Lecture7 2012

Filtering and Identification
Lecture 7:
Subspace Identification
Instrumental Variables
Michel Verhaegen and Jan-Willem van Wingerden

1/33
Delft Center for Systems and Control

Delft University of Technology
Overview
Recap: Deterministic Subspace

Identification
Identification of Output Error Models
Identification of Innovation Models
Estimating the Kalman Gain
Identification and Control: Experimental

Results.
2/33
The Deterministic
Case
x(k + 1) = Ax(k) + Bu(k)

LTI System:
y(k) = Cx(k) + Du(k)

Data equation Y0,s,N = Os X0,N + Ts U0,s,N
Recovery column
matrix Os :

space of extended observability
1
T
T
U0,s,N , then:
Let,
=
I
U
U
U
0,s,N
U0,s,N
0,s,N
0,s,N
?
Y0,s,N
=
O
X
range(Y
s
0,N
0,s,N
U0,s,N
U0,s,N
U0,s,N ) = range(Os )
The RQ factorization provides an efficient solution :

U
R
0
Q
0,s,N = 11
1 QQT = I Y0,s,N
U0,s,N = R22 Q2
R21 R22
Y0,s,N
Q2
| {z }
Q
3/33
The 5-line matlab solution:Basic MOESP

1
The i/o data sequences {u(k), y(k)}N
k=0 and the integer s
to specify number of block rows of the Hankel matrices
U0,s,N , Y0,s,N (s > n?).
G IVEN :
T HEN DO :
Construct Hankel matrices U0,s,N , Y0,s,N (U,Y)

RQ factorization: r = triu(qr([U ; Y]));
Extract R22
Range (column space) calculation + order detection:
[uu,ss,vv]=svd(R22);
semilogy(diag(ss),xr);
Estimate AT , CT
4/33
subid_basic.m
5/33
Overview
Recap: Deterministic Subspace Identification

Results.
6/33
The Output-error identification problem

Additive Coloured Noise
v(k)
\
SGM
u(k)
v(k)
y(k)
[A, B, C, D]
+
(k)
B,
C,
D]T
[A,
y(k)
7/33

v(k)
\
SGM
u(k)
Problem:
v(k)
1
{u(k), y(k)}N
k=0
y(k)
[A, B, C, D]
+
(k)
B,
C,
D]T
[A,
y(k)
7/33

v(k)
\
SGM
u(k)
Problem:
v(k)
y(k)
[A, B, C, D]
+
(k)
B,
C,
D]T
[A,
1
=
{u(k), y(k)}N
k=0

[A, B, C, D] , x(0) consistently
T
y(k)
Assumptions about the additive disturbance v(k):

zero-mean
WSS stochastic process Rational Spectrum
uncorrelated with the input u(k)
7/33
tst_sub.m
8/33
Retrieving the subspace Os ?

Recall the Data Equation (with v(k)):
Y0,s,N = Os X0,N + Ts U0,s,N + V0,s,N
Then the Projected data equation (to remove effect of input) is:
Y0,s,N
U0,s,N = Os X0,N U0,s,N + V0,s,N U0,s,N
with
U0,s,N

T
T
= IN U0,s,N
(U0,s,N U0,s,N
)1 U0,s,N
To remove the effect of v(k) we have to interpret products like

V0,s,N
U0,s,N ?
9/33
Ergodicity: the link between statistics and algebra

T
1
T
(U
U
)
U0,s,N
V0,s,N
=
V
V
U
0,s,N 0,s,N
0,s,N
0,s,N 0,s,N
U0,s,N
{z
}
|
1
T
Then, N V0,s,N U0,s,N equals,
v(0)
v(1)
v(1)
v(2)
1
..
..
N
.
.
v(s 1)
v(N 1)
u(0)T
u(1)T
u(2)T
v(N )
u(1)T
..
..
.
.
u(N 1)
v(N + s 2)
u(s 1)T
..
.
..
.
10/33

