1. Lectures 12&13: Persistent Excitation for Off-line and On-line Parameter Estimation
Dr Martin Brown
Room: E1k
Telephone:
EE-M /7: EF L12&13

2. Outline 13&14 Persistent excitation and identifiability
Structure of XTX
Role of signal magnitude
Role of signal correlation
Types of system identification signals for experimental design)
On-line estimation and persistent excitation
On-line persistent excitation
Time-varying parameters
Exponential Recursive Least Squares (RLS)
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3. Resources 13&14 Core reading Ljung chapter 13 On-line notes, chapter 5
Norton, Chapter 8
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4. Central Question: Experimental Design
An important part of system identification is experimental design
Experimental design is involved with answering the question of how experiments should be constructed to to maximise the information collected with the minimum amount of effort/cost
For system identification, this corresponds to how the input/control signal injected into the plant should be chosen to best identify the parameters
N.B. This is relative to the model structure (i.e. different model structures will have different optimal model designs).
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5. What is Persistent Excitation
Persistent excitation refers to the design of a signal, u(t), that produces estimation data D={X,y} which is rich enough to satisfactorily identify the parameters
The parameter accuracy/covariance is determined by:
Ideally, and E(xi2)>>sy2
The variance/covariance can be made smaller (better) by:
Reducing the measurement error variance (hard)
Collecting more data (but this often costs money)
Make the signals larger (but there are physical limits)
Make the signals independent (difficult for dynamics)
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6. Review: XTX Matrix
The variance/covariance matrix, XTX, (and its inverse) is central in many system identification/parameter estimation tasks
Consider a model
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7. Identifying Parameters
For a set of measured exemplars D={X,y}, there are several (related) concepts that determine how well the parameters can be estimated (off-line, in batch mode)
, i.e. how well can the parameters be identified or equivalently, what is the region of uncertainty about the estimated values q.
Is (XTX) non-singular? i.e. can the normal equations be solved uniquely
Are the parameter estimates significantly non-zero?
All of these are related and influenced/determined by how the input data X is generated/collected. ^
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8. Example: Signal Magnitude & Noise
Consider feeding steps of magnitude 0.01, 0.1 and 1 into the first order, electrical circuit with
The magnitude of the signals strongly influences the identifiability of the parameters. Typically, each signal should be of similar magnitude and high in relation to the measurement noise.
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9. Example: Signals Interactions
Consider collecting data from a model of the form:
Each input is ui(t) = sin(0.5t), 20 samples:
Note that X = [u1 u2] is singular
Now consider u1(t) = sin(0.5t), u2(t) = cos(0.5t), E(u1u2)0, E(ui2)=c
The input signals are ~orthogonal
This is difficult with feedback …
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10. Good and Bad Covariance Matrices
Ideal structure of (XTX)-1 is
which means that:
Each parameter has the same variance, and the estimates are uncorrelated. In addition, if E(xi2)>>sy2, the parameter variances are small.
Each parameter can be identified to the same accuracy
For modelling and control, we want to feed an input signal in produces a matrix with these properties.
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11. How to Measure Goodness?
There are several ways to assess/compare how good a particular signal is:
Cond(XTX) = lmax/lmin
This measures the ratio of the maximum signal to the minimum signal correlations
Smaller Cond(XTX) is better
Cond(I) = 1
Choose u to minu Cond(XTX)
Insensitive to the signal
magnitude, just measures the
degree of correlation
Well determined l = 12.8
l = 0.52
poorly determined
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12. Signal Correlation and Dynamics
So far, we have just discussed choosing input signals that are uncorrelated/orthogonal
However, dynamics/feedback introduce correlation between individual signals (i.e. between u(t) and u(t-1) and y(t-1) and y(t)):
E(y(t-1)u(t))  0
This is because y(t) is related to u(t), especially when they change slowly
A stable plant will track (correlate
with) the input signal
Condition will be worse
u(t)
y(t)
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13. Example 1: Impulse/Step Signal
u(t)
u(t)
u(t) t t t
Any linear system is completely identified by its impulse (or step) response – because convolution can be used to calculate the output.
