{v(t)} = h(k)E{e(t − k)} = 0

k=0

Introduction to system identification 20

Shorthand notation

•

qu(t) = u(t + 1)

•

q −1 u(t) = u(t − 1)

•

∞

X ∞

X

y(t) = g(k)u(t − k) + h(k)e(t − k)

k=1 k=0

X∞ ∞

X

= g(k)q −k u(t) + h(k)q −k e(k)r

k=1 k=0

" ∞

# " ∞

#

X X

= g(k)q −k u(t) + h(k)q −k e(t)

k=1 k=0

= G(q)u(t) + H(q)e(t)

Introduction to system identification 21

•

∞

X

G(q) = g(k)q −k

k=1

X∞

H(q) = h(k)q −k

k=0

• H(q) is the transfer function of the disturbance process.

Introduction to system identification 22

data signals

• Periodograms of signals over finite intervals

• Transformation of periodograms

Introduction to system identification 23

• Consider the finite sequence of a signal z(t), t = 0, 1, · · · , N − 1.

• DFT:

N −1 N −1

1 X 1 X

ZN (ω) = √ z(t)e−jωt = √ z(t)WN−kt

N t=0 N t=0

with ω = 2πk/N , for k = 0, 1, · · · , N − 1, and WN = ej2π/N .

• Inverse DFT:

N −1

1 X 2πk j2πkt/N

z(t) = √ ZN ( )e

N k=0 N

• Remark that:

– ZN (ω) is periodic with period 2π:

ZN (ω + 2π) = ZN (ω)

ZN (−ω) = ZN

∗

(ω)

Control Theory [H04X3a]

Introduction to system identification 24

• This inverse DFT represents the signal z(t) as a linear combination of ejω

for N different frequencies ω.

• The number ZN ( 2πkN ) tells us the “weight” that the frequency ω = 2πk/N

carries in the decomposition of the sequence z(t).

• |ZN ( 2πk 2

N )| is therefore a measure of the energy contribution of this

frequency to the signal.

•

2πk 2

|ZN ( )|

N

is known as the periodogram of the signal z(t), t = 0, 1, ..., N − 1.

Introduction to system identification 25

Transformation of periodograms

• Let {s(t)} and {w(t)} be related by a stable system G(q).

s(t) = G(q)w(t)

• The input w(t) for t ≤ 0 is unknown, but obeys |w(t)| ≤ Cw for all t.

• Define

N −1

1 X

SN (ω) = √ s(t)e−jωt

N t=0

N −1

1 X

WN (ω) = √ w(t)e−jωt

N t=0

Introduction to system identification 26

• Then

SN (ω) = G(ejω )WN (ω) + RN (ω)

where P∞

k=1 k|g(k)|

|RN (ω)| ≤ 2Cw √

N

• If {w(t)} is periodic with period N , then RN (ω) is equal to zero for

ω = 2πk/N .

Introduction to system identification 27

time-invariant systems

• Different parametrizations of G(q) and H(q) which are finite.

• Rather than h(k) and g(k) : an infinite number of parameters.

• Correspond to those used in the Matlab System Identification Toolbox.

• Extend the model with a parameter vector θ:

the ARX model structure

Introduction to system identification 28

• The most simple input-output model: a linear difference equation

y(t)+a1 y(t−1)+. . .+ana y(t−na ) = b1 u(t−nk )+. . .+bnb u(t−nk −nb +1)+e(t)

equation: equation error model.

• The model parameters:

h iT

θ = a1 a2 . . . ana b1 . . . bnb

• If we introduce:

B(q, θ) = b1 + . . . + bnb q −nb +1

we get:

A(q, θ)y(t) = B(q, θ)u(t − nk ) + e(t)

Control Theory [H04X3a]

Introduction to system identification 29

• This corresponds to:

B(q, θ) 1

G(q, θ) = q −nk

, H(q, θ) =

A(q, θ) A(q, θ)

• ARX model: AR refers to the autoregressive part A(q, θ)y(t) and X to the

extra input B(q, θ)u(t − nk ) (called the eXogeneous variable in

econometrics).

Introduction to system identification 30

Linear regressors

• One-step-ahead prediction of the output: predict the output at time t,

using only input-output data prior to t,

+ b1 u(t − nk ) . . . + bnb u(t − nk − nb + 1)

= B(q, θ)u(t − nk ) + [1 − A(q, θ)]y(t)

• e(t) is not known, so we take the most likely value, i.e. E{e(t)} = 0.

