Lecture6 PDF

Filtering and Identification
Lecture 6:
Subspace Identification
Step Inputs and Ambient Excitation
Michel Verhaegen and Jan-Willem van Wingerden

1/24
Delft Center for Systems and Control

Delft University of Technology
Overview
• Recap Deterministic Subspace Ide
• The case when the input is a step input
• The case when the input is an unknown white
noise input
2/24

The Deterministic-Autonomous

Case
 x(k + 1) = Ax(k)+Bu(k) x(k) ∈ Rn
LTI System:
 y(k) = Cx(k)+Du(k)
Data equation Yi,s,N = Os Xi,N +Ts Ui,s,N
Recovery column space of extended observability matrix Os :
−1
Let, Π⊥ = I − U T U U T Ui,s,N , then:
Ui,s,N i,s,N i,s,N i,s,N
?
Yi,s,N Π⊥
Ui,s,N = Os X i,N Π⊥
Ui,s,N ⇒ range(Y i,s,N Π⊥
Ui,s,N ) = range(Os )
The RQ factorization provides an efficient solution ⇒:

    
U R 0 Q
 i,s,N  =  11   1  QQT = I ⇒ Yi,s,N Π⊥
Ui,s,N = R22 Q2
Yi,s,N R21 R22 Q2
| {z }
Q
3/24

SubidPlot.m
4/24

The Deterministic

Case
 x(k + 1) = Ax(k) + Bu(k) x(k) ∈ Rn
LTI System:
 y(k) = Cx(k) + Du(k)
Data equation Yi,s,N = Os Xi,N + Ts Ui,s,N
5/24

The Deterministic

Case
 x(k + 1) = Ax(k) + Bu(k) x(k) ∈ Rn
LTI System:
 y(k) = Cx(k) + Du(k)
−1
?
Yi,s,N Π⊥
5/24

The Deterministic

Case
 x(k + 1) = Ax(k) + Bu(k) x(k) ∈ Rn
LTI System:
 y(k) = Cx(k) + Du(k)
−1
?
Yi,s,N Π⊥
The RQ factorization provides an efficient solution ⇒:

    
U R 0 Q
 i,s,N  =  11   1  QQT = I ⇒ Yi,s,N Π⊥
Ui,s,N = R22 Q2
Yi,s,N R21 R22 Q2
| {z }
Q
5/24

The 5-line matlab solution:Basic MOESP
G IVEN : The i/o data sequences {u(k), y(k)}N
k=1 and the integer s
to specify the number of block rows of the Hankel matrices
Ui,s,N , Yi,s,N (s > n?).
T HEN DO :
• Construct Hankel matrices Ui,s,N , Yi,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
6/24

subid_basic.m
7/24

Overview
• The case when the input is an unknown white
noise input
8/24

Step input: Problem
Problem: Given the output data
1.0
{y(k)}Nk=1 , assume that Σ is
k=0 modelled by a stable state space
u(k) y(k) model, then determine the triplet
Σ? (AT , BT , CT ) from the data Han-
kel matrix Y1,s,N −s+1 :
Consider the scalar input case  
when u(k) is given by: y(1) y(2) · · · y(N − s + 1)
 
 
 y(2) y(3) y(N − s + 2)
 u(k) = 1 k ≥ 0  
 .. .. 
 . . 
 u(k) = 0 otherwise  
y(s) y(s + 1) · · · y(N )
for x(0) = 0.
9/24

Step 1: The data equation and removing the input part
   
C 1 1 ··· 1
   
   
 CA  h i 1 1 1
Y1,s,Ns =
 ..  x(1) x(2) · · ·
 x(Ns ) +Ts 
 .. ..


 .  . . 
   
CAs−1 1 1 ··· 1
| {z }
U1,s,Ns
for Ns = N − s + 1. What special structure does U1,s,Ns have?
10/24

   
C 1 1 ··· 1
   
   
 CA  h i 1 1 1
Y1,s,Ns =
 ..  x(1) x(2) · · ·
 x(Ns ) +Ts 
 .. ..


 .  . . 
   
CAs−1 1 1 ··· 1
| {z }
U1,s,Ns

 
1
 
 h
 1 i
U1,s,Ns =   1 1 · · · 1 ⇒ Π⊥U1,s,Ns ?
 .. 
. | {z }
  ENs
1 10/24

   
C 1 1 ··· 1
   
   
 CA  h i 1 1 1
Y1,s,Ns =
 ..  x(1) x(2) · · ·
 x(Ns ) +Ts 
 .. ..