However, as shown in Slide 8, there are several aspects that may make this identification difficult
Magnitude of the step signal (relative to the noise) & impulse
Length of the transient period, relative to the steady state
Generation of the impulse/step signal which may be infeasible due to control magnitude and/or actuator dynamics limits
High correlation between u(t) and u(t-k), steady state adds little
Note that if the plant model is non-linear, an impulse/step only collects information at one operating point, so if the aim is to reject non-linear components, step/impulse trains of different amplitudes must be used
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14. Example 2: Sinusoidal Signal
While a sinusoid may look to be a rich enough signal to identify linear models
It can be used to identify the gain margin and phase advance for one particular frequency
However, can only be used when the maximum control delay is 1, because
u(t) = q1u(t-1) + q2u(t-2)
Similar for the output feedback delay as well (because in the steady state, the output is also sinusoidal).
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15. Example 3: Random Signal
A random signal is persistently exciting for a linear model of any order
It involves a range of amplitudes and so can be used for non-linear terms as well. However,
It is a bit of a “scatter gun” approach
It can be wasteful when the model structure is reasonably well-known
There may be limits on the actuator dynamics
Difficult to use on-line, where the control action is “smooth”
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16. On-Line Parameter Estimation
So far, it has been assumed that the parameter estimation is being performed off-line
Collect a fixed size data set
Estimate the parameters
Issues of parameter identifiability are related to a fixed data set
On-line parameter estimation is more complex
Typically a plant is controlled to a set-point for a long period of time
The recursive calculation is often re-set after fixed intervals (re-set floating point errors)
Sometimes need to track time-varying parameters
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17. Time Varying Parameters
One reason for considering on-line/recursive parameter estimation is to model systems where the linear parameters vary slowly with time
Common parameter changes are step or slow drifts
The aim is to treat the systems as slowly changing, and the model must be kept “plastic enough” to respond to changes in the parameters
Note that, strictly speaking, this is now a non-linear system where the dynamics of the parameters are much slower than the dynamics of the system’s states.
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18. Long Term Convergence & Plasticity
Using either the normal equations or the equivalent on-line, recursive version, when the amount of data increases, the parameter estimates tend to the true values and the effect of a new datum is close to zero.
To model parametric drifts, the parameter estimates must include a term that makes the model more dependent on recent large residuals
This can be achieved by defining a modified performance function where the residuals are weighted by a time decay factor
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19. Exponential RLS Form the new input vector x(t+1) using the new data
Form e(t+1) from the model using
Form P(t+1) using
Update the least squares estimate
Proceed with next time step
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20. Example: Exponential RLS
Consider the first order electrical circuit example
Here a and k are functions of time and both linearly vary between 1 and 2 during the length of the simulation
Input signal is sinusoidal and noise N(0,0.01) is added
There is a balance between noise filtering and model/parameter plasticity
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21. Parameter Convergence & Persistent Excitation
While this algorithm is relatively simple, it has two important, related aspects that must be considered
What is the value of l?
What form of persistently exciting input is needed?
When l is 1, this is just standard RLS estimation.
When l<0.9, the model is extremely adaptive and the parameters will not generally converge when the measurement noise is significant
As the model becomes more plastic, the input signal must be sufficiently persistently exciting over every significant time window to stop random parameter drift/premature convergence
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22. Summary 13&14
The engineer’s aim is to minimise the amount of data collected to identify the parameters sufficiently accurately
Signal magnitude should be as large as possible to improve the signal/noise ratio and to minimize the parameter covariances. However, the signal should not to large enough to violate any system constraints or to make the unknown system significantly non-linear
Signal type & frequency must be smooth enough not to exceed any dynamic constraints, however the dynamics must excite any potential dynamics.
When parameter estimation is on-line, this imposes additional constraints as the signals must be sufficiently exciting for each time period
Exponential-forgetting can be used to track time-varying parameters, but previous comments must hold
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23. Laboratory 13&14
1. Prove Slide 14 relationship for a sin function – what are q1 and q2
2. Measure the Cond(XTX) and the parameter estimates for:
Step
Sin
Random
for the electrical simulation. Try varying the magnitudes of the step signal as well.
3. Implement the exponential RLS for the electrical simulation for time-varying parameters on Slide 20. Try changing the input/control signals and compare the responses.
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