International Journal of Control

ISSN: 0020-7179 (Print) 1366-5820 (Online) Journal homepage: http://www.tandfonline.com/loi/tcon20

Parameter estimation of discrete-time systems

using short-periodic pseudo-random sequences

Y. FUNAHASHI & K. NAKAMURA

To cite this article: Y. FUNAHASHI & K. NAKAMURA (1974) Parameter estimation of discrete-
time systems using short-periodic pseudo-random sequences, International Journal of Control,
19:6, 1101-1110, DOI: 10.1080/00207177408932701

To link to this article: http://dx.doi.org/10.1080/00207177408932701

Published online: 22 Oct 2007.

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Download by: [RMIT University Library] Date: 16 June 2016, At: 11:34
 INT. J. CONTROL, 1974, VOL. 19, No.6, IlOI-llIO

Parameter estimation of discrete-time systems using

short-periodic pseudo-random sequences
Y. FUNAHASHIt and K. NAKAMURAt

A met.hod of csi.imet.ing the parameters of the state-space equation of a linear discrete-

time system, using a pseudo-ranrtom t.eat. signal and correlation analysis, is described.
Using the results of system theoretical considerations, a short period of sequence can
be used for the eat.imabion of parameters.

I. Introduction
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The use of pseudo-random binary sequences for the identification of linear

systems is well established both for continuous-time systems (Briggs et al, 1967)
and for discrete-time systems (Clarke and Briggs 1970). Most of the previous
treatments aimed to obtain an estimate of impulse response of the unknown
systems, using a pseudo-random sequence with a sufficiently long period. The
estimate, obtained by simply cross-correlating the pseudo-random sequence
and the corresponding output, is fairly reliable and unbiased.
However, the final goal of the identification is to express the input--output
relation of the unknown system in the analytically tractable form; for example,
as a transfer function or a state-space equation. This paper describes the
application of a pseudo-random binary sequence to the problem of estimating
the parameters of the state-space equation of a discrete-time system. The
proposed method heavily relies on the exact results from the system theoretic
considerations. This approach has been investigated by the authors (1973).
In the method described here one can use binary sequences with a short period
of length. It is shown that, for the purpose of estimating the state-space
equation, the length of the period of the pseudo-random sequence may be short
provided it is larger than twice the system order. The minimal number of the
required cross-correlators is just twice the system order. Finally, the deter-
mination of the order of systems is given using the value of cross-correlation
between the test signal and the output signal.

2. System model
A linear, constant, single-variable discrete-time system subjected to noise
can be modelled by the following state-space equation:

x(t + I) = Ax(t) + butt) + w(t)

y(t)=cx(t)+v(t) t=O, 1,2, ...
} . (2.1)

Received 18 June 1973.

t Automatic Control Laboratory, Faculty of Engineering, Nagoya University,
Chikusa-ku, Nagoya 464, Japan.
CON. 6F
 1102 Y. Funahashi and K. Nakamura

where x is an n-state vector and u and yare scalar control input and scalar
output, respectively. {w(t)} and {v(t)} are normally distributed independent
random sequences with zero mean value and finite unknown covariances

E{W(t)W(T)T} = v»; }
(2.2)
E{V(t)V(T)} = y8 tr r.

In (2.1) the state vector x is chosen such that the nxn matrix A and n-
vector c take the following canonical form (Lee 1964) :

o 1 0 ...
:: '
o 0 1 ... o j In_l
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i
!
-~---_.:._ .. _---.- (2.3)

c = (1 0 ... 0)

For the system (2.1) the following assumptions are made:

[AI] The matrix A is non-singular and stable, i.e. all the eigenvalues of A
are non-zero and less than one in its absolute value. Denoting
Amax(A) the maximum absolute value of the eigenvalues of A,

Amax(A) < 1 (2.4)

[A2] {A, b} is a controllable pair, i.e.

rank [b, Ab, A 2b, ... , An-1b]=n (2.5)

The problem of identification considered here is to estimate the parameters

{a, b} from the available data u and y.

