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tfest

Transfer function estimation

Syntax

sys = tfest(data,np)
sys = tfest(data,np,nz)
sys = tfest(data,np,nz,iodelay)
sys = tfest(___,Name,Value)
sys = tfest(data,init_sys)
sys = tfest(___,opt)

Description

sys = tfest(data,np) estimates a continuous-time transfer function, sys, using time- or frequency-domain data, data, and contains np poles. The number of zeros in the sys is max(np-1,0).

sys = tfest(data,np,nz) estimates a transfer function containing nz zeros.

sys = tfest(data,np,nz,iodelay) estimates a transfer function with transport delay for input/output pairs iodelay.

sys = tfest(___,Name,Value) uses additional options specified by one or more Name,Value pair arguments. All input arguments described for previous syntaxes also apply here.

sys = tfest(data,init_sys) uses the linear system init_sys to configure the initial parameterization of sys.

sys = tfest(___,opt) specifies the estimation behavior using the option set opt. All input arguments described for previous syntaxes also apply here.

Input Arguments

data

Estimation data.

For time domain estimation, data is an iddata object containing the input and output signal values.

Time-series models, which are models that contain no measured inputs, cannot be estimated using tfest. Use ar, arx or armax for time-series models instead.

For frequency domain estimation, data can be one of the following:

  • frd or idfrd object that represents recorded frequency response data:

    • Complex-values G(e) , for given frequencies ω

    • Amplitude |G| and phase shift φ=argG values

  • iddata object with its properties specified as follows:

    • InputData — Fourier transform of the input signal

    • OutputData — Fourier transform of the output signal

    • Domain'Frequency'

For multi-experiment data, the sample times and intersample behavior of all the experiments must match.

np

Number of poles in the estimated transfer function.

np is a nonnegative number.

For systems that are multiple-input, or multiple-output, or both:

  • To use the same number of poles for all the input/output pairs, specify np as a scalar.

  • To use different number of poles for the input/output pairs, specify np as an ny-by-nu matrix. ny is the number of outputs, and nu is the number of inputs.

nz

Number of zeros in the estimated transfer function.

nz is a nonnegative number.

For systems that are multiple-input, or multiple-output, or both:

  • To use the same number of zeros for all the input/output pairs, specify nz as a scalar.

  • To use a different number of zeros for the input/output pairs, specify nz as an ny-by-nu matrix. ny is the number of outputs, and nu is the number of inputs.

For a continuous-time model, estimated using discrete-time data, set nz <= np.

iodelay

Transport delay.

For continuous-time systems, specify transport delays in the time unit stored in the TimeUnit property of data. For discrete-time systems, specify transport delays as integers denoting delay of a multiple of the sample time Ts.

For a MIMO system with ny outputs and nu inputs, set iodelay to an ny-by-nu array. Each entry of this array is a numerical value that represents the transport delay for the corresponding input/output pair. You can also set iodelay to a scalar value to apply the same delay to all input/output pairs.

The specified values are treated as fixed delays.

iodelay must contain either nonnegative numbers or NaNs. Use NaN in the iodelay matrix to denote unknown transport delays.

Use [] or 0 to indicate that there is no transport delay.

opt

Estimation options.

opt is an options set, created using tfestOptions, that specifies estimation options including:

  • Estimation objective

  • Handling of initial conditions

  • Numerical search method to be used in estimation

init_sys

Linear system that configures the initial parameterization of sys.

You obtain init_sys by either performing an estimation using measured data or by direct construction.

If init_sys is an idtf model, tfest uses the parameters and constraints defined in init_sys as the initial guess for estimating sys. Use the Structure property of init_sys to configure initial guesses and constraints for the numerator, denominator, and transport lag. For example:

  • To specify an initial guess for the numerator of init_sys, set init_sys.Structure.Numerator.Value to the initial guess.

  • To specify constraints for the numerator of init_sys:

    • Set init_sys.Structure.Numerator.Minimum to the minimum numerator coefficient values

    • Set init_sys.Structure.Numerator.Maximum to the maximum numerator coefficient values

    • Set init_sys.Structure.Numerator.Free to indicate which numerator coefficients are free for estimation

If init_sys is not an idtf model, the software first converts init_sys to a transfer function. tfest uses the parameters of the resulting model as the initial guess for estimation.

If opt is not specified, and init_sys was obtained by estimation, then the estimation options from init_sys.Report.OptionsUsed are used.

Name-Value Pair Arguments

Specify optional comma-separated pairs of Name,Value arguments. Name is the argument name and Value is the corresponding value. Name must appear inside single quotes (' '). You can specify several name and value pair arguments in any order as Name1,Value1,...,NameN,ValueN.