Introduction to system identification 31

• Now introduce the vector:

h iT

ϕ(t) = −y(t − 1) . . . −y(t − na ) u(t − nk ) . . . u(t − nk − nb + 1)

•

• The vector ϕ(t) is known as the regression vector.

Introduction to system identification 32

Section overview

• Minimizing prediction errors

• Frequency domain interpretation

• Implementation of the least squares estimate (LSE)

• Properties of the LSE

• Example

• Frequency domain interpretation of the result

• How to improve the result

• Identification of a partly known system

• Data filtering to improve the LSE

Introduction to system identification 33

• Given: Sampled data sequence of inputs u(t) and outputs y(t):

u(t) : t = 1, . . . , N

y(t) : t = 1, . . . , N

• Define

T

Z N = [y(1), u(1), y(2), u(2), . . . , y(N ), u(N )]

Introduction to system identification 34

• Determine the model parameters such that it provides the “best”

approximation or the the “best” explanation of the observed data

• Therefore define the prediction error:

• Estimate the best set of model parameters θ such that, for the given data

set Z N , the output prediction errors are minimal according to the least

square cost function.

N

1 X 1 2

VN (θ, Z N ) = ε (t, θ)

N t=1 2

Control Theory [H04X3a]

Introduction to system identification 35

•

= A(q, θ)y(t) − B(q, θ)u(t) = e(t)

• Take the DFT of the prediction error and apply Parseval’s theorem:

N −1

1 1 X

VN (θ, Z N ) = |EN (2πk/N, θ)|2

N2

k=0

N −1

1 X 1

= |ĜN (ej2πk/N ) − G(ej2πk/N , θ)|2 QN (ej2πk/N , θ) + RN

N 2

k=0

with

|UN (ej2πk/N )|2 C

QN (2πk/N, θ) = RN ≤√

|H(ej2πk/N , θ)|2 N

Introduction to system identification 36

• ĜN (ej2πk/N ) is called the empirical transfer function estimate (ETFE) and

equals:

j2πk/N YN (ej2πk/N )

ĜN (e )=

UN (ej2πk/N )

Introduction to system identification 37

•

• and

ŷ(t|θ) = ϕT (t)θ

with

h iT

ϕ(t) = −y(t − 1) . . . −y(t − na ) u(t − nk ) . . . u(t − nk − nb + 1)

• Criterion:

N

N

X 1£ T

¤2

VN (θ, Z ) = y(t) − ϕ (t)θ

t=1

2

" N

#−1 N

LS 1 X 1 X

θ̂ N = arg minθ VN (θ, Z N ) = ϕ(t)ϕT (t) ϕ(t)y(t)

N t=1

N t=1

Introduction to system identification 38

• Introduce the following N -dimensional column vectors:

h iT

ŷ(θ) = ŷ(1|θ) ŷ(2|θ) . . . ŷ(N |θ)

h iT

y = y(1) y(2) . . . y(N )

ϕT (1)

T

ϕ (2)

Φ=

..

.

ϕT (2)

ŷ(θ) = Φθ

Introduction to system identification 39

• The prediction errors:

ε(θ) = y − ŷ(θ)

1

VN (θ, Z N ) = ε(θ)T ε(θ)

2

• The LSE : h i−1

LS T

θ̂ N = Φ Φ ΦT y

| {z }

Φ+

• The the output predictions for the LSE:

LS

h i−1

T

ŷ(θ̂ N ) = Φ Φ Φ ΦT y

Introduction to system identification 40

• The LSE gives an unbiased estimate if e(t) is a sequence of independent

(identically distributed) zero-mean Gaussian random variables (i.e.

e(t) ∈ N (0, σ 2 )).

• What if e(t) does not satisfy these conditions? BIAS.

Introduction to system identification 41

Example

• Consider the following model with output measurement noise e(t) (not an

ARX model !!!):

B(q)

y(t) = u(t − 1) + e(t)

A(q)

with

A(q) = 1 + a1 q −1 , B(q) = b1 + b2 q −1

which can be rewritten as:

h iT

ϕ(t) = −y(t − 1) u(t − 1) u(t − 2)

ν0 (t) = e(t) − a1 e(t − 1)

Control Theory [H04X3a]

Introduction to system identification 42

Example (2)

• In matrix form:

y(3) −y(2) u(2) u(1) ν0 (3)

a1

y(4) −y(3) u(3) u(2) ν0 (4)

= b1 +

.. .. .. .. ..

