System Identification Lecture Week 3: Dr. Mian Ilyas Ahmad

System Identification
Lecture Week 3
Dr. Mian Ilyas Ahmad
Associate Professor,
RCMS, NUST Pakistan
m.ilyas@rcms.nust.edu.pk
M.I.Ahmad (RCMS) 1 / 18
Last Week
System Identification ( definition )

Non-parametric Vs. Parametric identification
System identification - model types
System response identification (nonparametric)
Current Week
Response identification
Impulse response identification
Step response identification
Sine wave response identification
Correlation Methods
Nonparametric Identification - LTI Systems
Impulse Response Representation
Integrating both input and output from −∞ to ∞ leads to the

convolution model
Z ∞
y (t) = g (t − τ )u(τ )dτ
−∞

convolution model
Z ∞
y (t) = g (t − τ )u(τ )dτ
−∞
For causal systems: ?

convolution model
Z ∞
y (t) = g (t − τ )u(τ )dτ
−∞
For causal systems: ?

In case of one sided input: ?
The convolution model is fully characterised by the impulse response

g (t) of the system. For a given input u(t), the output can be easily
computed by identifying g (t).

For discrete systems, the convolution sum is
t
X
y (t) = g (t − k)u(k) (1)
k=0

t
X
y (t) = g (t − k)u(k) (1)
k=0
Define j = t − k =⇒ k = t − j

t
X
y (t) = g (t − k)u(k) (1)
k=0
Define j = t − k =⇒ k = t − j
For k = 0, j = t and for k = t, j = 0, the convolution sum becomes
t
X
y (t) = g (j)u(t − j) (2)
j=0
Impulse Response Identification
If we are able to generate a unit pulse, than g (k) can be directly

found from the measured output

In case u(t) is not unit pulse
(
α, t=0
u(t) =
0, t 6= 0
α is chosen according to the physical limitations on the input signal.

(
α, t=0
u(t) =
0, t 6= 0

Equation (1) is defined only at k = 0, implying y (t) = αg (t)

(
α, t=0
u(t) =
0, t 6= 0

Similarly equation (2) is defined only at j = t, implying y (t) = αg (t)

(
α, t=0
u(t) =
0, t 6= 0

Similarly equation (2) is defined only at j = t, implying y (t) = αg (t)
Due to measurement errors, we normally use y (t) = αg (t) + e(t)
(
α, j = t = 0.4
u(t − j) =
0, j 6= t
y (t) = αg (t) + e(t)
y (t)
ĝ (t) = α
(
α, j = t = 0.4
u(t − j) =
0, j 6= t
y (t) = αg (t) + e(t)
y (t)
ĝ (t) = α
(
α, j = t = 0.4
u(t − j) =
0, j 6= t
y (t) = αg (t) + e(t)
y (t)
ĝ (t) = α
The estimated pulse response describes the sampled behaviour of the

continuous time system. Not a good estimate for fast dynamics
(
α, j = t = 0.4
u(t − j) =
0, j 6= t
y (t) = αg (t) + e(t)
y (t)
ĝ (t) = α
The estimated pulse response describes the sampled behaviour of the

continuous time system. Not a good estimate for fast dynamics
Keesman book, Chapter 2, pg 20-21
Step Response Representation (Identifying g (t))
(
0, t<0
u(t) =
α, t≥0 (Unit step function if α = 1)
(
0, t < 0
u(t) =
α, t ≥ 0 (Unit step function if α = 1)
Pt
y (t) = α k=0 g (k) + e(t)
(
0, t < 0
u(t) =
Pt
y (t) = α k=0 g (k) + e(t)
Pt−1
y (t) = α k=0 g (k) + αg (t) + e(t)
(
0, t < 0
u(t) =
Pt
y (t) = α k=0 g (k) + e(t)
Pt−1
y (t) = α k=0 g (k) + αg (t) + e(t)
y (t) = y (t − 1) + αg (t) + e(t) − e(t − 1)
(
0, t < 0
u(t) =
Pt
y (t) = α k=0 g (k) + e(t)
Pt−1
y (t) = α k=0 g (k) + αg (t) + e(t)
y (t) = y (t − 1) + αg (t) + e(t) − e(t − 1)
y (t)−y (t−1)
ĝ (t) = α
(
0, t < 0
u(t) =
Pt
y (t) = α k=0 g (k) + e(t)
Pt−1
y (t) = α k=0 g (k) + αg (t) + e(t)
y (t) = y (t − 1) + αg (t) + e(t) − e(t − 1)
y (t)−y (t−1)
ĝ (t) = α
If an impulse input cannot be applied, a step input can be chosen for

