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Properties of ARMAX model

The model can always be scaled such that the coefficient of

Minimum variance control the highest power term in polynomial A is one (A is then
called monic).
Consider now the C-polynomial, which multiplies the noise
e. This noise is white and does not correlate with any other
term in any time instant (except with itself when  =0). The
absolute time instant thus loses its importance.

Properties of ARMAX model Properties of ARMAX model

• C-polynomial can be shifted in time arbitrarily forward or C-polynomial can always be normed to be monic monic by
backward (multiply with q or q-1) using scaling in the noise term (i.e. scaling the variance):
• C-polynomial can be normed to be monic
• C-polynomial, with roots outside the unit circle (unstable
inverse) can always be replaced by another polynomial, the
roots of which are inside the unit circle (stable inverse). This
is essential in optimal prediction theory that follows.

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Properties of ARMAX model

The original disturbance model can be replaced by
C-polynomial having roots outside the unit circle (unstable
inverse) can by spectral analysis be replaced by another
polynomial with roots inside the unit circle (stable inverse).
Consider an example of two disturbances and the spectral
density of the output:
Properties of ARMAX model
The spectral densities are identical so that the processes
can be replaced by each other, when needed (assuming that
the input is white noise). Consider the roots of the two
processes

The root of the first process is inside the unit disc

(-0.5), but for the other process outside the disc ( -2).
because

Properties of ARMAX model Properties of ARMAX model

Only those roots, which are outside the disc, must be Example: Transform the process model into ARMAX-form.
shifted. Factorize C as follows:

in which C- contains factors outside the unit disc. When C-

is mapped inside the disc, the reciprocal polynomial C-* is
obtained; replace C with C+ C-*.
Summary: ARMAX-model is changed into a form where A One of the roots of C is outside the unit disc.
and C are monic, and the roots of C are inside the unit disc.
If needed the C-polynomial can always be multiplied or
divided by q so that it has the same degree as A.

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Properties of ARMAX model Properties of ARMAX model

We get the model Simplify by using
which leads to the general ARMAX-model:

Normalize C to be monic

Optimization criteria for I/O-models Example of minimum variance controller

For the regulator problem: minimize the output variance. Develop a minimum variance controller for the system

Usually y has been scaled such that the desired value of y is Determine the value of e(k) based on u and y.
zero, the mean value becomes unimportant and the criterion
becomes:

Minimum variance control minimizes this criterion. If the

excessive use of control signal is avoided, a linear quadratic
criterion can be used.
Estimate y(k+1) which takes e(k) into account

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Example of minimum variance controller

Example of minimum variance controller

e is white noise so that nothing can be said about e(k+1),

Find control u(k), which drives the estimated y(k+1) as close
which is left out of the estimator formula. The value of e(k)
to zero as possible.
can be computed based on old values of u and y , so it can
be included in the estimator.

This controller gives the minimum possible variance to the

output. Consider the behaviour of the output signal, when
minimum variance control is used.

Optimal prediction
Example of minimum variance controller Assume that the output is generated by the stochastic
process

Then y(k + m | k) can be estimated at the time k by the

model.

y(k) is then white noise. Now it can be seen that if the roots
of C are outside the unit disc, the output has a
uncontrollable and unobservable mode. These are obtained from the series expansion. e(k), e(k-1),
… can always be determined by y and u

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Optimal prediction Optimal prediction

Derive for y
e is white noise, the values of which are unknown and
cannot be predicted. The optimal predictor can only contain
terms which are known or can be calculated based on old
data.

Estimator error is

If the roots of C are inside the unit disc, then e can be The division of C* by A* has the result F* and remaining
computed by using the inverse model value G*.

Optimal prediction
Optimal prediction, example
Determine a 3-step predictor for the process
Summarizing:
The Diophantine equation

Estimator:

Estimator error:
Variance of the estimator error:

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Optimal prediction, example Optimal prediction, example

The coefficients of F are values of the process pulse
response or coefficients of the weighting function h. They
can also be found by simulating the process pulse response
y=
1.0000
We obtain the 3-step predictor
1.3000
1.7500
1.7150
Estimator variance becomes 1.3475
0.8208
0.2879
-0.1427

Optimal prediction, example Minimum variance control

Consider the special case when the roots of B are inside
The ”goodness” of the estimator can be evaluated by the unit disc (stable inverse, minimum phase system)
different estimation horizons m.
14

The estimator error 12

variance approaches 10

the variance of y Estimator error variance in which d = degA - degB > 0 is the pole excess of the
8
(var{y} = 12.26 ), when system
6
m is large. The
estimator is good for 4

small values of m. 2

m
0
0 2 4 6 8 10 12 14 16 18 20

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Minimum variance control Minimum variance control

Determine e from the original model Because C* = A*F* + q-d G*, then C* - q-d G* = A*F*, and

Substitute into y(k + d)

Calculate the variance of y(k + d)

The minimum is obtained when the last term is zero

Minimum variance control Minimum variance control, example

Design a minimum variance controller for the process

Earlier F and G were determined from the identity

With this controller y(k) becomes Let us now try a direct polynimial division. Divide qd-1C(q) by
A(q), the result is F(q) and the remainder G(q),

and variance

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Minimum variance control, example Minimum variance control, example

The minimum variance controller is

and the output variance

Check by simulation

We obtain F and G:

Minimum variance control, example General minimum variance control

The control law is valid only if the roots of B are inside the
Variance of y unit disc (stable inverse)
cov(y) = 1.6384

y is white noise;
everything that can be Develop minimum variance control so that it can be used
done has been done, also in this latter case. Factorize B
and there is nothing
more to explain in the
data. All the roots of B+ are inside the unit disc and all roots of B-
are outside it. Additionally, B-*(z) is monic and A and B- do
not have common factors.

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General minimum variance control General minimum variance control, example

Minimum variance control and the output are Develop a minimum variance control without and with
cancellation of the zero. Compare the results

in which F and G are polynomials that satisfy the First: Compensate the zero outside the unit disc
Diophantine equation

If B has an unstable inverse, there might exist many local

minima . The given control law gives the smallest minimum
so that all signals are finite.

General minimum variance control, example General minimum variance control, example
Now without cancellation

The output by using this controller is

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General minimum variance control, example General minimum variance control, example
Calculate the output variance (see the chapter on For a small time
Disturbance models ). For a first order system it has been period both
derived: controllers perform
well and almost
identically.

The variance is about 5% bigger than with the controller, for

which compensation was used. Check by simulation

General minimum variance control, example

An incorrect design leads eventually to instability.

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