System Identification Lecture Week 4: Dr. Mian Ilyas Ahmad

System Identification
Lecture Week 4
Dr. Mian Ilyas Ahmad
Associate Professor,
RCMS, NUST Pakistan
m.ilyas@rcms.nust.edu.pk
M.I.Ahmad (RCMS) 1 / 13
Last Week
Response identification
Impulse response identification
Step response identification
Sine wave response identification
Correlation Methods
Current Week
Impulse response identification using Weiner Hopf Equation
Current Week

Filter properties of Weiner Hopf Equation
Current Week

MATLAB Implementation
Current Week

MATLAB Implementation
Frequency Response Identification using Correlations
Nonparametric Identification - LTI Systems
Weiner Hopf Equation
∞
X
ruy (l) = g (k)ruu (l − k)
k=0
∞
X
k=0
Impulse Response Identification using Weiner Hopf Equation

Assume that the first s elements of g (k) are enough to determine the
response of a stable system
∞
X
k=0

s
X
k=0
∞
X
k=0

s
X
k=0
If input and output measurements are given from 0 to N, we need to

compute ruy (l) and ruu (l).
∞
X
k=0

s
X
k=0

To ignore the effect of initial condition, the first M measurements are
often removed.
∞
X
k=0

s
X
k=0

To ignore the effect of initial condition, the first M measurements are
often removed.
Knowing that we have (u(M), y (M)), . . . , (u(N), y (N))
measurements, the correlations are written as
N−l
M.I.Ahmad (RCMS) 1 X
4 / 13
r (l) ≈ u(i)u(i + l)
Then using the Weiner Hopf equation, we have

ruy (0) = g (0)ruu (0) + g (1)ruu (−1) + . . . + g (s)ruu (−s)
.
.
.
ruy (s) = g (0)ruu (s) + g (1)ruu (s − 1) + . . . + g (s)ruu (0)

.
.
.
In matrix form, we can write

.
.
.

ruu (0) ruu (−1) ··· ruu (−s)
 
ruy (0) g (0)
   
ruu (1) ruu (0) ··· ruu (1 − s)
 .. 
    . 
=  .
 . . . .   .. 
  
 . 
 . . .. .
. . 
ruy (s) g (s)
ruu (s) ruu (s − 1) ··· ruu (0)
ruy = Ruu g

.
.
.

ruu (0) ruu (−1) ··· ruu (−s)
 
ruy (0) g (0)
   
ruu (1) ruu (0) ··· ruu (1 − s)
 .. 
    . 
=  .
 . . . .   .. 
  
 . 
 . . .. .
. . 
ruy (s) g (s)
ruu (s) ruu (s − 1) ··· ruu (0)
ruy = Ruu g
This can be solved for g using any linear solver.

1 Ruu matrix is symmetric as ruu (l) = ruu (−l), if l N

N−l
1 X
ruu (l) = u(i)u(i + l)
N − l i=1

N−l
1 X
N − l i=1
N−l N−2l
1 X 1 X
ruu (−l) = u(i)u(i − l) = u(j + l)u(j)
N − l i=1 N − l j=1−l

N−l
1 X
N − l i=1
N−l N−2l
1 X 1 X
ruu (−l) = u(i)u(i − l) = u(j + l)u(j)
N − l i=1 N − l j=1−l
N−l
1 X
ruu (−l) = u(j)u(j + l) [l N]
N − l j=1

N−l
1 X
N − l i=1
N−l N−2l
1 X 1 X
ruu (−l) = u(i)u(i − l) = u(j + l)u(j)
N − l i=1 N − l j=1−l
N−l
1 X
ruu (−l) = u(j)u(j + l) [l N]
N − l j=1
2 If u(t) is equal to a unit impulse, than ruu (0) = 1 and ruu (l) = 0 for
l 6= 0. This means that Ruu is identity matrix and ruy = g
Algorithm
Generate an arbitrary input u(t), t = 1, . . . , N
Algorithm

Measure u(t) and corresponding y (t).
Algorithm

Calculate sampled auto and cross-correlations for l = 0, . . . , s
Algorithm

Form ruy and Ruu from the sampled correlations.
Algorithm

Form ruy and Ruu from the sampled correlations.
−1 r
Find g from g = Ruu uy
Filter Properties of Weiner Hopf Equation
Why correlation and then identification of g. Why not direct

identification using u and y measurements.