3. Correlation method
The steady-state output from the unknown system (2.1) for a periodic
sequence is given by

y(t)=L CAi-1bu(t-i)+v(t)+ L cAi-lw(t-i)

l=] i=1

or

y(t) = L <PiU(t - i) + TJ(t) (3.1 )

i=l

where
<Pi = cAi-1b, i=l, 2, 3, ... (3.2)

TJ(t)=v(t)+ L CAi-1w(t-i) (3.3)

i=l .
 Parameter estimation of discrete-time systems JL03

The correlation of y and u over mL interval is givenby

I wi. 1 »t. { "' }
mL t~, y(t)u(t-k)= mL t~' i~' <p;u(t-i) u(t-k)
I lid,

+ mL t~J 7](t)u(t-k) (3.4)

Let u(t) be a pseudo-random binary sequence (P.R.B.S.) with the length L of the
period. The length L is not necessarily long. Assume that the amplitude
(+ o, - (3) are adjusted so that

Then the autocorrelation property of P.R.B.S. is

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I, L+l (D1.+f3)2

I
1 L
-Lt~1 u(t)u(t-j)=- - for j = 0, L, 2L, ...
L 2 (3.5)
and
=0 for j ~ 0, L, 2L, ...
Using this property, the first term of the right-hand side of (3.4) becomes

~L t~ j~' <pju(t-i)} u(t-k)= i~l <Pi {~L:~

{ u(t-i)u(t-k)}

= a 2(<pk + <Pk+L + ...)

where

Define
"" 1 mL
'fk(mL)=-L2
m a t~1
L y(t)u(t-k) (3.6)

From (3.4),
.... a: I mD
'fk(mL) = j~O <Pk+jL + mLa2 t~, 7](t)u(t -k)

The second term is a normal random variable with zero mean, hence ~k(mL) is
'"
an unbiased estimate of L <Pk+jL' More can be stated about the property of
j=O
~k(mL), the proof of which is given in the Appendix.

Property 1
~~.(mL) converges to
tPk = <Pk + <Pk+L + <Pk+2L + ... (3.7)
with probability one and in the mean square sense.
Prob. {lim 'fk(mL) = 'f..} = 1
mL

lim E {1~k(mL)-tPkI2}=0 (3.8)

mL-~::1')

6F2
 1104 Y. Eunahashi and K. Nakamura

Moreover, the rate of convergence is given by

where
s ; ~"" AiQ(AT)i
1=0

4. Estimation of system parameters

4 .1. Theoretical relatian
From (3.2) and the form of A
cPn+k = at'/)k+ aacPk+l + +ancPk+n-l, k= 1,2, ... (4.1)
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.pn+k defined by (3.7) have the same relationship as cPn+k;

""
.pn+k = ~ cPn+k+IL
j-O
co

= ~ (alcPk+IL +aacPk+1+iL + ... +ancPk+n-1+IL)

j=O

= al'fk + aa.pk+1 + ... + an.pk+n-l (4.2)

L
Using (4.2), for k= 1,2, ... , n,
.pn+1 .pI .pa .pn al
.pa 'fa .pn+1 aa (4.3)
.....................
.....................
.pn .pn+1 ... .pan-l an
The matrix

'fn )
.pa .pn+1

.pn+1 .pan-l
is always invertible when the system order is n (see § 5). Inverting (4.3), a is
related to .pi by

al) (.pI .pa ..·'fn )_l('fn+1)

~a = ~a .pa··· .pn+l .p~+a (4.4)
(
an .pn ... .pan-l .pan
Using A, band c, 'fi can be expressed in another form. From (3.2) and (3.7),
.pi= cPi + cPi+L + cPi+aL + ...
= cA i-lb + cA i+L-lb + '"