identification
Sine Wave Response Representation
u(t) = αsinwt
Before going into sine wave response, we discuss some well known transforms
u(t) = αsinwt
Laplace Rtransform (t → s)
∞
F (s) = 0 f (t)e −st dt
For Convolution Sum

Y (s) = G (s)U(s)
u(t) = αsinwt
Fourier transform
R∞ (t → jw )
F (jw ) = −∞ f (t)e −jwt dt
Laplace Rtransform (t → s)
∞
F (s) = 0 f (t)e −st dt For Convolution Sum
For Convolution Sum Y (jw ) = G (jw )U(jw )
Y (s) = G (s)U(s) —————-
DFT (k → P jw )
F (e jw ) = ∞ k=−∞ f (k)e
−jwk
u(t) = αsinwt
Fourier transform
R∞ (t → jw )
Laplace Rtransform (t → s) Z-transform
P (k → z) −k
∞
F (s) = 0 f (t)e −st dt For Convolution Sum F (z) = ∞ k=0 f (k)z
For Convolution Sum Y (jw ) = G (jw )U(jw ) For Convolution Sum

Y (s) = G (s)U(s) —————- Y (z) = G (z)U(z)
DFT (k → P jw )
F (e jw ) = ∞ k=−∞ f (k)e
−jwk
u(t) = αsinwt
Fourier transform
R∞ (t → jw )
Laplace Rtransform (t → s) Z-transform
P (k → z) −k
∞
F (s) = 0 f (t)e −st dt For Convolution Sum F (z) = ∞ k=0 f (k)z
For Convolution Sum Y (jw ) = G (jw )U(jw ) For Convolution Sum

Y (s) = G (s)U(s) —————- Y (z) = G (z)U(z)
DFT (k → P jw )
F (e jw ) = ∞ k=−∞ f (k)e
−jwk
Discrete Fourier transform of sampled impulse response is

G (e jw ) = ∞ −jwk
P
k=−∞ g (k)e
Sine Wave Response
Since e jwt = coswt + jsinwt, Im(e jwt ) = sinwt.
Sine Wave Response

Also G (e jw ) is complex and can be written as |G (e jw )|e jφ
Sine Wave Response

With these
P variables, the convolution sum becomes
y (t) = ∞k=−∞ g (k)u(t − k)
Sine Wave Response

With these
y (t) = ∞k=−∞ g (k)u(t − k)
P∞
y (t) = k=−∞ g (k)αIm(e jw (t−k) )
Sine Wave Response

With these
y (t) = ∞ k=−∞ g (k)u(t − k)
P∞
y (t) = k=−∞ g (k)αIm(e jw (t−k) )
y (t) = αIm(e jw (t) ∞ −jwk ))
P
k=−∞ g (k)(e
Sine Wave Response

With these
y (t) = ∞ k=−∞ g (k)u(t − k)
P∞
y (t) = k=−∞ g (k)αIm(e jw (t−k) )
P
k=−∞ g (k)(e
y (t) = αIm(e jw (t) G (e jw ))
Sine Wave Response

With these
y (t) = ∞ k=−∞ g (k)u(t − k)
P∞
y (t) = k=−∞ g (k)αIm(e jw (t−k) )
P
k=−∞ g (k)(e
y (t) = αIm(e jw (t) |G (e jw )|e jφ )
Sine Wave Response