'Ts'

Sample time.

Use the following values for Ts:

  • 0 — Continuous-time model.

  • data.Ts — Discrete-time model. In this case, np and nz refer to the number of roots of z^-1 for the numerator and denominator polynomials.

Default: 0

'InputDelay'

Input delay for each input channel, specified as a scalar value or numeric vector. For continuous-time systems, specify input delays in the time unit stored in the TimeUnit property. For discrete-time systems, specify input delays in integer multiples of the sample time Ts. For example, InputDelay = 3 means a delay of three sample times.

For a system with Nu inputs, set InputDelay to an Nu-by-1 vector. Each entry of this vector is a numerical value that represents the input delay for the corresponding input channel.

You can also set InputDelay to a scalar value to apply the same delay to all channels.

Default: 0

'Feedthrough'

Feedthrough for discrete-time transfer function. Must be a Ny-by-Nu logical matrix. Use a scalar to specify a common value across all channels.

A discrete-time model with 2 poles and 3 zeros takes the following form:

Hz1=b0+b1z1+b2z2+b3z31+a1z1+a2z2

When the model has direct feedthrough, b0 is a free parameter whose value is estimated along with the rest of the model parameters b1, b2, b3, a1, a2. When the model has no feedthrough, b0 is fixed to zero.

Default: false (Ny,Nu)

Output Arguments

sys

Identified transfer function, returned as an idtf model. This model is created using the specified model orders, delays and estimation options.

Information about the estimation results and options used is stored in the Report property of the model. Report has the following fields:

Report FieldDescription
Status

Summary of the model status, which indicates whether the model was created by construction or obtained by estimation.

Method

Estimation command used.

InitMethod

Algorithm used to initialize the numerator and denominator for estimation of continuous-time transfer functions using time-domain data, returned as one of the following values:

  • 'iv' — Instrument Variable approach.

  • 'svf' — State Variable Filters approach.

  • 'gpmf' — Generalized Poisson Moment Functions approach.

  • 'n4sid' — Subspace state-space estimation approach.

This field is especially useful to view the algorithm used when the InitMethod option in the estimation option set is 'all'.

N4Weight

Weighting matrices used in the singular-value decomposition step when InitMethod is 'n4sid', returned as one of the following values:

  • 'MOESP' — Uses the MOESP algorithm by Verhaegen.

  • 'CVA' — Uses the canonical variable algorithm (CVA) by Larimore.

  • 'SSARX' — A subspace identification method that uses an ARX estimation based algorithm to compute the weighting.

This field is especially useful to view the weighting matrices used when the N4Weight option in the estimation option set is 'auto'.

N4Horizon

Forward and backward prediction horizons used when InitMethod is 'n4sid', returned as a row vector with three elements — [r sy su], where r is the maximum forward prediction horizon. sy is the number of past outputs, and su is the number of past inputs that are used for the predictions.

InitialCondition

Handling of initial conditions during model estimation, returned as one of the following values:

  • 'zero' — The initial conditions were set to zero.

  • 'estimate' — The initial conditions were treated as independent estimation parameters.

  • 'backcast' — The initial conditions were estimated using the best least squares fit.

This field is especially useful to view how the initial conditions were handled when the InitialCondition option in the estimation option set is 'auto'.

Fit

Quantitative assessment of the estimation, returned as a structure. See Loss Function and Model Quality Metrics for more information on these quality metrics. The structure has the following fields:

FieldDescription
FitPercent

Normalized root mean squared error (NRMSE) measure of how well the response of the model fits the estimation data, expressed as a percentage.

LossFcn

Value of the loss function when the estimation completes.

MSE

Mean squared error (MSE) measure of how well the response of the model fits the estimation data.

FPE

Final prediction error for the model.

AIC

Raw Akaike Information Criteria (AIC) measure of model quality.

AICc

Small sample-size corrected AIC.

nAIC

Normalized AIC.

BIC

Bayesian Information Criteria (BIC).

Parameters

Estimated values of model parameters.

OptionsUsed

Option set used for estimation. If no custom options were configured, this is a set of default options. See polyestOptions for more information.

RandState

State of the random number stream at the start of estimation. Empty, [], if randomization was not used during estimation. For more information, see rng in the MATLAB® documentation.

DataUsed

Attributes of the data used for estimation, returned as a structure with the following fields:

FieldDescription
Name

Name of the data set.

Type

Data type.

Length

Number of data samples.

Ts

Sample time.