=CAi-l[I + AL+ AaL+ ... ]b

 Parameter estimation of discrete-time systems 1105

From the assumption (2.4) and the well-known formula

Amax(A L) = Pmax(A)]L
the eigenvalues of A L lies in the unit circle. Hence the infinite summation
(1 + AL+ A2L+ ... ) always exists and is given by (Householder 1964)

l+AL+A2L+ .. , =(l_AL)-l

Thus .pi is expressed explicitly in terms of A, band c,

(4.5)

Using (4.5), for i= 1,2, ... , n

::] =[ ':;l-_A~:;:. ]=r,: ]

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(1- AL)-lb (4.6)

r.pft CAft-l(l_ AL)-lb cAn-l

From the canonical form of A andc in (2.3),

c ] -1
cA

rCA~-l - n

Inverting (4.6), b is related to .p as follows:

(4.7)

where A is given by (2.3) through (4.4).

4.2. Estimation algorithm of system parameters

One straightforward method of estimating a and b is to replace each .pi in
(4.4) and (4.7) by its estimate ~i(mL) :

(4.8)

(4.9)

where time index mL is omitted for simplicity. The algorithm (4.8) and (4.9)
possesses the following interesting properties.
 lion Y. Fumahashi and K. Nakamura

Property 2
The estimatesd, and b, are asymptotically unbiased and normally distri-
buted.
To show this, let

"'i=.pi - ~i
Rewrite(4.8) for j = 1,2, ... , n, as follows:
"
;= 1
L (.pi+i~l - "'i+i-1)(a i -ail = .pn+i - i.;
Using (4.4),
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II II

L
;=1
(.pi+i-1- "'i+i-1)a i = "'n+i- .L
~=<1
ai"'i+i-1

Solving the preceding equation for a, and neglecting terms of order smaller
than (1/mL)1/2,

::] =[ 11 .pn ]_1[ (n+1 - La

i"',
]
(4.10)
[~n In .p2n-1 "':n - L a i"'i+n-1
(4.10) shows that for large mL the errors in ai are linearly related to errors "'i'
Since the latter. are zero mean and normal, it follows that the estimates
al ... an are unbiased, normal and consistent estimate of a .
. As for b, define .
h=b-b
=(l-AL).p_(1-AL)~

Neglecting terms of order smaller than (I [ml, )1 /2,

AL=(A_J)L
J,
=AL_ L AL-iAAi-l
. j,= 1

where

A=[ .----------~--..------.]
al a2 · •· an
Thus,

L
= - L AL-iAAi-l.p+(I _AL)'" . (4.11 )
i~1 .

(4.11) shows that for large mL the errors in b, are linearly dependent on a and "'.
Since the latter are zero mean and normal, it follows that the estimates b1 ... b;
are unbiased, normal and consistent estimate of·b.
 Parameter estimation 01 discrete-time systems 1107

4.3. Length 01 the period

As u(t) is a periodic sequence with period L, u(t-k-L)=u(t-k) holds for
all t and k. From the definition of ~k(rnL),
~k+I)mL)=~k(rnL) (4.12)
The limits are also equal. Hence .pk+L does not provide any information.
However, it is required to.get .pI ~ .p2n in order to estimate a and b. Hence it is
concluded that the length L of the period must be larger than twice the order of
the system to be identified.
L~2n (4.13)

5. Determination of system order

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So far, it is implicitly assumed that the order of the system is known. If

the order is not known, it can be determined as follows. Define

.pI '" .pk) (

c~
C )
'F k = 1 = (I-A)L-I(bAb ... Ak-Ib) (5.1)
(
.pk ... .p2k-1 cA k-I
From (2.3) and (2.5),

k<n
rank ( , : ) ={::
CAk-1
k' k c n.
rank [b Ab ... Ak-Ib]=
{
n, k~n

Thus, from the Sylvester's inequality for the rank of the product of two rect-
angular matrices (Gantmacher 1959), we have
rank 'Fk=k, k= 1,2, ... , n (5.2)
and
rank 'Fk=n, k=n+ 1, n+ 2, ... (5.3)
Then the order of the system can be defined as the minimum integer such that
rank 'F k = rank 'F H I holds.