. . . . .

b2

y(N − 2) −y(N − 1) u(N − 1) u(N ) | {z } ν0 (N − 2)

| {z } | {z } θ

y Φ

• LSE:

LS

θ̂ N = Φ+ y

Introduction to system identification 43

•

N −1

N 1 X 1 j2πk/N B(ej2πk/N , θ) 2 j2πk/N

VN (θ, Z ) ≈ |ĜN (e )− j2πk/N

| QN (e , θ)

N 2 A(e , θ)

k=0

with

QN (2πk/N, θ) = |UN (ej2πk/N )|2 |A(ej2πk/N , θ)|2

and

j2πk/N YN (ej2πk/N )

ĜN (e )=

UN (ej2πk/N )

Introduction to system identification 44

• The frequency domain representation of the LS error clearly shows that the

difference between the empirical transfer function estimate and the

frequency response function of the model is weighted by two terms:

periodogram of the input and the frequency response of the denominator of

the model.

• Remedy 1: Excite only in the frequency band that interests you, i.e. limit

periodogram of the input to the frequency band of interest

• Remedy 2: Try to compensate the frequency weighting introduced by the

denominator of the model: this is a high-pass characteristic that

emphasizes the higher frequencies. This is unwanted because in most cases:

– more noise is present at high frequencies

– we are interested in a good model at low frequencies

So compensate this using a low-pass data filter.

Introduction to system identification 45

• Filtering the input and output data with a (digital) low pass filter W (z),

and using the filtered input and output data for the LSE yields the

following weighting function in the frequency domain expression of the

least square criterion:

emphasis caused by the denominator of the estimated model.

Introduction to system identification 46

• Assume that part of the system model is known:

| {z } | {z }

known unknown

Bk (q) Au (q, θ)

= q −nk

Ak (q) Au (q, θ)

or

Bk (q)Bu (q, θ) 1

y(t) = u(t) + e(t)

Ak (q)Au (q, θ) Ak (q)Au (q, θ)

Introduction to system identification 47

• Define a new input signal:

Bk (q)

u (t) =

∗

u(t)

Ak (q)

and perform the identification using u∗ (t) and y(t) instead of u(t) and y(t),

i.e. restricting the identification to the unknown part of the model

Bu (q, θ) ∗ 1

y(t) = u (t) + e(t)

Au (q, θ) Ak (q)Au (q, θ)

Introduction to system identification 48

• Several alternative exist:

– Filter y(t) with inverse of known model:

Ak (q)

y (t) =

∗

y(t)

Bk (q)

and perform the identification with u(t) and y ∗ (t).

– or filter both y(t) and u(t):

Introduction to system identification 49

• These different alternative approaches yield different error sequences:

1.

1

Au (q, θ)y(t) = Bu (q, θ)u (t) +∗

e(t)

Ak (q)

2.

1

Au (q, θ)y ∗ (t) = Bu (q, θ)u(t) + e(t)

Bk (q)

3.

Introduction to system identification 50

• Frequency domain interpretation of all these different approaches:

N −1 j2πk/N

N 1 X 1 j2πk/N B u (e , θ) 2 j2πk/N

VN (θ, Z ) ≈ |ĜN (e )− j2πk/N , θ)

| QN (e , θ)

N 2 A u (e

k=0

with

QN (2πk/N, θ) = |UN

∗

(ej2πk/N )|2 |Au (ej2πk/N , θ)|2 ,

ĜN (e ) = ∗ j2πk/N

UN (e )

and

– for the first scheme : u∗ = (Bk /Ak )u and y ∗ = y,

– for the second scheme: u∗ = u and y ∗ = (Ak /Bk )y,

– and for the third scheme: u∗ = Bk u and y ∗ = Ak y.

Introduction to system identification 51

• Data filtering is required to improve the accuracy of the LSE: compensate

the high frequency weighting of |A(ej2πk/N , θ)| or |Au (ej2πk/N , θ)|.

• In some situations, also low frequency distortions are present (DC-offset

and/or drift on measurements), also on inputs! These can be amplified by

the pre-filtering with the known part of the model, e.g. if the system

contains a pure integration or differentiation ... Then, apply band-pass

filters to remove these low frequency distortions.

• Perform data filtering on both input and output data (except to remove

the effects of the known parts of the system), using the same digital filters

in Matlab.

