Identification of Stochastic Wiener Systems using Indirect Inference

We study identification of stochastic Wiener dynamic systems using so-called indirect inference. The main idea is to first fit an auxiliary model to the observed data and then in a second step, often by simulation, fit a more structured model to the estimated auxiliary model. This two-step procedure can be used when the direct maximum-likelihood estimate is difficult or intractable to compute. One such example is the identification of stochastic Wiener systems, i.e.,~linear dynamic systems with process noise where the output is measured using a non-linear sensor with additive measurement noise. It is in principle possible to evaluate the log-likelihood cost function using numerical integration, but the corresponding optimization problem can be quite intricate. This motivates studying consistent, but sub-optimal, identification methods for stochastic Wiener systems. We will consider indirect inference using the best linear approximation as an auxiliary model. We show that the key to obtain a reliable estimate is to use uncertainty weighting when fitting the stochastic Wiener model to the auxiliary model estimate. The main technical contribution of this paper is the corresponding asymptotic variance analysis. A numerical evaluation is presented based on a first-order finite impulse response system with a cubic non-linearity, for which certain illustrative analytic properties are derived.Comment: The 17th IFAC Symposium on System Identification, SYSID 2015, Beijing, China, October 19-21, 201

Robust Feature Sets for Implementation of Classification Machines

Classification Machines have evolved over a lot during recent times, in the field of engineering and sciences. Various classification schemes have been developed, taking into account, the aspect that can be optimized to give maximum system performance.  The feature set in a classifier system is very significant, since it determines the efficiency and performance of the machine. Three powerful feature sets possessing robust classifying capabilities are discussed in this paper. Cepstral coefficient analysis based Kruskal-Wallis H statistic, F-test statistic and Discrete Sine Transform based features are found to be very effective for detection and classification of signals. Simulation results for typical data set are also presented in this paper. Statistical estimators, Neural Network and Hidden Markov Model based classifiers, along with various deep learning algorithms can be incorporated along with these feature sets to implement an efficient classifying machine. Typical results based on these feature sets are also presented for different signal sources.&nbsp

Semiparametric curve alignment and shift density estimation for biological data

Assume that we observe a large number of curves, all of them with identical, although unknown, shape, but with a different random shift. The objective is to estimate the individual time shifts and their distribution. Such an objective appears in several biological applications like neuroscience or ECG signal processing, in which the estimation of the distribution of the elapsed time between repetitive pulses with a possibly low signal-noise ratio, and without a knowledge of the pulse shape is of interest. We suggest an M-estimator leading to a three-stage algorithm: we split our data set in blocks, on which the estimation of the shifts is done by minimizing a cost criterion based on a functional of the periodogram; the estimated shifts are then plugged into a standard density estimator. We show that under mild regularity assumptions the density estimate converges weakly to the true shift distribution. The theory is applied both to simulations and to alignment of real ECG signals. The estimator of the shift distribution performs well, even in the case of low signal-to-noise ratio, and is shown to outperform the standard methods for curve alignment.Comment: 30 pages ; v5 : minor changes and correction in the proof of Proposition 3.

Advances in nonlinear process modeling using block-oriented exact solution techniques

Application of the Hammerstein Block-oriented Exact Solution Technique (H-BEST) to a real industrial process is presented. The methodology is extended to processes with a Wiener structure, and named the Wiener block-Oriented Exact Solution Technique (W-BEST). The W-BEST methodology is presented in detail and applied to a simulated continuous-stirred tank reactor with complex dynamic behavior. W-BEST is then compared to another continuous-time Wiener-based model found in the literature and applied to an example process. The results of the two methods are compared using a test input sequence applied to the example process

Weighted principal component analysis for Wiener system identification – Regularization and non-Gaussian excitations

International audienceFinite impulse response (FIR) Wiener systems driven by Gaussian inputs can be efficiently identified by a well-known correlation-based method, except those involving even static nonlinearities. To overcome this deficiency, another method based on weighted principal component analysis (wPCA) has been recently proposed. Like the correlation-based method, the wPCA is designed to estimate the linear dynamic subsystem of a Wiener system without assuming any parametric form of the nonlinearity. To enlarge the applicability of this method, it is shown in this paper that high order FIR approximation of IIR Wiener systems can be efficiently estimated by controlling the variance of parameter estimates with regularization techniques. The case of non-Gaussian inputs is also studied by means of importance sampling