Suppose
y (t) = ȳ (t) + e(t)

Suppose
y (t) = ȳ (t) + e(t)

N−l
1 X
ruy (l) ≈ u(i)(ȳ (i + l) + e(i + l))
N −M −l
i=M

Suppose
y (t) = ȳ (t) + e(t)

N−l
1 X
ruy (l) ≈ u(i)(ȳ (i + l) + e(i + l))
N −M −l
i=M
ruy (l) ≈ ruȳ (l) + rue (l)

Suppose
y (t) = ȳ (t) + e(t)

N−l
1 X
ruy (l) ≈ u(i)(ȳ (i + l) + e(i + l))
N −M −l
i=M
ruy (l) ≈ ruȳ (l) + rue (l)
As long as e is unrelated to u and has zero mean, the long term

average of u(i)e(i + l) is very likely to be close to zero.
Frequency Analysis Using Correlation Techniques
We know that
u(t) = αsinwt → LTI Sys → y (t) = α|G (e jw )|sin(wt + φ)
We know that
Actual response is y (t) = α|G (e jw )|sin(wt + φ) + e(t) and it is
possible to correlate ȳ (t) out from the noise e(t)
We know that
We define
NT
1 X
Ys (N) = y (t)sinwt
NT + 1
t=0
We know that
We define
NT
1 X
Ys (N) = y (t)sinwt
NT + 1
t=0
NT
1 X
Yc (N) = y (t)coswt
NT + 1
t=0
Expanding Ys (N) as
NT
1 X jw
Ys (N) = (α|G (e )|sin(wt + φ)sinwt + e(t)sinwt)
NT + 1 t=0
Expanding Ys (N) as
NT
1 X jw
NT + 1 t=0
NT
1 jw (cos(φ) − cos(2wt + φ))
X
Ys (N) = (α|G (e )| + e(t)sinwt)
NT + 1 t=0 2
Expanding Ys (N) as
NT
1 X jw
NT + 1 t=0
NT
X
NT + 1 t=0 2
NT
1 (NT + 1) jw 1 α|G (e jw )| X
Ys (N) = α|G (e )|cos(φ) − cos(2wt + φ))
NT + 1 2 NT + 1 2 t=0
NT
1 X
+ e(t)sinwt
NT + 1 t=0
Expanding Ys (N) as
NT
1 X jw
NT + 1 t=0
NT
X
NT + 1 t=0 2
NT
1 (NT + 1) jw 1 α|G (e jw )| X
NT + 1 2 NT + 1 2 t=0
NT
1 X
+ e(t)sinwt
NT + 1 t=0
1 jw
Ys (N) = α|G (e )|cos(φ)
2
Expanding Ys (N) as
NT
1 X jw
NT + 1 t=0
NT
X
NT + 1 t=0 2
NT
1 (NT + 1) jw 1 α|G (e jw )| X
NT + 1 2 NT + 1 2 t=0
NT
1 X
+ e(t)sinwt
NT + 1 t=0
1 jw
Ys (N) = α|G (e )|cos(φ)
2
Where in the 2nd last equation, the last two terms approaches zero as
N approaches infinity
Similarly expanding Yc (N) as

NT
1 X jw
Yc (N) = (α|G (e )|sin(wt + φ)coswt + e(t)coswt)
NT + 1 t=0

NT
1 X jw
NT + 1 t=0
NT
1 X jw (sin(2wt + φ) + sin(φ))
Yc (N) = (α|G (e )| + e(t)coswt)
NT + 1 t=0 2

NT
1 X jw
NT + 1 t=0
NT
NT + 1 t=0 2
NT
1 (NT + 1) jw 1 α|G (e jw )| X
Yc (N) = α|G (e )|sin(φ) + sin(2wt + φ))
NT + 1 2 NT + 1 2 t=0

NT
1 X jw
NT + 1 t=0
NT
NT + 1 t=0 2
NT
1 (NT + 1) jw 1 α|G (e jw )| X
NT + 1 2 NT + 1 2 t=0
NT
1 X
+ e(t)coswt
NT + 1 t=0
1 jw
Yc (N) = α|G (e )|sin(φ)
2

NT
1 X jw
NT + 1 t=0
NT
NT + 1 t=0 2
NT
1 (NT + 1) jw 1 α|G (e jw )| X
NT + 1 2 NT + 1 2 t=0
NT
1 X
+ e(t)coswt
NT + 1 t=0
1 jw
Yc (N) = α|G (e )|sin(φ)
2
Where in the 2nd last equation, the last two terms approaches zero as
N approaches infinity
Using Ys (N) and Yc (N), we get
2
q
|G (e jw )| = Ys2 (N) + Yc2 (N)
α
2
q
|G (e jw )| = Ys2 (N) + Yc2 (N)
α
Yc (N)
φ = arc tan ( )
Ys (N)
2
q
|G (e jw )| = Ys2 (N) + Yc2 (N)
α
Yc (N)
φ = arc tan ( )
Ys (N)
Frequency transfer function can be identified from the correlation

function Ys (N) and Yc (N)
Algorithm
Generate sine wave with max. allowable magnitude α.
Algorithm