 .  . . 
   
CAs−1 1 1 ··· 1
| {z }
U1,s,Ns

 
1
 
 h T
 1 i E Ns E N

U1,s,Ns =   1 1 · · · 1 ⇒ Π⊥ ? = Π⊥
= I − s
 ..  U1,s,Ns ENs N s
Ns
. | {z }
  ENs
1 10/24

T
EN E Ns
Step 2: What is Yh1,s,Ns Π⊥
ENs ? Π⊥
ENsi = IhNs −
s
Ns i
1 T
Y1,s,Ns Π⊥
EN s = Os x(1) x(2) ··· x(Ns ) − x(1) x(2) · · · x(Ns ) ENs EN
Ns
h i Ns
1 X
= Os x(1) x(2) ··· x(Ns ) − x(k)ENs
Ns k=1
1 PNs
What is Ns k=1 x(k)?
11/24

T
EN E Ns
ENs ? Π⊥
ENsi = IhNs −
s
Ns i
1 T
Y1,s,Ns Π⊥
Ns
h i Ns
1 X
= Os x(1) x(2) ··· x(Ns ) − x(k)ENs
Ns k=1
1 PNs 1 PNs
What is Ns k=1 x(k)? limNs →∞ Ns k=1 x(k) = x ⇒
11/24

T
EN E Ns
ENs ? Π⊥
ENsi = IhNs −
s
Ns i
1 T
Y1,s,Ns Π⊥
Ns
h i Ns
1 X
= Os x(1) x(2) ··· x(Ns ) − x(k)ENs
Ns k=1
1 PNs 1 PNs
x = Ax + B ⇒ x = (I − A)−1 B
What is x(k) − x. What is x(k)?
11/24

T
EN E Ns
ENs ? Π⊥
ENsi = IhNs −
s
Ns i
1 T
Y1,s,Ns Π⊥
Ns
h i Ns
1 X
= Os x(1) x(2) ··· x(Ns ) − x(k)ENs
Ns k=1
1 PNs 1 PNs
x = Ax + B ⇒ x = (I − A)−1 B
k−1
X
x(k) = Aj B = (I − Ak )(I − A)−1 B
j=0
Therefore x(k) − x equals
11/24

T
EN E Ns
ENs ? Π⊥
ENsi = IhNs −
s
Ns i
1 T
Y1,s,Ns Π⊥
Ns
h i Ns
1 X
= Os x(1) x(2) ··· x(Ns ) − x(k)ENs
Ns k=1
1 PNs 1 PNs
x = Ax + B ⇒ x = (I − A)−1 B
k−1
X
x(k) = Aj B = (I − Ak )(I − A)−1 B
j=0

x(k) − x = (I − A ) − I (I − A)−1 B = −Ak (I − A)−1 B = −(I − A)−1 Ak B
k
And we conclude that, (in the limit limNs →∞ )
11/24

T
EN E Ns
ENs ? Π⊥
ENsi = IhNs − Ns
s
i
1 T
Y1,s,Ns Π⊥
Ns
h i Ns
1 X
= Os x(1) x(2) ··· x(Ns ) − x(k)ENs
Ns k=1
1 PNs 1 PNs
x = Ax + B ⇒ x = (I − A)−1 B
k−1
X
x(k) = Aj B = (I − Ak )(I − A)−1 B
j=0

x(k) − x = (I − A ) − I (I − A)−1 B = −Ak (I − A)−1 B = −(I − A)−1 Ak B
k
And we conclude that, (in the limit limNs →∞ ) h i

Y1,s,Ns Π⊥
EN s = −O s (I − A) −1
A B AB A2 B ···
11/24

StepTst.m, subid_basic.m and
StepTst2.m
12/24

Overview
• The case when the input is an unknown
white noise input
13/24

Laboratory Demo 2: Adaptive Optics
14/24

Structural Dynamics Examples
Three types of acceleration signals on a seat/bridges
Measured time records on different testtracks
10
highway
5
-5
-10
0 200 400 600 800 1000 1200 1400 1600 1800 2000
10
Pothole
5
-5
-10
0 200 400 600 800 1000 1200 1400 1600 1800 2000
10
cobblestone
5
-5
-10
0 200 400 600 800 1000 1200 1400 1600 1800 2000
15/24