InterSample

Input intersample behavior, returned as one of the following values:

  • 'zoh' — Zero-order hold maintains a piecewise-constant input signal between samples.

  • 'foh' — First-order hold maintains a piecewise-linear input signal between samples.

  • 'bl' — Band-limited behavior specifies that the continuous-time input signal has zero power above the Nyquist frequency.

InputOffset

Offset removed from time-domain input data during estimation. For nonlinear models, it is [].

OutputOffset

Offset removed from time-domain output data during estimation. For nonlinear models, it is [].

Termination

Termination conditions for the iterative search used for prediction error minimization. Structure with the following fields:

FieldDescription
WhyStop

Reason for terminating the numerical search.

Iterations

Number of search iterations performed by the estimation algorithm.

FirstOrderOptimality

-norm of the gradient search vector when the search algorithm terminates.

FcnCount

Number of times the objective function was called.

UpdateNorm

Norm of the gradient search vector in the last iteration. Omitted when the search method is 'lsqnonlin'.

LastImprovement

Criterion improvement in the last iteration, expressed as a percentage. Omitted when the search method is 'lsqnonlin'.

Algorithm

Algorithm used by 'lsqnonlin' search method. Omitted when other search methods are used.

For estimation methods that do not require numerical search optimization, the Termination field is omitted.

For more information on using Report, see Estimation Report.

Examples

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Load time-domain system response data and use it to estimate a transfer function for the system.

load iddata1 z1;
np = 2;
sys = tfest(z1,np);

z1 is an iddata object that contains time-domain, input-output data.

np specifies the number of poles in the estimated transfer function.

sys is an idtf model containing the estimated transfer function.

To see the numerator and denominator coefficients of the resulting estimated model sys, enter:

sys.Numerator
sys.Denominator
ans =

    2.4554  176.9856


ans =

    1.0000    3.1625   23.1631

To view the uncertainty in the estimates of the numerator and denominator and other information, use tfdata.

Load time-domain system response data and use it to estimate a transfer function for the system.

load iddata2 z2;
np = 2;
nz = 1;
sys = tfest(z2,np,nz);

z2 is an iddata object that contains time-domain system response data.

np and nz specify the number of poles and zeros in the estimated transfer function, respectively.

sys is an idtf model containing the estimated transfer function.

Load time-domain system response data and use it to estimate a transfer function for the system. Specify a known transport delay for the transfer function.

load iddata2 z2;
np = 2;
nz = 1;
iodelay = 0.2;
sys = tfest(z2,np,nz,iodelay);

z2 is an iddata object that contains time-domain system response data.

np and nz specify the number of poles and zeros in the estimated transfer function, respectively.

iodelay specifies the transport delay for the estimated transfer function as 0.2 seconds.

sys is an idtf model containing the estimated transfer function, with IODelay property set to 0.2 seconds.

Load time-domain system response data and use it to estimate a transfer function for the system. Specify an unknown transport delay for the transfer function.

load iddata2 z2;
np = 2;
nz = 1;
iodelay = NaN;
sys = tfest(z2,np,nz,iodelay);

z2 is an iddata object that contains time-domain system response data.

np and nz specify the number of poles and zeros in the estimated transfer function, respectively.

iodelay specifies the transport delay for the estimated transfer function. iodelay = NaN denotes the transport delay as an unknown parameter to be estimated.

sys is an idtf model containing the estimated transfer function, whose IODelay property is estimated using data.

Load time-domain system response data.

load iddata2 z2;

z2 is an iddata object that contains time-domain system response data.

Estimate a transfer function with a sample time and known transport delay

np = 2;
nz = 1;
iodelay = 2;
Ts = 0.1;
sysd = tfest(z2,np,nz,iodelay,'Ts',Ts);

By default, the model has no feedthrough.

Estimate a discrete-time transfer function whose numerator polynomial has a nonzero leading coefficient.

load iddata5 z5
np = 3;
nz = 1;
model = tfest(z5,np,nz,'ts',z5.ts,'Feedthrough',true);

Compare two discrete-time models with and without feedthrough and transport delay.

If there is a delay from the measured input to output, it can be attributed to a lack of feedthrough or to a true transport delay. For discrete-time models, absence of feedthrough corresponds to a lag of 1 sample between the input and output. Estimating a model with Feedthrough = false and IODelay = 0 thus produces a discrete-time system that is equivalent to a system with Feedthrough = true and IODelay = 1. Both systems show the same time- and frequency-domain responses, for example, on step and Bode plots. However, you get different results if you reduce these models using balred or convert them to their continuous-time representation. Therefore, you should check if the observed delay should be attributed to transport delay or to a lack of feedthrough.