Apply this to the system and measure the resulting sine wave
response.
Algorithm

response.
Determine from N cycles of the output, Yc (N) and Ys (N).
Algorithm

response.
Calculate magnitude and phase shift of G (e jw ) using Yc (N) and
Ys (N).
Algorithm

response.
Calculate magnitude and phase shift of G (e jw ) using Yc (N) and
Ys (N).
Repeat this for a number of different frequencies w ∈ w1 , w2 , w3 , . . .

System Identification Lecture Week 4: Dr. Mian Ilyas Ahmad

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System Identification

Dr. Mian Ilyas Ahmad

Impulse response identification using Weiner Hopf Equation

Impulse response identification using Weiner Hopf Equation

Impulse response identification using Weiner Hopf Equation

Impulse response identification using Weiner Hopf Equation

Impulse Response Identification using Weiner Hopf Equation

Impulse Response Identification using Weiner Hopf Equation

Impulse Response Identification using Weiner Hopf Equation

If input and output measurements are given from 0 to N, we need to

Impulse Response Identification using Weiner Hopf Equation

If input and output measurements are given from 0 to N, we need to

Impulse Response Identification using Weiner Hopf Equation

If input and output measurements are given from 0 to N, we need to

Then using the Weiner Hopf equation, we have

Then using the Weiner Hopf equation, we have

Then using the Weiner Hopf equation, we have

In matrix form, we can write

Then using the Weiner Hopf equation, we have

In matrix form, we can write

Then using the Weiner Hopf equation, we have

In matrix form, we can write

This can be solved for g using any linear solver.

Impulse Response Identification using Weiner Hopf Equation

1 Ruu matrix is symmetric as ruu (l) = ruu (−l), if l  N

Impulse Response Identification using Weiner Hopf Equation

1 Ruu matrix is symmetric as ruu (l) = ruu (−l), if l  N

Impulse Response Identification using Weiner Hopf Equation

1 Ruu matrix is symmetric as ruu (l) = ruu (−l), if l  N

Impulse Response Identification using Weiner Hopf Equation

1 Ruu matrix is symmetric as ruu (l) = ruu (−l), if l  N

Impulse Response Identification using Weiner Hopf Equation

1 Ruu matrix is symmetric as ruu (l) = ruu (−l), if l  N

Generate an arbitrary input u(t), t = 1, . . . , N

Generate an arbitrary input u(t), t = 1, . . . , N

Generate an arbitrary input u(t), t = 1, . . . , N

Generate an arbitrary input u(t), t = 1, . . . , N

Generate an arbitrary input u(t), t = 1, . . . , N

Why correlation and then identification of g. Why not direct

Why correlation and then identification of g. Why not direct

y (t) = ȳ (t) + e(t)

Why correlation and then identification of g. Why not direct

y (t) = ȳ (t) + e(t)

Why correlation and then identification of g. Why not direct

y (t) = ȳ (t) + e(t)

Why correlation and then identification of g. Why not direct

y (t) = ȳ (t) + e(t)

As long as e is unrelated to u and has zero mean, the long term

Frequency Analysis Using Correlation Techniques

Frequency Analysis Using Correlation Techniques

Frequency Analysis Using Correlation Techniques

Frequency Analysis Using Correlation Techniques

Frequency Analysis Using Correlation Techniques

Similarly expanding Yc (N) as

Similarly expanding Yc (N) as

Similarly expanding Yc (N) as

Similarly expanding Yc (N) as

Similarly expanding Yc (N) as

Frequency Analysis Using Correlation Techniques

Using Ys (N) and Yc (N), we get

Frequency Analysis Using Correlation Techniques

Using Ys (N) and Yc (N), we get

1 Ruu matrix is symmetric as ruu (l) = ruu (−l), if l N

1 Ruu matrix is symmetric as ruu (l) = ruu (−l), if l N

1 Ruu matrix is symmetric as ruu (l) = ruu (−l), if l N

1 Ruu matrix is symmetric as ruu (l) = ruu (−l), if l N

1 Ruu matrix is symmetric as ruu (l) = ruu (−l), if l N