The Stochastic Realization Problem
A zero-mean WSS stochastic process y(k) has a
D EFINITION :
rational spectral density if it can be represented by filtering white
noise as,
x(k + 1) = Ax(k) + Bw(k) w(k) ∼ (0, I)
y(k) = Cx(k) + Dw(k)
Let S(z) denote C(zI − A)−1 B + D, then the spectrum is given as, Φ(z) = S(z)S T (z −1 )
16/24

The Stochastic Realization Problem
A zero-mean WSS stochastic process y(k) has a
D EFINITION :
rational spectral density if it can be represented by filtering white
noise as,
x(k + 1) = Ax(k) + Bw(k) w(k) ∼ (0, I)
y(k) = Cx(k) + Dw(k)
Let S(z) denote C(zI − A)−1 B + D, then the spectrum is given as, Φ(z) = S(z)S T (z −1 )
S TOCHASTIC R EALIZATION 
P ROBLEM
: Given, 
{y(k)}N  ÂT , ĈT , BT D−1
k=1 ′ ′ =⇒  | {z } | {z } 
{Φ ej(2πk/2N ) }N
k=0

structural vibration analysis
Kalman f iltering
Quantities of Interest are

S TRUCTURAL V IBRATION A NALYSIS :
eigenfrequencies (λ(A), Cφ(A)) with Aφ = λφ.
K ALMAN FILTERING : Prediction of the output.
16/24

The Data Equation
Like in the deterministic input case (see Lecture 5), the data
equation reads:
Yj,s,N = Os Xj,N + Ts Wj,s,N
with Wj,s,N containing samples of the ZMWN w(k).

How to remove the influence of Wj,s,N ?
17/24

The Data Equation
Like in the deterministic input case (see Lecture 5), the data
equation reads:
Yj,s,N = Os Xj,N + Ts Wj,s,N
with Wj,s,N containing samples of the ZMWN w(k).

How to remove the influence of Wj,s,N ? Use the principle of
Instrumental Variables (ZN ).
Properties:
1 T
1 lim Wj,s,N ZN =0
N →∞ N
1
T
2 rank lim Xj,N ZN =n
N →∞ N
17/24

Selecting Instrumental Variables
E XERCISE 1: Consider the signal generation model (SGM),
x(k + 1) = Ax(k) + Bw(k) k ≥ 0, w(k) ∼ (0, I)

y(k) = Cx(k) + Dw(k) E[x(0)w(ℓ)T ] = 0 ∀ℓ
then show that, E[x(k)w(ℓ)T ] = 0 ℓ ≥ k

E XERCISE 2: Consider the SGM of Exercise 1, then show that,

 CP C T + DDT ℓ = 0
E[y(k + ℓ)y(k)T ] =
 CAℓ−1 G ℓ≥1
with G = AP C T + BDT and P = E[x(k)x(k)T ] satisfying P =

AP AT + BB T .
18/24

1. Removal Wj,s,N in the data equation
Let us consider the data equation for j = s,
   
y(s) w(s)
   
   
 y(s + 1)   w(s + 1) 
Ys,s,N = Os Xs,N +Ts Ws,s,N ⇔ 

..  = Os x(s)+Ts 
 
..


 .   . 
   
y(2s − 1) w(2s − 1)
and for j = 0,    
y(0) w(0)
   
   
 y(1)   w(1) 
Y0,s,N = Os X0,N +Ts W0,s,N ⇔
 ..
 = Os x(0)+Ts 
  ..


 .   . 
   
y(s − 1) w(s − 1)
19/24

Then using the solution of E XERCISE 1 shows that,
   T
w(s) w(0)
   
 w(s + 1) 
h    w(1)  i
1 T T T
  T
lim Ys,s,N Y0,s,N = E Os x(s) + Ts 
..  x(0) Os + 
 
..  Ts

N →∞ N | {z } 
 . 


 . 

T
ZN
w(2s − 1) w(s − 1)
 T
w(0)
 
h  w(1)  i
T T
  T
= E Os x(s) x(0) Os +  
..  Ts


 . 

w(s − 1)
1 T
= lim Os Xs,N Y0,S,N
N →∞ N
1 T
⇒ range(limN →∞ N Y s,s,N Y 0,s,N ) ⊆ range(Os )
20/24

   T
w(s) w(0)
   
 w(s + 1) 
h    w(1)  i
1 T T T
  T
lim Ys,s,N Y0,s,N = E Os x(s) + Ts 
..  x(0) Os + 
 
..  Ts

N →∞ N | {z } 
 . 