6. Simulation experiment
Experiments were performed on computer-simulated systems to check the
algorithm proposed. The system to be identified is

x(t + I) [0
=
- 0·223
1]
0·974
x(t) + [0'824] u(t) +
0·003
[0]
1
w(t)

y(t) = [1 0] x(t) +v(t)

 1108 Y. Funahashi and K. Nakamura

Noise sequences {w(t)} and {v(t)} are white-noise sequences with zero mean and
variances
E{W(t)2} = 0·01
E{V(t)2} = 0·0225
The input sequence is a pseudo-random sequence withvalue.(0·293, -1) and
length of the period is L = 7. An illustrative sample path of normalized error
is shown in the Figure.

.-.-.,
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;:,~
~\
+
~~
'--:-'
~I'" 0"-0

\
L
e
..
L

~
D
o
E
o
z
-2 .
10
.10 20 100 200300
Number of Iterations

7. Conclusion
An estimate of the parameters of the state-space equation can be obtained
by using the procedure described in this paper. The length of the period of the
pseudo-random sequence may be short, while the obtained estimates retain the
same statistical properties as using the long-period of sequence.

ACKNOWLEDGMENT

The work described in this paper was supported by the Japanese Ministry
of Education under the Promoting Research No. 775185, 1972.

Appendix
Define
. . 1 m.L
Zk(mL)=-L2
m a '=1
L
"I(t)u(t-k) (A 1)
 Parameter estimation 01 discrete-time systems 1109

Then from (3.6), ~k(mL) - .pk= Zk(mL) and the convergence of the ~k(mL) to .pk
is stated in the statistical properties of Zk(mL). Now,

E{1](t)1](s)} = E{v(t) + L cA i-lw(t - i)}{v(s) + L cAi-lw(s - j)}

'X>

=y8(t-s)+ L CAi-1Q(AT)i-l(A1')(s-t)cT, s~t

i=l

As "max(A)< I, L'" Ai-1Q(AT)i-l always exists (Householder 1964) which is

i= 1

denoted by S. Hence

(A 2)
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There exist constants M and p such that Amax(A) < p < 1 and

(A 3)
for all t and e.
Evaluate

I~ E{7](t)u(t-k)1](t+s)u(t+s-k)} I
1
~2 lu(t-k)u(t+s-k)IIE{1](t)1](t+s)}1
a

It follows from a law of large numbers for centred random variables (Parzen
1960) that the Zk(mL) tends to zero with probability one and in the mean square
sense as mL-. + 00. This holds for all k and thus (3.8) is proved.
As for the speed of convergence, let us evaluate

I mL .
E{Zk(mL)2} L 2 . L E{1](t)1](s)}u(t-k)u(s-k)
(m)a/. s = !

From (A 2) and using

E{Zk(mL)2} ~mL2 {y+cS(I - AT)-l(I + AT)cT}

2 cSAT(I-AT)-2(I-(AT)mL) (A4)
(mL)2a2

For large mL, the second term tends to zero rapidly and thus (3.9) is proved.
 1110 Parameter estimation at discrete-time systems
REFERENCES
BRIGGS, P. A. N., GODFREY, K. R., and HAMMOND, P. H., 1967, Identification in
Automatic Gontrol Systems, I.F.A.C. Symposium, Prague.·
CLARKE, D. W., and BRIOGS, P. A. N., 1970, Int. J. Gontrol, 11,49.
FUNAHASHI, Y., and NAKAMURA, K., 1973, I.E.E.E. Trans. auiom. Control, 18,551.
GANTMACHER, F. R., 1959, Theory of Matrices, Vol. 1 (Chelsea).
HOUSEHOLDER, A. S., 1964, The Theory of Matrices in Numerical Analysis (Blaisdell).
LEE, R. C. K., 1964, Optimal Estimation, Identification and Control. (M.I.T. Press),
Chap. 4.
PARZEN, E., 1960, Modern Probability Theory and its Applications (John Wiley &
Sons), Chap. 10.
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