From general State-Space to VARMAX models

Fixed coecients State-Space and VARMAX models are equivalent, meaning that they are able to represent the same linear dynamics, being indistinguishable in terms of overall fit. However, each representation can be specifically adequate for certain uses, so it is relevant to be able to choose between them. To this end, we propose two algorithms to go from general State-Space models to VARMAX forms. The first one computes the coeficients of a standard VARMAX model under some assumptions while the second, which is more general, returns the coeficients of a VARMAX echelon. These procedures supplement the results already available in the literature allowing one to obtain the State-Space model matrices corresponding to any VARMAX. The paper also discusses some applications of these procedures by solving several theoretical and practical problems.State-Space, VARMAX models, Canonical forms, Echelon.

RICE PRICE MODELING IN SIX PROVINCE OF JAVA ISLAND USING VARMAX MODEL

Rice is an important food commodity in Indonesia because it is not only a main food but also social commodity, and has influence in politic stabilities and economic growth in Indonesia. Based on this condition is showed that everything about rice especially rice price has social economic impact in Indonesia. Factors that influence the domestic rice price in Indonesia are real exchange value, domestic corn price, and basic rice price This research aims to create models of rice price monthly data from six province in Java to real exchange value from 2007 until 2014 by using multivariate time series modeling approach with covariate, that is VARMAX (Vector ARIMAX) model. The results show that rice price in West Java, DI Yogyakarta, and Banten are influenced by rice price in DKI Jakarta, Central Java, and East Java, and real exchange value. Based on RMSE value, the best model is using VECMX(2,1) model. Keywords : ARIMA, VARMA, VARMA

Reduced order modelling through system identification using stochastic filtering

This thesis presents a novel approach to model order reduction, through system identification and using stochastic filtering. Order reduction is a particularly relevant application in the automotive context, as the generation of simplified simulation models for the whole vehicle and its subsystems is an increasingly important aspect of vehicle design. First, grey-box parameter identification of vehicle handling dynamics is explored, including identification of a combined-slip tyre model. This introductory study serves as an intermediate step to review three alternative stochastic filters: identifying forms of the unscented Kalman filter, extended Kalman filter and particle filter are here compared for effectiveness, complexity and computational efficiency. Despite being initially merely considered as a stepping stone towards black-box identification, this phase of the PhD generated its own and independent outcomes and might be viewed as a spin-off of the main research topic. All three filters appear suited to system identification and could operate in on-line model predictive controllers or estimators, with varying levels of practicability at different sampling rates. Work on black-box system identification then starts through a non-linear Kalman filter, extended to identify all the parameters of a canonical linear state-space structure. In spite of all model parameters being unknown at the start, the filter is able to evolve parameter estimates to achieve 100$\%$ accuracy in noise-free test cases, and is also proven to be robust to noise in the measurements. The canonical form ensures that a minimal number of parameters need to be identified and produces additional information in terms of eigenvalues and dominant modes. After extensive testing in the linear domain, state-space is extended into a non-linear framework, with each parameter becoming a non-linear function of system inputs or states. Parameter variation is first constrained by cubic spline polynomials, to provide continuity and maintain relatively small extended state-parameter vectors. This early approach is later simplified, with each element of state-space generated through unconstrained, generic non-linear functions and defined through a number of equally spaced, fixed nodes. Conditioning and convergence are maintained through the definition of additional system outputs, based on specific functions of the non-linear node ordinates. Unlike other methods published in the literature, this new approach does not focus on a specific non-linear structure, but consists in the prescription of a generic and yet simple non-linear state-space model structure, that allows various non-linearities to be identified and approximated solely based on inputs and outputs. The method is illustrated in practice through simple non-linear examples and test cases, which include the identification of a full vehicle model, a highly non-linear brake model and CFD data. These applications show that it is possible to easily expand the order of the system and the complexity of the non-linearities, to achieve higher accuracy while ensuring good parameter conditioning. The approach is completely black-box and requires no physical understanding of the process for successful identification, making it an ideally suited mechanism for order reduction of high order simulation models. In addition to high order simulation data, the developed approach can be used as a tool for conventional system identification and applied to experimental test data as well.</div

From general State-Space to VARMAX models

Fixed coecients State-Space and VARMAX models are equivalent, meaning that they are able to represent the same linear dynamics, being indistinguishable in terms of overall fit. However, each representation can be specically adequate for certain uses, so it is relevant to be able to choose between them. To this end, we propose two algorithms to go from general State-Space models to VARMAX forms. The rst one computes the coecients of a standard VARMAX model under some assumptions while the second, which is more general, returns the coecients of a VARMAX echelon. These procedures supplement the results already available in the literature allowing one to obtain the State-Space model matrices corresponding to any VARMAX. The paper also discusses some applications of these procedures by solving several theoretical and practical problems