 . 

T
ZN
w(2s − 1) w(s − 1)
 T
w(0)
 
h  w(1)  i
T T
  T
= E Os x(s) x(0) Os +  
..  Ts


 . 

w(s − 1)
1 T
= lim Os Xs,N Y0,S,N
N →∞ N
1 T
⇒ range(limN →∞ N Y s,s,N Y 0,s,N ) ⊆ range(Os )
21/24

1 T
2. rank limN →∞ N
X j,N Z N = n
  T
y(s) y(0)
  
1 h  y(s + 1)   y(1) 
  
 i
T
lim Ys,s,N Y0,s,N = E 
..



..


N →∞ N | {z } 
 . 
  . 

ZNT
y(2s − 1) y(s − 1)
   
CAs−1 G CAs−2 G ··· CG C
   

 CAs G CAs−1 G   CA  h
   i
= =  As−1 G As−2 G ··· G
 .. ..   .. 

 . .  
  . 

CA2(s−1) G CAs−1 G CAs−1

Provided (A, C) is observable and (A, G) (A, B) controllable (S(z) is a
minimum-phase spectral factor) and s ≥ n,

1 T
⇒ range(limN →∞ N Y s,s,N Y 0,s,N ) = range(Os )
22/24

StochReal.m
23/24

Preparation and next lecture
Preparation:
Study Chapter 9 (Exercise 9.3 plus section 9.3)
Download Matlab Session 2
Next lectures and Exercise/Matlab Classes:

Lecture 7: Stochastic Subspace and Instrumental Variables
Keep your eyes focussed on “Guide-
lines/Rules/Schedule sc4040: 2016-2017” for the
correct deadlines!
24/24

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Filtering and Identification

Michel Verhaegen and Jan-Willem van Wingerden

Delft Center for Systems and Control

Delft Center for Systems and Control

The RQ factorization provides an efficient solution ⇒:

Delft Center for Systems and Control

Delft Center for Systems and Control

Delft Center for Systems and Control

Delft Center for Systems and Control

The RQ factorization provides an efficient solution ⇒:

Delft Center for Systems and Control

• Construct Hankel matrices Ui,s,N , Yi,s,N (U,Y)

• RQ factorization: r = triu(qr([U ; Y]’))’;

• Range (column space) calculation + order detection:

Delft Center for Systems and Control

Delft Center for Systems and Control

Delft Center for Systems and Control

Delft Center for Systems and Control

for Ns = N − s + 1. What special structure does U1,s,Ns have?

Delft Center for Systems and Control

for Ns = N − s + 1. What special structure does U1,s,Ns have?

Delft Center for Systems and Control

for Ns = N − s + 1. What special structure does U1,s,Ns have?

Delft Center for Systems and Control

Delft Center for Systems and Control

Delft Center for Systems and Control

Delft Center for Systems and Control

Therefore x(k) − x equals

Delft Center for Systems and Control

Therefore x(k) − x equals

And we conclude that, (in the limit limNs →∞ )

Delft Center for Systems and Control

Therefore x(k) − x equals

And we conclude that, (in the limit limNs →∞ ) h i

Delft Center for Systems and Control

Delft Center for Systems and Control

Delft Center for Systems and Control

Delft Center for Systems and Control

Delft Center for Systems and Control

Delft Center for Systems and Control

Quantities of Interest are

Delft Center for Systems and Control

Yj,s,N = Os Xj,N + Ts Wj,s,N

with Wj,s,N containing samples of the ZMWN w(k).

Delft Center for Systems and Control

Yj,s,N = Os Xj,N + Ts Wj,s,N

with Wj,s,N containing samples of the ZMWN w(k).

Delft Center for Systems and Control

x(k + 1) = Ax(k) + Bw(k) k ≥ 0, w(k) ∼ (0, I)

then show that, E[x(k)w(ℓ)T ] = 0 ℓ ≥ k

with G = AP C T + BDT and P = E[x(k)x(k)T ] satisfying P =

Delft Center for Systems and Control

Delft Center for Systems and Control

Delft Center for Systems and Control

Delft Center for Systems and Control

minimum-phase spectral factor) and s ≥ n,

Delft Center for Systems and Control

Delft Center for Systems and Control

Next lectures and Exercise/Matlab Classes:

Delft Center for Systems and Control

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