T
1
T
(U
U
)
U0,s,N
V0,s,N
=
V
V
U
0,s,N 0,s,N
0,s,N
0,s,N 0,s,N
U0,s,N
{z
}
|
1
T
v(0)
v(1)
v(1)
v(2)
1
..
..
N
.
.
v(s 1)
v(N 1)
u(0)T
u(1)T
u(2)T
v(N )
u(1)T
..
..
.
.
u(N 1)
v(N + s 2)
This equals with probability 1 in the limit N to,
E[v(k)u(k)T ]
E[v(k)u(k + 1)T ]
.
.
T
.
E[v(k + 1)u(k) ]
..
.
u(s 1)T
..
.
..
.
10/33

T
1
T
(U
U
)
U0,s,N
V0,s,N
=
V
V
U
0,s,N 0,s,N
0,s,N
0,s,N 0,s,N
U0,s,N
{z
}
|
1
T
v(0)
v(1)
v(1)
v(2)
1
..
..
N
.
.
v(s 1)
v(N 1)
u(0)T
u(1)T
u(2)T
v(N )
u(1)T
..
..
.
.
u(N 1)
v(N + s 2)
This equals with probability 1 in the limit N to,
E[v(k)u(k)T ]
E[v(k)u(k + 1)T ]
.
.
T
.
E[v(k + 1)u(k) ]
=0
..
.
u(s 1)T
..
.
..
.
10/33
Consistent Estimation via Instrumental Variables

Recall the
Projected data eq.
Y0,s,N
O
X
=
+
s
0,N
0,s,N
U0,s,N
U0,s,N
U0,s,N
Problem: How to remove V0,s,N from the Projected data

equation?
11/33

Recall the
Projected data eq.
Y0,s,N
O
X
=
+
s
0,N
0,s,N
U0,s,N
U0,s,N
U0,s,N

equation?
Instrumental Variables:
T
T =O X
ZN
s 0,N U0,s,N ZN + V0,s,N U0,s,N ZN
0,s,N
|
{z
} |
{z
}
Y0,s,N
U
Two requirements on the instrumental variable matrix ZN !
11/33

Recall the
Projected data eq.
Y0,s,N
O
X
=
+
s
0,N
0,s,N
U0,s,N
U0,s,N
U0,s,N

equation?
T
T =O X
ZN
0,s,N
|
{z
} |
{z
}
Y0,s,N
U
11/33

Recall the
Projected data eq.
Y0,s,N
O
X
=
+
s
0,N
0,s,N
U0,s,N
U0,s,N
U0,s,N

equation?
T
T =O X
ZN
0,s,N
|
{z
} |
{z
}
Y0,s,N
U

1
rank
1
limN N
T
X0,N
U0,s,N ZN
=n
limN
1
N
V0,s,N
U
0,s,N
T =0
ZN
11/33
A first choice for ZN ?

1
rank
1
limN N
X0,N
U
0,s,N
T
ZN
=n
limN
1
N
V0,s,N
U
0,s,N
T =0
ZN
12/33

1
rank
1
limN N
X0,N
U
0,s,N
T
ZN
=n
limN
1
N
V0,s,N
U
0,s,N
T =0
ZN
Since u(k) and v(k) are independent, a possible choice for ZN

equals:
ZN = U0,s,N
12/33

1
rank
1
limN N
X0,N
U
0,s,N
T
ZN
=n
limN
1
N
V0,s,N
U
0,s,N
T =0
ZN

equals:
ZN = U0,s,N
2
limN
T
V
Z
0,s,N
U
N
N
0,s,N
=0
12/33

1
rank
1
limN N
X0,N
U
0,s,N
T
ZN
=n
limN
1
N
V0,s,N
U
0,s,N
T =0
ZN

equals:
ZN = U0,s,N
T
limN N1 V0,s,N
U0,s,N ZN = 0

T
1 rank limN 1 X0,N
Z
=0
N
U
N
0,s,N
12/33
Splitting up the data
N +2s2
For the output sequence {y(k)}k=0
we can define the Hankel
matrices (past and future):
y(N 1)
y( 0 ) y(1)
y(2)
y(N )
y(1)
past
=
Y
..
..
0 ,s,N
.
.
y(s 1) y(s) y(N + s 2)

