Modeling and identification of uncertain-input systems

DOI10.1016/J.AUTOMATICA.2019.03.014zbMATH Open1429.93068arXiv1709.03421OpenAlexW2963158960WikidataQ128120534 ScholiaQ128120534MaRDI QIDQ2280679FDOQ2280679

Authors: Riccardo Sven Risuleo, Giulio Bottegal, Håkan Hjalmarsson 

Publication date: 19 December 2019

Published in: Automatica (Search for Journal in Brave)

Abstract: In this work, we present a new class of models, called uncertain-input models, that allows us to treat system-identification problems in which a linear system is subject to a partially unknown input signal. To encode prior information about the input or the linear system, we use Gaussian-process models. We estimate the model from data using the empirical Bayes approach: the input and the impulse responses of the linear system are estimated using the posterior means of the Gaussian-process models given the data, and the hyperparameters that characterize the Gaussian-process models are estimated from the marginal likelihood of the data. We propose an iterative algorithm to find the hyperparameters that relies on the EM method and results in simple update steps. In the most general formulation, neither the marginal likelihood nor the posterior distribution of the unknowns is tractable. Therefore, we propose two approximation approaches, one based on Markov-chain Monte Carlo techniques and one based on variational Bayes approximation. We also show special model structures for which the distributions are treatable exactly. Through numerical simulations, we study the application of the uncertain-input model to the identification of Hammerstein systems and cascaded linear systems. As part of the contribution of the paper, we show that this model structure encompasses many classical problems in system identification such as classical PEM, Hammerstein models, errors-in-variables problems, blind system identification, and cascaded linear systems. This allows us to build a systematic procedure to apply the algorithms proposed in this work to a wide class of classical problems.

Full work available at URL: https://arxiv.org/abs/1709.03421

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zbMATH Keywords

estimation algorithmsGaussian processesnonlinear modelssystem identificationnonparametric identification

Mathematics Subject Classification ID

System identification (93B30) Nonlinear systems in control theory (93C10) Control/observation systems with incomplete information (93C41) Mathematical modeling or simulation for problems pertaining to systems and control theory (93-10)

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Cited In (9)

• On semiseparable kernels and efficient implementation for regularized system identification and function estimation
• Decomposition strategy-based hierarchical least mean square algorithm for control systems from the impulse responses
• Modeling of parameters of a system with uncertain initial data
• Identification of dynamical systems with structured uncertainty
• On input-dependent system identification by Monte Carlo approach
• Hierarchical recursive Levenberg-Marquardt algorithm for radial basis function autoregressive models
• Identification of systems with unknown inputs using indirect input measurements
• Model transformation based distributed stochastic gradient algorithm for multivariate output-error systems
• Auxiliary variable-based identification algorithms for uncertain-input models

Uses Software

• System Identification Toolbox
• PRMLT

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