Estimate a discrete-time model with no feedthrough.

load iddata1 z1
np = 2;
nz = 2;
model1 = tfest(z1,np,nz,'Ts',z1.Ts);

model1 has a transport delay of 1 sample and its IODelay property is 0. Its numerator polynomial begins with $z^{-1}$.

Estimate another discrete-time model with feedthrough and 1 sample input-output delay.

model2 = tfest(z1,np,nz-1,1,'Ts',z1.Ts,'Feedthrough',true);

Compare the Bode response of the models.

bode(model1,model2);

The equations for model1 and model2 are equivalent, but the transport delay of model2 has been absorbed into the numerator of model1.

Convert the models to continuous time, and compare their Bode responses.

bode(d2c(model1),d2c(model2));

As the plot shows, the Bode responses of the two models do not match when you convert them to continuous time.

Estimate a 2-input, 1-output discrete-time transfer function with a delay of 2 samples on first input and zero seconds on the second input. Both inputs have no feedthrough.

Split data into estimation and validation data sets.

load iddata7 z7
ze = z7(1:300);
zv = z7(200:400);

Estimate a 2-input, 1-output transfer function with 2 poles and 1 zero for each input-to-output transfer function.

Lag = [2;0];
Ft = [false,false];
model = tfest(ze,2,1,'Ts',z7.Ts,'Feedthrough',Ft,'InputDelay',Lag);

Choice of Feedthrough dictates whether the leading numerator coefficient is zero (no feedthrough) or not (nonzero feedthrough). Delays are expressed separately using InputDelay or IODelay property. This example uses InputDelay to express the delays.

Validate the estimated model. Exclude the data outliers for validation.

I = 1:201;
I(114:118) = [];
opt = compareOptions('Samples',I);
compare(zv,model,opt)

Identify a 15th order transfer function model by using regularized impulse response estimation

Load data.

load regularizationExampleData m0simdata;

Obtain regularized impulse response (FIR) model.

opt = impulseestOptions('RegulKernel','DC');
m0 = impulseest(m0simdata,70,opt);

Convert model into a transfer function model after reducing order to 15.

m = idtf(balred(idss(m0),15));

Compare the model output with data.

compare(m0simdata,m);

Create the option set for tfest.

opt = tfestOptions('InitMethod','n4sid','Display','on','SearchMethod','lsqnonlin');

opt specifies that the initialization method as 'n4sid', and the search method as 'lsqnonlin'. It also specifies that the loss-function values for each iteration be shown.

Load time-domain system response data and use it to estimate a transfer function for the system. Specify the estimation options using opt.

load iddata2 z2;
np = 2;
nz = 1;
iodelay = 0.2;
sysc = tfest(z2,np,nz,iodelay,opt);

z2 is an iddata object that contains time-domain system response data.

np and nz specify the number of poles and zeros in the estimated transfer function, respectively.

iodelay specifies the transport delay for the estimated transfer function as 0.2 seconds.

opt specifies the estimation options.

sys is an idtf model containing the estimated transfer function.

Load time-domain system response data, and use it to estimate a transfer function for the system. Specify the input delay for the estimated transfer function.

load iddata2 z2;
np = 2;
nz = 1;
input_delay = 0.2;
sys = tfest(z2,np,nz,'InputDelay',input_delay);

z2 is an iddata object that contains time-domain system response data.

np and nz specify the number of poles and zeros in the estimated transfer function, respectively.

input_delay specifies the input delay for the estimated transfer function as 0.2 seconds.

sys is an idtf model containing the estimated transfer function with an input delay of 0.2 seconds.

This example requires a Control System Toolbox™ license.

Obtain frequency-response data.

For example, use bode to obtain the magnitude and phase response data for the following system:

$$H(s) = \frac{{s + 0.2}}{{{s^3} + 2{s^2} + s + 1}}$$

Use 100 frequency points, ranging from 0.1 rad/s to 10 rad/s, to obtain the frequency-response data. Use frd to create a frequency-response data object.

freq = logspace(-1,1,100);
[mag,phase] = bode(tf([1 0.2],[1 2 1 1]),freq);
data = frd(mag.*exp(1j*phase*pi/180),freq);

Estimate a transfer function using data.

np = 3;
nz = 1;
sys = tfest(data,np,nz);

np and nz specify the number of poles and zeros in the estimated transfer function, respectively.

sys is an idtf model containing the estimated transfer function.