A combined B-Spline-Neural-Network and ARX Model for Online Identi cation of Nonlinear Dynamic Actuation Systems

This paper presents a block oriented nonlinear dynamic model suitable for online identi cation.The model has the well known Hammerstein architecture where as a novelty the nonlinear static part is represented by a B-spline neural network (BSNN), and the linear static one is formalized by an auto regressive exogenous model (ARX). The model is suitable as a feed-forward control module in combination with a classical feedback controller to regulate velocity and position of pneumatic and hydraulic actuation systems which present non stationary nonlinear dynamics. The adaptation of both the linear and nonlinear parts is taking place simultaneously on a patterby- patter basis by applying a combination of error-driven learning rules and the recursive least squares method. This allows to decrease the amount of computation needed to identify the model's parameters and therefore makes the technique suitable for real time applications. The model was tested with a silver box benchmark and results show that the parameters are converging to a stable value after 1500 samples, equivalent to 7.5s of running time. The comparison with a pure ARX and BSNN model indicates a substantial improvement in terms of the RMS error, while the comparison with alternative non linear dynamic models like the NNOE and NNARX, having the same number of parameters but greater computational complexity, shows comparable performances

Continuous-time block-oriented nonlinear modeling with complex input noise structure

The continuous-time closed-form algorithms to sinusoidal input changes are proposed and presented for single-input, single-output (SISO) Hammerstein and Wiener systems with the first-order, second-order, and second-order plus lead dynamics. By simulation on theoretical Hammerstein and Wiener systems, the predicted responses agree exactly with the true process values. They depend on only the most recent input change. The algorithms to SISO Hammerstein and Wiener systems can be conveniently extended to the multiple-input, multiple-output (MIMO) systems as shown by the two-input, two-output examples and demonstrated by the simulated seven-input, five-output continuous stirred tank reactor (CSTR). The predictions and the simulated theoretical responses agree exactly and the predicted multiple CSTR outputs are close to the true process outputs. The proposed algorithms can predict the responses closer to the true values when comparing with the piece-wise step input approximation of the sinusoidal input changes on a simulated MIMO CSTR. In addition, as the noisy process input could be decomposed as summation of sinusoidal signals imposed on a step input change; the proposed algorithms can be employed to predict outputs for the noisy process inputs once the decomposition is done and the predicted noisy process outputs are shown to be close to the true ones, and are much better than the predictions based on the perfect filtering of the input signals.;The estimating equations based on the moment method are proposed for the Wiener dynamic process with stochastically correlated process input disturbances or noises and they work well for the parameter estimation. No one has ever proposed such method before. This approach has led to stable and robust estimators that have reasonable estimation errors and there is no need to measure the input disturbances or noises, or to calculate the time derivative of the observed output variable. Only the original process output observations over time are needed. The original model can be shifted to an approximate model under some conditions. This approximation is acceptable based on some analysis and derivation. The estimating equation methodology was shown to work well for the approximate model, while other existing methods do not work at all

A combined B-Spline-Neural-Network and ARX Model for Online Identi cation of Nonlinear Dynamic Actuation Systems

This paper presents a block oriented nonlinear dynamic model suitable for online identi cation.The model has the well known Hammerstein architecture where as a novelty the nonlinear static part is represented by a B-spline neural network (BSNN), and the linear static one is formalized by an auto regressive exogenous model (ARX). The model is suitable as a feed-forward control module in combination with a classical feedback controller to regulate velocity and position of pneumatic and hydraulic actuation systems which present non stationary nonlinear dynamics. The adaptation of both the linear and nonlinear parts is taking place simultaneously on a patterby- patter basis by applying a combination of error-driven learning rules and the recursive least squares method. This allows to decrease the amount of computation needed to identify the model's parameters and therefore makes the technique suitable for real time applications. The model was tested with a silver box benchmark and results show that the parameters are converging to a stable value after 1500 samples, equivalent to 7.5s of running time. The comparison with a pure ARX and BSNN model indicates a substantial improvement in terms of the RMS error, while the comparison with alternative non linear dynamic models like the NNOE and NNARX, having the same number of parameters but greater computational complexity, shows comparable performances