Quadrature-Based Vector Fitting: Implications For H2 System Approximation

Vector Fitting is a popular method of constructing rational approximants designed to fit given frequency response measurements. The original method, which we refer to as VF, is based on a least-squares fit to the measurements by a rational function, using an iterative reallocation of the poles of the approximant. We show that one can improve the performance of VF significantly, by using a particular choice of frequency sampling points and properly weighting their contribution based on quadrature rules that connect the least squares objective with an H2 error measure. Our modified approach, designated here as QuadVF, helps recover the original transfer function with better global fidelity (as measured with respect to the H2 norm), than the localized least squares approximation implicit in VF. We extend the new framework also to incorporate derivative information, leading to rational approximants that minimize system error with respect to a discrete Sobolev norm. We consider the convergence behavior of both VF and QuadVF as well, and evaluate potential numerical ill-conditioning of the underlying least-squares problems. We investigate briefly VF in the case of noisy measurements and propose a new formulation for the resulting approximation problem. Several numerical examples are provided to support the theoretical discussion

Transfer Function Estimation in System Identification Toolbox via Vector Fitting

This paper considers black- and grey-box continuous-time transfer function estimation from frequency response measurements. The first contribution is a bilinear mapping of the original problem from the imaginary axis onto the unitdisk. This improves the numerics of the underlying Sanathanan-Koerner iterations and the more recent instrumental-variable iterations. Orthonormal rational basis functions on the unit disk are utilized. Each iteration step necessitates a minimal state-space realization with these basis functions. One such derivation is the second contribution. System identification with these basis functions yield zero-pole-gain models. The third contribution is an efficient method to express transfer function coefficient constraints in terms of the orthonormal rational basis functions. This allows for estimating transfer function models with arbitrary relative degrees (including improper models), along with other fixed and bounded parameter values. The algorithm is implemented in the tfest function in System Identification Toolbox (Release 2016b, for use with MATLAB) for frequency domain data. Two examples are presented to demonstrate the algorithm performance.Comment: 20th IFAC World Congress, Toulouse, France, July 9-14, 201