Load time-domain system response data.

load co2data;
Ts = 0.5;
data = iddata(Output_exp1,Input_exp1,Ts);

data is an iddata object and has a sample rate of 0.5 seconds.

Specify the search method as gna. Also specify the maximum search iterations and input/output offsets.

opt = tfestOptions('SearchMethod','gna');
opt.InputOffset = [170;50];
opt.OutputOffset = mean(data.y(1:75));
opt.SearchOption.MaxIter = 50;

opt is an estimation option set that specifies the search method as gna, with a maximum of 50 iterations. opt also specifies the input offset and the output offset.

Estimate a transfer function using the measured data and the estimation option set. Specify the transport delays from the inputs to the output.

np = 3;
nz = 1;
iodelay = [2 5];
sys = tfest(data,np,nz,iodelay,opt);

iodelay specifies the input to output delay from the first and second inputs to the output as 2 seconds and 5 seconds, respectively.

sys is an idtf model containing the estimated transfer function.

Load time-domain system response data and use it to estimate a transfer function for the system. Specify the known and unknown transport delays.

load co2data;
Ts = 0.5;
data = iddata(Output_exp1,Input_exp1,Ts);

data is an iddata object and has a sample rate of 0.5 seconds.

Specify the search method as gna. Also specify the maximum search iterations and input/output offsets.

opt = tfestOptions('Display','on','SearchMethod','gna');
opt.InputOffset = [170; 50];
opt.OutputOffset = mean(data.y(1:75));
opt.SearchOption.MaxIter = 50;

opt is an estimation option set that specifies the search method as gna, with a maximum of 50 iterations. opt also specifies the input/output offsets.

Estimate the transfer function. Specify the unknown and known transport delays.

np = 3;
nz = 1;
iodelay = [2 nan];
sys = tfest(data,np,nz,iodelay,opt);

iodelay specifies the transport delay from the first input to the output as 2 seconds. Using NaN specifies the transport delay from the second input to the output as unknown.

sys is an idtf model containing the estimated transfer function.

Create a transfer function model with the expected numerator and denominator structure and delay constraints.

In this example, the experiment data consists of two inputs and one output. Both transport delays are unknown and have an identical upper bound. Additionally, the transfer functions from both inputs to the output are identical in structure.

init_sys = idtf(NaN(1,2),[1,NaN(1,3)],'IODelay',NaN);
init_sys.Structure(1).IODelay.Free = true;
init_sys.Structure(1).IODelay.Maximum = 7;

init_sys is an idtf model describing the structure of the transfer function from one input to the output. The transfer function consists of one zero, three poles and a transport delay. The use of NaN indicates unknown coefficients.

init_sys.Structure(1).IODelay.Free = true indicates that the transport delay is not fixed.

init_sys.Structure(1).IODelay.Maximum = 7 sets the upper bound for the transport delay to 7 seconds.

Specify the transfer function from both inputs to the output.

init_sys = [init_sys,init_sys];

Load time-domain system response data and use it to estimate a transfer function.

load co2data;
Ts = 0.5;
data = iddata(Output_exp1,Input_exp1,Ts);
opt = tfestOptions('Display','on','SearchMethod','gna');
opt.InputOffset = [170;50];
opt.OutputOffset = mean(data.y(1:75));
opt.SearchOption.MaxIter = 50;
sys = tfest(data,init_sys,opt);

data is an iddata object and has a sample rate of 0.5 seconds.

opt is an estimation option set that specifies the search method as gna, with a maximum of 50 iterations. opt also specifies the input offset and the output offset.

sys is an idtf model containing the estimated transfer function.

Analyze the estimation result by comparison.

opt2 = compareOptions;
opt2.InputOffset = opt.InputOffset;
opt2.OutputOffset = opt.OutputOffset;
compare(data,sys,opt2)

Estimate a multiple-input, single-output transfer function containing different number of poles for input/output pairs for given data.

This example requires a Control System Toolbox™ license.

Obtain frequency-response data.

For example, use frd to create a frequency-response data model for the following system:

$$G = \left[ {\begin{array}{*{20}{c}}&#xA;{{e^{ - 4s}}\frac{{s + 2}}{{{s^3} + 2{s^2} + 4s + 5}}}\\&#xA;{{e^{ - 0.6s}}\frac{5}{{{s^4} + 2{s^3} + {s^2} + s}}}&#xA;\end{array}} \right]$$

Use 100 frequency points, ranging from 0.01 rad/s to 100 rad/s, to obtain the frequency-response data.

G = tf({[1 2],[5]},{[1 2 4 5],[1 2 1 1 0]},0,'IODelay',[4 0.6]);
data = frd(G,logspace(-2,2,100));

data is an frd object containing the continuous-time frequency response for G.

