© The Institution of Electrical Engineers
A computationally efficient procedure for identifying the structure and parameters of a linear discrete-time SISO system is presented. The procedure is based upon a new computational technique of parameter estimation, using the instrumental variables, that eliminates a number of redundant computations and does not require explicit evaluation of the instrumental variables. The structure determination is aimed at providing a combination of low residual error, low output error and low parameter estimation error. Application of the proposed procedure on simulated, as well as real, data is reported.
References
-
-
1)
-
P.C. Young ,
A. Jakeman ,
R. McMurtrie
.
An instrumental variable method for model order identification.
Automatica
,
281 -
294
-
2)
-
P.C. Young
.
An instrumental variable method for real-time identification of a noisy process.
Automatica
,
271 -
287
-
3)
-
G.E.P. Box ,
G.M. Jenkins
.
(1970)
, Time series analysis forecasting and control.
-
4)
-
H. Akaike ,
P.R. Krishnaiah
.
(1977)
On entropy maximization principle, Application of statistics.
-
5)
-
K.J. Astrom ,
P. Eykhoff
.
System identification-a survey.
Automatica
,
123 -
162
-
6)
-
Ahmed, M.S.: `State variable model identification of multivariable systems by correlation analysis', Proceedings of 12th annual conference on modelling and simulation, 1981, Pittsburgh, p. 739–745.
-
7)
-
E. Tse ,
H.L. Weinert
.
Structure determination and parameter identification for multivariable stochastic linear systems.
IEEE Trans.
,
603 -
613
-
8)
-
van den Boom, A.J.W., van den Eden, A.W.M.: `The determination of the order of the process and noise dynamics', Proceedings of 3rd IFAC symposium on identification and system parameter estimation, 1973, The Hague, p. 929–938.
-
9)
-
C. Chatfield
.
Some recent developments in time series analysis.
Appl. Stat.
,
492 -
510
-
10)
-
A.J. Jakeman ,
L.P. Steele ,
P.C. Young
.
Instrumental variable algorithms for multiple input systems described by multiple transfer functions.
IEEE Trans.
,
593 -
602
-
11)
-
P.C. Young ,
S.H. Shellswell
.
Review of time series analysis, forecasting and control.
IEEE Trans.
,
281 -
282
-
12)
-
Talmon, J.C., van den Boom, A.J.W.: `On the estimation of the transfer function parameters of process and noise dynamics using a single stage estimator', Proceedings of 3rd IFAC symposium on system identification and system parameter estimation, 1973, The Hague, p. 711–720.
-
13)
-
R. Guidorzi
.
Canonical structures in the identification of multivariable systems.
Automation
,
361 -
374
-
14)
-
R. Isermann ,
U. Bauer ,
W. Bamberger ,
P. Kneppo ,
H. Siebert
.
Comparison of six on-line identification and parameter estimation methods.
Automatica
,
81 -
103
-
15)
-
J. Rissanen ,
R.K. Mehra ,
D.G. Laniatis
.
(1976)
Minimax entropy estimation of models for vector process, System identification: advances and case studies.
-
16)
-
T. SÖDERSTRÖM ,
P. STOICA
.
(1983)
, Instrumental variable methods for system identification.
-
17)
-
Clarke, D.W.: `Generalized least squares estimation of a dynamic model', Paper 3.17, Preprint of IFAC symposium on identification and system parameter estimation, 1967, Prague.
-
18)
-
M.S. Ahmed
.
Estimation of difference equation parameters of SISO systems by correlation analysis.
Int. J. Control
,
677 -
687
-
19)
-
M.S. Ahmed
.
Fast GLS algorithm for parameter estimation.
Automatica
,
231 -
236
-
20)
-
Y.S. Yuan ,
W.M. Wonham
.
Probing signals for model reference identification.
IEEE Trans.
,
530 -
538
-
21)
-
K.Y. Wong ,
E. Polak
.
Identification of linear discrete time systems using an instrumental variable method.
IEEE Trans.
,
707 -
719
-
22)
-
C.M. Woodside
.
Estimation of the order of linear systems.
Automation
,
727 -
733
-
23)
-
P.C. Young ,
A.J. Jakeman
.
Refined instrumental variable methods of recursive time-series analysis: Part 1: Single input single output systems.
Int. J. Control
,
1 -
30
-
24)
-
T. Soderstrom ,
P. Stoica
.
Comparison of some instrumental variable methods-consistency and accuracy aspects.
Automatica
,
101 -
115
-
25)
-
R. Iserman ,
B. Bauer
.
Two-step process identification with correlation analysis and least squares parameter estimation.
Trans. ASME Ser. G, J. Dyn. Syst. Meas. & Control
,
425 -
432
-
26)
-
R.C.K. Lee
.
(1964)
, Optimal estimation, identification and control.
-
27)
-
P.E. Wellstead
.
An instrumental product moment test for model order estimation.
Automation
,
89 -
91
-
28)
-
Ahmed, M.S.: `Structure determination and parameter estimation of multivariable systems by instrumental variable method', Proceedings of IFAC 6th symposium on identification and process parameter estimation, June 1982, Washington, DC.
http://iet.metastore.ingenta.com/content/journals/10.1049/ip-d.1985.0008
Related content
content/journals/10.1049/ip-d.1985.0008
pub_keyword,iet_inspecKeyword,pub_concept
6
6