.
13/33
Splitting up the data
N +2s2
For the output sequence {y(k)}k=0
we can define the Hankel
matrices (past and future):
y(N 1)
y( 0 ) y(1)
y(2)
y(N )
y(1)
past
=
Y
..
..
0 ,s,N
.
.
y(s 1) y(s) y(N + s 2)
.
y(s + 1) y(N + s 1)
y( s )
y(N + s)
y(s + 1) y(s + 2)
future
=
Y
.
..
s ,s,N
..
y(2s 1)
y(s)
y(N + 2s 2)
idem for the input u(k), etc
13/33
Instrumental variables for Output-Error Problem

Consider the Projected data eq for the future matrices.
=
+
Ys,s,N
O
X
V
s s,N Us,s,N
s,s,N Us,s,N
Us,s,N
and take ZN equal to the past U0,s,N , then we have:

1
T
Vs,s,N
U
Us,s,N 0,s,N
N N
lim
= 0
and we hope that the following condition is satisfied:
14/33

Consider the Projected data eq for the future matrices.
=
+
Ys,s,N
O
X
V
s s,N Us,s,N
s,s,N Us,s,N
Us,s,N
and take ZN equal to the past U0,s,N , then we have:

1
T
Vs,s,N
U
Us,s,N 0,s,N
N N
lim
= 0

1
T
rank lim
Xs,N
=n
U
Us,s,N 0,s,N
N N
PI-MOESP method
14/33
RQ for efficient implementation

Let the following RQ data compression be given:
U s ,s,N
U
0 ,s,N
Y s ,s,N
0
0
R11

= R
0
21 R22
R31 R32 R33
Q
1
Q2
Q3
Lemma: Given the RQ factorization, we have:

!
1.
Ys
,s,N U
,s,N
,s,N
T
= R32 R22
.
2. As a result:

1
T
range lim
R32 R22
N N
range(Os )
15/33
tst_sub_01.m
16/33
Can we do better?
17/33
Can we do better?
Yes, we can
17/33
Can we do better?
Yes, we can
When more information is available about the noise!
17/33
Overview

Results.
18/33
The Innovation Model identification problem

The Innovation Model
e(k)
y(k)
u(k)
[A, B, C, D, K]
x(k + 1) = Ax(k) + Bu(k) + Ke(k)

y(k)
= Cx(k) + Du(k) + e(k)
Assumptions about the innovation e(k):

zero-mean
white-noise stochastic process
uncorrelated with the input u(k)
Be-aware that the innovation model often is an augmented model

19/33
The Data Equation for the Innovation Model
With the innovation model given as:

(
x(k + 1) = Ax(k) + Bu(k) + Ke(k)
y(k)
= Cx(k) + Du(k) + e(k)
then the data equations reads:
Yi,s,N = Os Xi,N + Tu,s Ui,s,N + Te,s Ei,s,N
20/33
Condition 4: x(k) and e(k + ) are uncorrelated for > 0

Statistically: Lemma: Let the innovation model be given:
x(k + 1)
y(k)
Ax(k) + Bu(k) + Ke(k)
Cx(k) + Du(k) + e(k)
with e(k + ) a zero-mean white noise sequence, indepedent of u(k), x(0) k, , then,
E[x(k)eT (k + )]
E[e(k + )xT (k)] = 0
E[y(k)eT (k + )]
E[e(k + )y T (k)] = 0
>0
21/33
Condition 4: x(k) and e(k + ) are uncorrelated for > 0