Introduction to system identification 52

Section overview

• System description and linearization

• Discrete time model

• Available data sets

• Time domain identification for θ0 = 0◦

• Time domain identification for θ0 = 45◦

• Comparison of models for θ0 = 0◦ and 45◦

Introduction to system identification 53

• Consider the following pendulum:

driving torque Tc [N m].

• Problem: identify a linear model for this system that is a linear

approximation of the system dynamics around θ0 = 0◦ and θ0 = 45◦ .

Control Theory [H04X3a]

Introduction to system identification 54

• Linearize the system dynamics around an equilibrium point θ0 : define

θ = θ0 + ∆θ and Tc = Tc0 + ∆Tc , and

• This yields:

c g Tc0 ∆Tc

∆θ̈ + ∆θ̇ + (sin(θ0 ) + cos(θ0 )∆θ) = +

I l I I

• Subtract equilibrium conditions

• yielding:

c g ∆Tc

∆θ̈ + ∆θ̇ + cos(θ0 )∆θ =

I l I

Introduction to system identification 55

• In Laplace domain:

1

∆θ(s) ml2

= g cos(θ0 )

∆Tc (s) s2 + c

ml2 s + l

r

g cos(θ0 )

ωn =

l

which corresponds to a resonance frequency of 0.70Hz around θ0 = 0◦ and

of 0.59Hz around θ0 = 45◦ .

Introduction to system identification 56

• Discrete time model structure (orders of numerator and denominator) can

be derived in several ways: published tables, via Matlab.

• Matlab: use random numbers:

B = [0 0 1]; A = [1 2 3]; Ts=1/10;

[Bd,Ad]=c2dm(B,A,Ts,’zoh’)

Bd = 0 0.0047 0.0044

Ad = 1.0000 -1.7916 0.8187

• yielding

B(q) b1 q −1 + b2 q −2

=

A(q) 1 + a1 q −1 + a2 q −2

or

Introduction to system identification 57

• We excited the system with a broad band random signal with an

appropriate DC value to keep the system at θ0 = 0◦ and 45◦ , and measure

the response. Sampling frequency is fs = 10Hz. N = 4000. Excitation and

measured responses:

Excitation at 0 degrees Excitation at 45 degrees

1 4.5

0.5 4

Input [Nm]

Input [Nm]

0 3.5

−0.5 3

−1 2.5

0 500 1000 1500 2000 2500 3000 3500 4000 0 500 1000 1500 2000 2500 3000 3500 4000

Samples Samples

0.4 1.2

0.2 1

Output [rad]

Output [rad]

0 0.8

−0.2 0.6

−0.4 0.4

0 500 1000 1500 2000 2500 3000 3500 4000 0 500 1000 1500 2000 2500 3000 3500 4000

Samples Samples

Introduction to system identification 58

• Identification with noise-free measurements:

−θ(2) −θ(1) Tc (2) Tc (1)

−θ(3) −θ(2) Tc (3) Tc (2)

Φ = .. .. .. ..

. . . .

−θ(3999) −θ(3998) Tc (3999) Tc (3998)

h iT

Y = θ(3) θ(4) . . . θ(4000)

θ̂ = Φ+ Y

A = 1 + θ̂(1)q −1 + θ̂(2)q −2

B = θ̂(3)q −1 + θ̂(4)q −2

Introduction to system identification 59

• In Matlab:

phi = [-theta(2:end-1) -theta(1:end-2) Tc(2:end-1) Tc(1:end-2)];

Y = theta(3:end);

mod = pinv(phi)*Y;

A1 = [1 mod(1:2)’];

B1 = [0 mod(3:4)’];

Introduction to system identification 60

• Model validation: compare FRFs of the identified model and of the exact

continuous time model (presented above):

20

identified discrete time model

0

amplitude [dB]

−10

−20

−30

−40

0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2

−50

identified discrete time model

phase [degrees]

−100

−150

−200

−250

0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2

frequency [Hz]

Control Theory [H04X3a]

Introduction to system identification 61

• Model validation: compare FRFs of the identified model and of the ’exact’

discrete time model (derived using zoh equivalent):

20

10

identified discrete time model

amplitude [dB]

−10

−20

−30

−40

0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2

−50 identified discrete time model

phase [degrees]

−100

−150

−200

−250

0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2

frequency [Hz]

Control Theory [H04X3a]

Introduction to system identification 62

• Repeat the identification with noisy output data (variance of noise is 10%

of the RMS of signal):

• Model validation: compare FRFs of the identified model and of the ’exact’

discrete time model:

20

10

identified discrete time model

amplitude [dB]

−10

−20

−30

−40

0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2

−50 identified discrete time model

phase [degrees]

−100

−150

−200

−250

0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2

frequency [Hz]

input/output data!