With these
y (t) = ∞ k=−∞ g (k)u(t − k)
P∞
y (t) = k=−∞ g (k)αIm(e jw (t−k) )
P
k=−∞ g (k)(e
y (t) = αIm(e jw (t) |G (e jw )|e jφ )
y (t) = α|G (e jw )|Im(e j(wt+φ) )
Sine Wave Response
y (t) = α|G (e jw )|sin(wt + φ)
Sine Wave Response

If input is sinusoidal, the output is also sine wave multiplied in
magnitude by |G (e jw )| and shifted in phase by φ.
Sine Wave Response

As an example, let u(t) = 2.5sin5t. Then w = 5rad/sec and
y (t) = 2sin(5t − 2.5).
Sine Wave Response

y (t) = 2sin(5t − 2.5).
This means that |G (e jw )| = 2/2.5 and φ = w ∆T = −2.5rad
Sine Wave Response

y (t) = 2sin(5t − 2.5).
This means that |G (e jw )| = 2/2.5 and φ = w ∆T = −2.5rad
We can identify the frequency transfer function from the sine wave
response.
Frequency transfer function identification - Algorithm
Generate a specific frequency sine wave w1 with maximum allowable

magnitude α.

magnitude α.
Apply the sine wave to the system and record the resulting response.

magnitude α.
Determine magnitude and phase of G (e jw ) for the specific frequency
from the two signals u(t) and y (t).

magnitude α.
Determine magnitude and phase of G (e jw ) for the specific frequency
from the two signals u(t) and y (t).
Repeat this for a number of interesting frequencies w ∈ (w1 , . . . , wN )
Sine Wave Testing
Correlation Methods
Auto-correlation function: measures the relationship of a

function/variable on its past value.
Correlation Methods

1 T /2
Z
φff (τ ) = lim f (t)f (t + τ )dt (Infinite duration)
T →∞ T −T /2
Z t2
φff (τ ) = f (t)f (t + τ )dt (Finite duration)
t1
Correlation Methods

1 T /2
Z
T →∞ T −T /2
Z t2
t1
(
a, 0≤t≤T
f (t) =
0, otherwise
Correlation Methods

1 T /2
Z
T →∞ T −T /2
Z t2
t1
(
a, 0≤t≤T
f (t) =
0, otherwise
φff (τ ) =?
Correlation Methods

1 T /2
Z
T →∞ T −T /2
Z t2
t1
(
a, 0≤t≤T
f (t) =
0, otherwise
φff (τ ) =?
φff (τ ) = a2 (T − τ ),
−T ≤ τ ≤ T
Correlation Methods

1 T /2
Z
T →∞ T −T /2
Z t2
t1
(
a, 0≤t≤T
f (t) =
0, otherwise
φff (τ ) =?
φff (τ ) = a2 (T − τ ),
−T ≤ τ ≤ T
Correlation Methods

1 T /2
Z
T →∞ T −T /2
Z t2
t1
(
a, 0≤t≤T
f (t) =
0, otherwise
φff (τ ) =?
φff (τ ) = a2 (T − τ ),
−T ≤ τ ≤ T
Correlation Methods
Auto-correlation function: discrete version
Correlation Methods

N
1 X
ruu (l) = lim u(i)u(i + l) (Infinite sequence)
N→∞ 2N + 1
i=−N
= E [uu0 (l)] (If N finite, u finite entries )
Correlation Methods

N
1 X
N→∞ 2N + 1
i=−N
Cross-correlation function: measures the relationship of a

function/variable on the past value of another function/variable.
Correlation Methods

