Decomposition-based recursive least squares identification methods for multivariate pseudo-linear systems using the multi-innovation

© 2018 Informa UK Limited, trading as Taylor & Francis Group. This paper studies the parameter estimation algorithms of multivariate pseudo-linear autoregressive systems. A decomposition-based recursive generalised least squares algorithm is deduced for estimating the system parameters by decomposing the multivariate pseudo-linear autoregressive system into two subsystems. In order to further improve the parameter accuracy, a decomposition based multi-innovation recursive generalised least squares algorithm is developed by means of the multi-innovation theory. The simulation results confirm that these two algorithms are effective

Recursive search-based identification algorithms for the exponential autoregressive time series model with coloured noise

This study focuses on the recursive parameter estimation problems for the non-linear exponential autoregressive model with moving average noise (the ExpARMA model for short). By means of the gradient search, an extended stochastic gradient (ESG) algorithm is derived. Considering the difficulty of determining the step-size in the ESG algorithm, a numerical approach is proposed to obtain the optimal step-size. In order to improve the parameter estimation accuracy, the authors employ the multi-innovation identification theory to develop a multi-innovation ESG (MI-ESG) algorithm for the ExpARMA model. Introducing a forgetting factor into the MI-ESG algorithm, the parameter estimation accuracy can be further improved. With an appropriate innovation length and forgetting factor, the variant of the MI-ESG algorithm is effective to identify all the unknown parameters of the ExpARMA model. A simulation example is provided to test the proposed algorithms

Partially coupled gradient estimation algorithm for multivariable equation-error autoregressive moving average systems using the data filtering technique

System identification provides many convenient and useful methods for engineering modelling. This study targets the parameter identification problems for multivariable equation-error autoregressive moving average systems. To reduce the influence of the coloured noises on the parameter estimation, the data filtering technique is adopted to filter the input and output data, and to transform the original system into a filtered system with white noises. Then the filtered system is decomposed into several subsystems and a filtering-based partially-coupled generalised extended stochastic gradient algorithm is developed via the coupling concept. In contrast to the multivariable generalised extended stochastic gradient algorithm, the proposed algorithm can give more accurate parameter estimates. Finally, the effectiveness of the proposed algorithm is well demonstrated by simulation examples

Parameter estimation algorithm for multivariable controlled autoregressive autoregressive moving average systems

This paper investigates parameter estimation problems for multivariable controlled autoregressive autoregressive moving average (M-CARARMA) systems. In order to improve the performance of the standard multivariable generalized extended stochastic gradient (M-GESG) algorithm, we derive a partially coupled generalized extended stochastic gradient algorithm by using the auxiliary model. In particular, we divide the identification model into several subsystems based on the hierarchical identification principle and estimate the parameters using the coupled relationship between these subsystems. The simulation results show that the new algorithm can give more accurate parameter estimates of the M-CARARMA system than the M-GESG algorithm

Gradient-based iterative parameter estimation for bilinear-in-parameter systems using the model decomposition technique

The parameter estimation issues of a block-oriented non-linear system that is bilinear in the parameters are studied, i.e. the bilinear-in-parameter system. Using the model decomposition technique, the bilinear-in-parameter model is decomposed into two fictitious submodels: one containing the unknown parameters in the non-linear block and the other containing the unknown parameters in the linear dynamic one and the noise model. Then a gradient-based iterative algorithm is proposed to estimate all the unknown parameters by formulating and minimising two criterion functions. The stochastic gradient algorithms are provided for comparison. The simulation results indicate that the proposed iterative algorithm can give higher parameter estimation accuracy than the stochastic gradient algorithms

Integrated adaptive filtering and design for control experiments of flexible structures

A novel method is presented of identifying a state space model and a state estimator for linear stochastic systems from input and output data. The method is primarily based on the relations between the state space model and the finite difference model for linear stochastic systems derived through projection filters. It is proven that least squares identification of a finite difference model converges to the model derived from the projection filters. System pulse response samples are computed from the coefficients of the finite difference model. In estimating the corresponding state estimator gain, a z-domain method is used. First the deterministic component of the output is subtracted out, and then the state estimator gain is obtained by whitening the remaining signal. Experimental example is used to illustrate the feasibility of the method

Combined state and parameter estimation for Hammerstein systems with time-delay using the Kalman filtering

This paper discusses the state and parameter estimation problem for a class of Hammerstein state space systems with time-delay. Both the process noise and the measurement noise are considered in the system. Based on the observable canonical state space form and the key term separation, a pseudo-linear regressive identification model is obtained. For the unknown states in the information vector, the Kalman filter is used to search for the optimal state estimates. A Kalman-filter based least squares iterative and a recursive least squares algorithms are proposed. Extending the information vector to include the latest information terms which are missed for the time-delay, the Kalman-filter based recursive extended least squares algorithm is derived to obtain the estimates of the unknown time-delay, parameters and states. The numerical simulation results are given to illustrate the effectiveness of the proposed algorithms

Wavelet-based response spectrum compatible synthesis of accelerograms-Eurocode application (EC8)

An integrated approach for addressing the problem of synthesizing artificial seismic accelerograms compatible with a given displacement design/target spectrum is presented in conjunction with aseismic design applications. Initially, a stochastic dynamics solution is used to obtain a family of simulated non-stationary earthquake records whose response spectrum is on the average in good agreement with the target spectrum. The degree of the agreement depends significantly on the adoption of an appropriate parametric evolutionary power spectral form, which is related to the target spectrum in an approximate manner. The performance of two commonly used spectral forms along with a newly proposed one is assessed with respect to the elastic displacement design spectrum defined by the European code regulations (EC8). Subsequently, the computational versatility of the family of harmonic wavelets is employed to modify iteratively the simulated records to satisfy the compatibility criteria for artificial accelerograms prescribed by EC8. In the process, baseline correction steps, ordinarily taken to ensure that the obtained accelerograms are characterized by physically meaningful velocity and displacement traces, are elucidated. Obviously, the presented approach can be used not only in the case of the EC8, for which extensive numerical results/examples are included, but also for any code provisions mandated by regulatory agencies. In any case, the presented numerical results can be quite useful in any aseismic design process dominated by the EC8 specifications

State filtering and parameter estimation for two input two output systems with time delay

This paper focuses on presenting a new identification algorithm to estimate the parameters and state variables for two-input two-output dynamic systems with time delay based on canonical state space models. First, the related input-output equation is determined and transformed into an identification oriented model, which does not involve in the unmeasurable states, and then a residual based least squares identification algorithm is presented for the estimations. After the parameters being estimated, the system states are subsequently estimated by using the estimated parameters. Through theoretical analysis, the convergence of the algorithm is derived to provide assurance for applicability. Finally, a selected simulation example is given for a meaningful case study to show the effectiveness of the proposed algorithm