Control Theory [H04X3a]

Introduction to system identification 63

• Repeat the identification with same noisy output data, but first filter the

data:

[Bf,Af]=butter(4,2/fs);

Tcf = filter(Bf,Af,Tc);

thetaf = filter(Bf,Af,theta);

Introduction to system identification 64

• Model validation: compare FRFs of the identified model and of the ’exact’

discrete time model:

20

10 identified discrete time model

amplitude [dB]

−10

−20

−30

−40

0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2

−50 identified discrete time model

phase [degrees]

−100

−150

−200

−250

0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2

frequency [Hz]

Control Theory [H04X3a]

Introduction to system identification 65

• Model validation: compare FRFs of the identified model and of the ’exact’

discrete time model, with the empirical transfer function estimate:

20

discrete time model

identified discrete time model

10 estimated FRF

amplitude [dB] 0

−10

−20

−30

−40

0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2

50

discrete time model

identified discrete time model

0 estimated FRF

phase [degrees]

−50

−100

−150

−200

−250

0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2

frequency [Hz]

Introduction to system identification 66

• Time domain model validation: compare measured output with predicted

output (using model identified with filtered noisy measurement)

0.3

measured

predicted

0.2

0.1

Output [rad]

0

−0.1

−0.2

−0.3

0 20 40 60 80 100 120 140 160 180 200

Samples

0.3

0.2

Prediction error [rad]

0.1

−0.1

−0.2

Samples

Control Theory [H04X3a]

Introduction to system identification 67

• Repeat the whole procedure with the other data set: first identification

with noise-free measurements

• Model validation: compare FRFs of the identified model and of the ’exact’

discrete time model:

20

10

identified discrete time model

amplitude [dB]

−10

−20

−30

−40

0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2

−50 identified discrete time model

phase [degrees]

−100

−150

−200

−250

0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2

frequency [Hz]

measurements

Control Theory [H04X3a]

Introduction to system identification 68

• Remove the DC-offset of both signals and repeat the identification with

noise-free data

• Model validation: compare FRFs of the identified model and of the ’exact’

discrete time model:

20

discrete time model

10 identified discrete time model

0

amplitude [dB]

−10

−20

−30

−40

0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2

0

discrete time model

identified discrete time model

−50

phase [degrees]

−100

−150

−200

−250

0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2

frequency [Hz]

Introduction to system identification 69

• Identification with noisy output data: filter i/o-data with same low-pass

filter, remove the DC-offset of both signals and repeat the identification

• Model validation: compare FRFs of the identified model and of the ’exact’

discrete time model:

20

discrete time model

10 identified discrete time model

0

amplitude [dB]

−10

−20

−30

−40

0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2

0

discrete time model

−50 identified discrete time model

phase [degrees]

−100

−150

−200

−250

0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2

frequency [Hz]

Introduction to system identification 70

• Model validation: compare FRFs of the identified model and of the ’exact’

discrete time model, with the empirical transfer function estimate:

20

discrete time model

10 identified discrete time model

estimated FRF

amplitude [dB] 0

−10

−20

−30

−40

0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2

50

0

identified discrete time model

estimated FRF

phase [degrees]

−50

−100

−150

−200

−250

0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2

frequency [Hz]

Introduction to system identification 71

• Time domain model validation: compare measured output with predicted

output (using model identified with filtered noisy measurement)

0.3

measured

predicted

0.2

0.1

Output [rad]

0

−0.1

−0.2

Samples

0.3

0.2

Prediction error [rad]

0.1

−0.1

−0.2

Samples

Control Theory [H04X3a]

Introduction to system identification 72

20

10 model at 0 degrees

0 model at 45 degrees

−20

−30

−40

0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2

phase [degrees]

model at 45 degrees

−100

−150

−200

−250

0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2

frequency [Hz]

Introduction to system identification 73

Conclusion

• Presented time domain identification method is only one example of many

existing methods

• Simple to use (only measurement data is required), but it has bad

properties

• Simple ’tricks’ to improve model accuracy are presented

• You have to be able to perform a time domain identification for systems

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