N
1 X
N→∞ 2N + 1
i=−N
Cross-correlation function: measures the relationship of a

function/variable on the past value of another function/variable.
N
1 X
ruy (l) = lim u(i)y (i + l) (Infinite sequence)
N→∞ 2N + 1
i=−N
= E [uy0 (l)] (If N finite, u, y(l) finite entries )
Weiner Hopf Equation
P∞
As y (t) = k=0 g (k)u(t − k), we have
P∞
∞
X
y (i + l) = g (k)u(i + l − k)
k=0
P∞
∞
X
y (i + l) = g (k)u(i + l − k)
k=0
1 PN
Since ruy (l) = limN→∞ 2N+1 i=−N u(i)y (i + l) therefore
P∞
∞
X
y (i + l) = g (k)u(i + l − k)
k=0
1 PN
Since ruy (l) = limN→∞ 2N+1 i=−N u(i)y (i + l) therefore
N ∞
1 X X
ruy (l) = lim u(i) g (k)u(i + l − k)
N→∞ 2N + 1
i=−N k=0
∞ N
X 1 X
ruy (l) = g (k) lim u(i)u(i + l − k)
N→∞ 2N + 1
k=0 i=−N
The resulting equation is called Weiner Hopf Equation

∞
X
ruy (l) = g (k)ruu (l − k)
k=0

∞
X
k=0
The equation is similar to the convolution sum but with auto and
cross correlations.
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
s
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).
s
X
k=0

To ignore the effect of initial condition, the first M measurements are
often removed.
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
1 X
ruu (l) ≈ u(i)u(i + l)
N − M − l i=M
N−l
1 X
ruy (l) ≈ u(i)y (i + l), l = 0, . . . , s
N − M − l i=M
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.


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System Identification

Dr. Mian Ilyas Ahmad

System Identification ( definition )

Integrating both input and output from −∞ to ∞ leads to the

Integrating both input and output from −∞ to ∞ leads to the

For causal systems: ?

Integrating both input and output from −∞ to ∞ leads to the

For causal systems: ?

The convolution model is fully characterised by the impulse response

The convolution model is fully characterised by the impulse response

The convolution model is fully characterised by the impulse response

The convolution model is fully characterised by the impulse response

Impulse Response Identification

If we are able to generate a unit pulse, than g (k) can be directly

Impulse Response Identification

If we are able to generate a unit pulse, than g (k) can be directly

α is chosen according to the physical limitations on the input signal.

Impulse Response Identification

If we are able to generate a unit pulse, than g (k) can be directly

α is chosen according to the physical limitations on the input signal.

Impulse Response Identification

If we are able to generate a unit pulse, than g (k) can be directly

α is chosen according to the physical limitations on the input signal.

Impulse Response Identification

If we are able to generate a unit pulse, than g (k) can be directly

α is chosen according to the physical limitations on the input signal.

Impulse Response Identification

Impulse Response Identification

Impulse Response Identification

The estimated pulse response describes the sampled behaviour of the

Impulse Response Identification

The estimated pulse response describes the sampled behaviour of the

Step Response Representation (Identifying g (t))

Step Response Representation (Identifying g (t))

Step Response Representation (Identifying g (t))

Step Response Representation (Identifying g (t))

Step Response Representation (Identifying g (t))

Step Response Representation (Identifying g (t))

If an impulse input cannot be applied, a step input can be chosen for

Sine Wave Response Representation

Sine Wave Response Representation

For Convolution Sum

Sine Wave Response Representation

Sine Wave Response Representation

For Convolution Sum Y (jw ) = G (jw )U(jw ) For Convolution Sum

Sine Wave Response Representation

For Convolution Sum Y (jw ) = G (jw )U(jw ) For Convolution Sum

Discrete Fourier transform of sampled impulse response is

Sine Wave Response

Since e jwt = coswt + jsinwt, Im(e jwt ) = sinwt.

Sine Wave Response

Since e jwt = coswt + jsinwt, Im(e jwt ) = sinwt.

Sine Wave Response

Since e jwt = coswt + jsinwt, Im(e jwt ) = sinwt.

Sine Wave Response

Since e jwt = coswt + jsinwt, Im(e jwt ) = sinwt.

Sine Wave Response

Since e jwt = coswt + jsinwt, Im(e jwt ) = sinwt.

Sine Wave Response

Since e jwt = coswt + jsinwt, Im(e jwt ) = sinwt.

Sine Wave Response

Since e jwt = coswt + jsinwt, Im(e jwt ) = sinwt.