Estimate a transfer function for data.

 np = [3 4];
 nz = [1 0];
 iodelay = [4 0.6];
 sys = tfest(data,np,nz,iodelay);

np specifies the number of poles in the estimated transfer function. The first element of np indicates that the transfer function from the first input to the output contains 3 poles. Similarly, the second element of np indicates that the transfer function from the second input to the output contains 4 poles.

nz specifies the number of zeros in the estimated transfer function. The first element of nz indicates that the transfer function from the first input to the output contains 1 zero. Similarly, the second element of np indicates that the transfer function from the second input to the output does not contain any zeros.

iodelay specifies the transport delay from the first input to the output as 4 seconds. The transport delay from the second input to the output is specified as 0.6 seconds.

sys is an idtf model containing the estimated transfer function.

Estimate a transfer function describing an unstable system for given data.

Obtain frequency-response data.

For example, use frd to create frequency-response data model for the following system:

$$G = \left[ {\begin{array}{*{20}{c}}&#xA;{\frac{{s + 2}}{{{s^3} + 2{s^2} + 4s + 5}}}\\&#xA;{\frac{5}{{{s^4} + 2{s^3} + {s^2} + s + 1}}}&#xA;\end{array}} \right]$$

Use 100 frequency points, ranging from 0.01 rad/s to 100 rad/s, to obtain the frequency-response data.

G = idtf({[1 2], 5},{[1 2 4 5],[1 2 1 1 1]});
data = idfrd(G,logspace(-2,2,100));

data is an idfrd object containing the continuous-time frequency response for G.

Estimate a transfer function for data.

np = [3 4];
nz = [1 0];
sys = tfest(data,np,nz);

np specifies the number of poles in the estimated transfer function. The first element of np indicates that the transfer function from the first input to the output contains 3 poles. Similarly, the second element of np indicates that the transfer function from the second input to the output contains 4 poles.

nz specifies the number of zeros in the estimated transfer function. The first element of nz indicates that the transfer function from the first input to the output contains 1 zero. Similarly, the second element of nz indicates that the transfer function from the second input to the output does not contain any zeros.

sys is an idtf model containing the estimated transfer function.

pole(sys)
ans =

  -1.5260 + 0.0000i
  -0.2370 + 1.7946i
  -0.2370 - 1.7946i
  -1.4656 + 0.0000i
  -1.0000 + 0.0000i
   0.2328 + 0.7926i
   0.2328 - 0.7926i

sys is an unstable system as verified by the pole display.

Related Examples

More About

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Compatibility

Starting in R2016b, a new algorithm is used for performing transfer function estimation from frequency-domain data. You are likely to see faster and more accurate results with the new algorithm, particularly for data with dynamics over a large range of frequencies and amplitudes. However, the estimation results may not match results from previous releases. To perform estimation using the previous estimation algorithm, append '-R2016a' to the syntax.

For example, suppose that you are estimating a transfer function model with np poles using frequency-domain data, data.

sys = tfest(data,np)

To use the previous estimation algorithm, use the following syntax.

sys = tfest(data,np,'-R2016a')

Algorithms

The details of the estimation algorithms used by tfest vary depending on a variety of factors, including the sampling of the estimated model and the estimation data.

Continuous-Time Transfer Function Estimation Using Time-Domain Data

Parameter Initialization

The estimation algorithm initializes the estimable parameters using the method specified by the InitMethod estimation option. The default method is the Instrument Variable (IV) method.

The State-Variable Filters (SVF) approach and the Generalized Poisson Moment Functions (GPMF) approach to continuous-time parameter estimation use prefiltered data [1] [2]. The constant 1λ in [1] and [2] corresponds to the initialization option (InitOption) field FilterTimeConstant. IV is the simplified refined IV method and is called SRIVC in [3]. This method has a prefilter that is the denominator of the current model, initialized with SVF. This prefilter is iterated up to MaxIter times, until the model change is less than Tolerance. MaxIter and Tolerance are options that you can specify using the InitOption structure. The 'n4sid' initialization option estimates a discrete-time model, using the N4SID estimation algorithm, that it transforms to continuous-time using d2c.

You use tfestOptions to create the option set used to estimate a transfer function.

Parameter Update

The initialized parameters are updated using a nonlinear least-squares search method, specified by the SearchMethod estimation option. The objective of the search method is to minimize the weighted prediction error norm.