Statistically: Lemma: Let the innovation model be given:
x(k + 1)
y(k)
Ax(k) + Bu(k) + Ke(k)
Cx(k) + Du(k) + e(k)
with e(k + ) a zero-mean white noise sequence, indepedent of u(k), x(0) k, , then,
Proof:
x(k) =
E[x(k)eT (k + )]
E[e(k + )xT (k)] = 0
E[y(k)eT (k + )]
E[e(k + )y T (k)] = 0
>0
Ak x(0)
E[x(k)e (k + )]
Pk1
j=0
Aj Bu(k
j 1) +
A E[x(0)e (k + )] +
Pk1
k1
X
j=0
j=0

A BE[u(k j 1)eT (k + )] +
j
KE[e(k j 1)e (k + )]
=
Aj Ke(k j 1). Therefor,
0
21/33
Condition 4: x(k) and e(k + ) are uncorrelated for > 0 (Ctd)
Algebraically (by ergodicity): Consider the data

equations for i = s:
Ys,s,N = Os Xs,N + Tu,s Us,s,N + Te,s E,ss,N
then,
e(s)
e(s + 1)
e(s + 1)
1
lim
N N
e(2s 1)
..
e(s + N 1)
.
.
.
lim
y T (0)
y T (1)
..
.
y T (1)
..
.
y T (s
1)
=0
y T (N 1)
1
Es,s,N Y0,s,N = 0
N
22/33

Consider the Projected data eq.
Ys,s,N
Us,s,N = Os Xs,N Us,s,N + Es,s,N Us,s,N
and take ZN
U0,s,N
, then we have the PO consistency condition:
equal to
Y0,s,N
T
U0,s,N
1
lim
Es,s,N
Us,s,N
N N
Y0,s,N
T
U0,s,N
1

Xs,N
rank lim
=n
Us,s,N
N N
Y0,s,N
PO-MOESP method
23/33
RQ for efficient implementation:
,s,N
R11
U
0 ,s,N

=
R

21
Y
0 ,s,N
R31
Y
s ,s,N
R22
R32
R33
Q1
Q2
Q3
Lemma: Given the RQ factorization, we have:

1.
Y
s
,s,N U
,s,N
U
Y
,s,N
,s,N
= R32 RT .
22

2. As a result:
range
1
T
R32 R22
N N
lim
range(Os )
24/33
tst_sub_02.m
Consider the innovation model:
"
#
" #
" #
1.5 0.7
1
0.5
x(k + 1) =
x(k) +
u(k) +
e(k)
1
0
0
0
h
i
y(k) = 1 1 x(k) + e(k)
In the experiment we can vary the number of data
samples N , the number of block rows s of the
Hankel matrices. The total number of trials is 100.
25/33
A happy mariage
Distribution of the VAF values
for 100 identification experiments
on the acoustical duct
100
100
90
53.1 %
90
100
89.5 %
90
80
80
80
70
70
70
60
60
60
50
50
50
40
40
40
30
30
30
20
20
20
10
10
10
0
0
20
40
60
PEM
80
100
0
0
20
40
SI
60
80
100
0
0
96.9 %
20
40
60
80
100
SI and PEM
26/33
Overview

Results.
27/33
Estimating the Kalman Gain from i-o data

Given the innovation model:
x(k + 1) = Ax(k) + Bu(k) + Ke(k)
y(k) = Cx(k) + e(k)
with
K Kalman gain
(k) + Bu(k) + Ky(k)

x
(k + 1) = (A KC) x
| {z }
From this it follows that,

h
x
(j+s) = s x
(j+0)+ s1 B
|
for s = 1, 2, and j = k, .
B | s1 K
{z
Ls
u(j + 0)
..
.
u(j + s 1)
y(j + 0)
..
How to get info on Ls and therefore on the Kalman gain K?
y(j + s 1)
28/33
u(0 + j)
.
.
.
u(0)
.
.
.
u(1)
u(s 1 + j)
u(s 1)
s
s
x
(s + j)L
x(s) x
(s + 1) ] L
Xs,N =[
y(0 + j)
y(0)
.
.
.
.
.
.
y(s 1 + j)
y(s 1)
u(s)
y(1)
y(s)
s U0,s,N
=L
Y0,s,N
Consider the data equation:

Ys,s,N
U
s 0,s,N
= Os Xs,N +Ts Us,s,N +Vs,s,N Os L

+ Ts Us,s,N +Vs,s,N
| {z } Y
|{z}
Lz
0,s,N
Lu
29/33

Consider the following linear least squares problem:

Us,s,N

h
i
i
h

u
z
z
u
b
b
Y
=
arg
min
u
z
L L U0,s,N
LN LN
L ,L s,s,N

Y0,s,N
then,
b zN = Os Ls + Os ((A KC))s
lim L
| {z }
N
with
h
Ls = s1 B s2 B
B | s1 K s2 K
i
30/33
Estimating all system matrices

b z = Un n V T + bias, we have an estimate of Lbs = V T
Knowing L
n
n
N
and hence of the Kalman filter state sequence:
U
T 0,s,N
Xs,N =[
x(s) x
(s + 1) x
(s + N 1)] Vn
Y0,s,N
Therefore, we can define the linear least squares problem:
x
(s) x
(s + 1)
h
i h
i
min k x
T BT KT u(s) u(s + 1) k2
(s + 1) x
(s + 2)
T ,BT ,KT
y(s) y(s + 1)
Estimating Kalman from i/o data solving 2 LSQ problems + 1 SVD

31/33
Next: Probing some future

developments
32/33
Approximate H2 optimal AO control
33/33

Lecture7 2012

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Lecture7 2012

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Filtering and Identification

Michel Verhaegen and Jan-Willem van Wingerden

Delft Center for Systems and Control

Recap: Deterministic Subspace

Identification of Output Error Models

Identification of Innovation Models

Estimating the Kalman Gain

Identification and Control: Experimental

Delft Center for Systems and Control

x(k + 1) = Ax(k) + Bu(k)

y(k) = Cx(k) + Du(k)

The RQ factorization provides an efficient solution :

Delft Center for Systems and Control

The 5-line matlab solution:Basic MOESP

Construct Hankel matrices U0,s,N , Y0,s,N (U,Y)

Delft Center for Systems and Control

Delft Center for Systems and Control

Recap: Deterministic Subspace Identification

Identification of Output Error Models

Identification of Innovation Models

Estimating the Kalman Gain

Identification and Control: Experimental

Delft Center for Systems and Control

The Output-error identification problem

Delft Center for Systems and Control

The Output-error identification problem

Delft Center for Systems and Control

The Output-error identification problem

Assumptions about the additive disturbance v(k):

Delft Center for Systems and Control

Delft Center for Systems and Control

Retrieving the subspace Os ?

To remove the effect of v(k) we have to interpret products like

Delft Center for Systems and Control

Ergodicity: the link between statistics and algebra

Delft Center for Systems and Control

Ergodicity: the link between statistics and algebra

This equals with probability 1 in the limit N to,

Ergodicity: the link between statistics and algebra

This equals with probability 1 in the limit N to,

Consistent Estimation via Instrumental Variables

Problem: How to remove V0,s,N from the Projected data

Delft Center for Systems and Control

Consistent Estimation via Instrumental Variables

Problem: How to remove V0,s,N from the Projected data

Two requirements on the instrumental variable matrix ZN !

Delft Center for Systems and Control

Consistent Estimation via Instrumental Variables

Problem: How to remove V0,s,N from the Projected data

Two requirements on the instrumental variable matrix ZN !

Delft Center for Systems and Control

Consistent Estimation via Instrumental Variables

Problem: How to remove V0,s,N from the Projected data

Two requirements on the instrumental variable matrix ZN !

Delft Center for Systems and Control

A first choice for ZN ?

Delft Center for Systems and Control

A first choice for ZN ?

Since u(k) and v(k) are independent, a possible choice for ZN

Delft Center for Systems and Control

A first choice for ZN ?

Since u(k) and v(k) are independent, a possible choice for ZN

Delft Center for Systems and Control