Discrete-Time Transfer Function Estimation Using Time-Domain Data

For discrete-time data, tfest uses the same algorithm as oe to determine the numerator and denominator polynomial coefficients. In this algorithm, the initialization is performed using arx, followed by nonlinear least-squares search based updates to minimize a weighted prediction error norm.

Continuous-Time Transfer Function Estimation Using Continuous-Time Frequency-Domain Data

The estimation algorithm performs the following tasks:

  1. Perform a bilinear mapping to transform the domain (frequency grid) of the transfer function. For continuous-time models, the imaginary axis is transformed to the unit disk. For discrete-time models, the original domain unit disk is transformed to another unit disk.

  2. Perform S-K iterations [4] to solve a nonlinear least-squares problem — Consider a multi-input single-output system. The nonlinear least-squares problem is to minimize the loss function:

    minimizeD,Nik=1nf|W(ωk)(y(ωk)i=1nuNi(ωk)D(ωk)ui(ωk))|2

    Here W is a frequency-dependent weight that you specify. D is the denominator of the transfer function model that is to be estimated, and Ni is the numerator corresponding to the ith input. y and u are the measured output and input data, respectively. nf and nu are the number of frequencies and inputs, and w is the frequency. Rearranging the terms gives:

    minimizeD,Nik=1nf|W(ωk)D(ωk)(D(ωk)y(ωk)i=1nuNi(ωk)ui(ωk))|2

    To perform the S-K iterations, the algorithm iteratively solves

    minimizeDm,Ni,mk=1nf|W(ωk)Dm1(ωk)(Dm(ωk)y(ωk)i=1nuNi,m(ωk)ui(ωk))|2

    where m is the current iteration, and Dm-1(ω) is the denominator response identified at the previous iteration. Now each step of the iteration is a linear least-squares problem, where the identified parameters capture the responses Dm(ω) and Ni,m(ω) for i = 1,2,...nu. The iteration is initialized by choosing D0(ω) = 1.

    • The first iteration of the algorithm identifies D1(ω). The D1(ω) and Ni,1(ω) polynomials are expressed in monomial basis.

    • The second and following iterations express the polynomials Dm(ω) and Ni,m(ω) in terms of orthogonal rational basis functions on the unit disk. These basis functions have the form:

      Bj,m(ω)=(1|λj,m1|2qλj,m1)r=0j11(λj,m1)*q(ω)q(ω)λr,m1

      Here λj,m-1 is the jth pole that is identified at the previous step, m-1, of the iteration. λj,m-1* is the complex conjugate of λj,m-1, and q is the frequency-domain variable on the unit disk.

    • The algorithm runs for a maximum of 20 iterations. The iterations are terminated early if the relative change in the value of the loss function is less than 0.001 in the last three iterations.

    If you specify bounds on transfer function coefficients, these bounds correspond to affine constraints on the identified parameters. If you only have equality constraints (fixed transfer function coefficients), the corresponding equality constrained least-squares problem is solved algebraically. To do so, the software computes an orthogonal basis for the null space of the equality constraint matrix, and then solves least-squares problem within this null space. If you have upper or lower bounds on transfer function coefficients, the corresponding inequality constrained least-squares problem is solved using interior-point methods.

  3. Perform linear refinements — The S-K iterations, even when they converge, do not always yield a locally optimal solution. To find a critical point of the optimization problem that may yield a locally optimal solution, a second set of iterations are performed. The critical points are solutions to a set of nonlinear equations. The algorithm searches for a critical point by successively constructing a linear approximation to the nonlinear equations and solving the resulting linear equations in the least-squares sense. The equations are:

    • Equation for the jth denominator parameter:

      0=2k=1nfRe{|W(ωk)|2Bj*(ωk)i=1nuNi,m1*(ωk)ui*(ωk)Dm1*(ωk)|Dm1(ωk)|2(Dm(ωk)y(ωk)i=1nuNi,m(ωk)ui(ωk))}

    • Equation for the jth numerator parameter that corresponds to input l:

      0=2k=1nfRe{|W(ωk)|2Bj*(ωk)ul*(ωk)|Dm1(ωk)|2(Dm(ωk)y(ωk)i=1nuNi,m(ωk)ui(ωk))}

    The first iteration is started with the best solution found for the numerators Ni and denominator D parameters during S-K iterations. Unlike S-K iterations, the basis functions Bj(ω) are not changed at each iteration, the iterations are performed with the basis functions that yielded the best solution in the S-K iterations. As before, the algorithm runs for a maximum of 20 iterations. The iterations are terminated early if the relative change in the value of the loss function is less than 0.001 in the last three iterations.

    If you specify bounds on transfer function coefficients, these bounds are incorporated into the necessary optimality conditions via generalized Lagrange multipliers. The resulting constrained linear least-squares problems are solved using the same methods explained in the S-K iterations step.

  4. Return the transfer function parameters corresponding to the optimal solution — Both the S-K and linear refinement iteration steps do not guarantee an improvement in the loss function value. The algorithm tracks the best parameter value observed during these steps, and returns these values.

  5. Invert the bilinear mapping performed in step 1.

  6. Perform an iterative refinement of the transfer function parameters using the nonlinear least-squares search method specified in the SearchMethod estimation option. This step is implemented in the following situations:

    • When you specify the EnforceStability estimation option as true (stability is requested), and the result of step 5 of this algorithm is an unstable model. The unstable poles are reflected inside the stability boundary and the resulting parameters are iteratively refined. For information about estimation options, see tfestOptions.

    • When you add a regularization penalty to the loss function using the Regularization estimation option. For an example about regularization, see Regularized Identification of Dynamic Systems.

    • You estimate a continuous-time model using discrete-time data (see Discrete-Time Transfer Function Estimation Using Discrete-Time Frequency-Domain Data).

    • You use frequency domain input-output data to identify a multi-input model.

If you are using the estimation algorithm from R2016a or earlier (see Compatibility) for estimating a continuous-time model using continuous-time frequency-domain data, then for continuous-time data and fixed delays, the Output-Error algorithm is used for model estimation. For continuous-time data and free delays, the state-space estimation algorithm is used. In this algorithm, the model coefficients are initialized using the N4SID estimation method. This initialization is followed by nonlinear least-squares search based updates to minimize a weighted prediction error norm.

Discrete-Time Transfer Function Estimation Using Discrete-Time Frequency-Domain Data

The estimation algorithm is the same as for continuous-time transfer function estimation using continuous-time frequency-domain data, except discrete-time data is used.

If you are using the estimation algorithm from R2016a or earlier (see Compatibility), the algorithm is the same as the algorithm for discrete-time transfer function estimation using time-domain data.

    Note:   The software does not support estimation of a discrete-time transfer function using continuous-time frequency-domain data.

Continuous-Time Transfer Function Estimation Using Discrete-Time Frequency-Domain Data

tfest command first estimates a discrete-time model from the discrete-time data. The estimated model is then converted to a continuous-time model using the d2c command. The frequency response of the resulting continuous-time model is then computed over the frequency grid of the estimation data. A continuous-time model of the desired (user-specified) structure is then fit to this frequency response. The estimation algorithm for using the frequency-response data to obtain the continuous-time model is the same as that for continuous-time transfer function estimation using continuous-time data.

If you are using the estimation algorithm from R2016a or earlier (see Compatibility), the state-space estimation algorithm is used for estimating continuous-time models from discrete-time data. In this algorithm, the model coefficients are initialized using the N4SID estimation method. This initialization is followed by nonlinear least-squares search based updates to minimize a weighted prediction error norm.

Delay Estimation

  • When delay values are specified as NaN, they are estimated separate from the model numerator and denominator coefficients, using delayest. The delay values thus determined are treated as fixed values during the iterative update of the model using a nonlinear least-squares search method. Thus, the delay values are not iteratively updated.

  • For an initial model, init_sys, with:

    • init_sys.Structure.IODelay.Value specified as finite values

    • init_sys.Structure.IODelay.Free specified as true

    the initial delay values are left unchanged.

Estimation of delays is often a difficult problem. You should assess the presence and the value of a delay. To do so, use physical insight of the process being modeled and functions such as arxstruc, delayest, and impulseest. For an example of determining input delay, see Model Structure Selection: Determining Model Order and Input Delay.

References

[1] Garnier, H., M. Mensler, and A. Richard. "Continuous-time Model Identification From Sampled Data: Implementation Issues and Performance Evaluation." International Journal of Control, 2003, Vol. 76, Issue 13, pp 1337–1357.

[2] Ljung, L. "Experiments With Identification of Continuous-Time Models." Proceedings of the 15th IFAC Symposium on System Identification. 2009.

[3] Young, P. C. and A.J. Jakeman. "Refined instrumental variable methods of time-series analysis: Part III, extensions." International Journal of Control 31, 1980, pp 741–764.

[4] Drmac, Z., S. Gugercin, and C. Beattie. "Quadrature-based vector fitting for discretized H2 approximation." SIAM Journal on Scientific Computing. Vol. 37, Numer 2, 2014, pp A625–A652.

See Also

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Introduced in R2012a

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