Research Article  Open Access
Huiyi Hu, Xiao Yongsong, Rui Ding, "MultiInnovation Stochastic Gradient Identification Algorithm for Hammerstein Controlled Autoregressive Autoregressive Systems Based on the Key Term Separation Principle and on the Model Decomposition", Journal of Applied Mathematics, vol. 2013, Article ID 596141, 7 pages, 2013. https://doi.org/10.1155/2013/596141
MultiInnovation Stochastic Gradient Identification Algorithm for Hammerstein Controlled Autoregressive Autoregressive Systems Based on the Key Term Separation Principle and on the Model Decomposition
Abstract
An input nonlinear system is decomposed into two subsystems, one including the parameters of the system model and the other including the parameters of the noise model, and a multiinnovation stochastic gradient algorithm is presented for Hammerstein controlled autoregressive autoregressive (HCARAR) systems based on the key term separation principle and on the model decomposition, in order to improve the convergence speed of the stochastic gradient algorithm. The key term separation principle can simplify the identification model of the input nonlinear system, and the decomposition technique can enhance computational efficiencies of identification algorithms. The simulation results show that the proposed algorithm is effective for estimating the parameters of INCARAR systems.
1. Introduction
There exist many nonlinear systems in process control [1–3]. A nonlinear system can be modeled by input nonlinear systems [4] and output nonlinear systems [5], inputoutput nonlinear systems [6], feedback nonlinear systems [7], and so on. Input nonlinear systems, which are called Hammerstein systems [8], include input nonlinear equation error type systems and input nonlinear output error type systems. Recently, many identification algorithms have been developed for input nonlinear systems, such as the iterative methods [9–11], the separable least squares methods [12, 13], the blind methods [14], the subspace methods [15], and the overparameterization methods [16, 17]. Some methods require paying much extra computation.
The stochastic gradient (SG) algorithm is widely applied to parameter estimation. For example, Wang and Ding presented an extended SG identification algorithm for HammersteinWiener ARMAX systems [18], but it is well known that the SG algorithm has slower convergence rates. In order to improve the convergence rate of the SG algorithm, Xiao et al. presented a multiinnovation stochastic gradient parameter estimation algorithm for input nonlinear controlled autoregressive (INCAR) models using the overparameterization method [19]; Chen et al. proposed a modified stochastic gradient algorithm by introducing a convergence index in order to improve the convergence rate of the parameter estimation [20]; Han and Ding developed a multiinnovation stochastic gradient algorithm for multiinput singleoutput systems [21]; Liu et al. studied the performance of the stochastic gradient algorithm for multivariable systems [22].
The decomposition identification techniques include matrix decomposition and model decomposition. Hu and Ding presented a least squares based iterative identification algorithm for controlled moving average systems using the matrix decomposition [23]; Ding derived an iterative least squares algorithm to estimate the parameters of output error systems, and the matrix decomposition can enhance computational efficiencies [24]. Ding also divided a Hammerstein nonlinear system into two subsystems based on the model decomposition and presented a hierarchical multiinnovation stochastic gradient algorithm for Hammerstein nonlinear systems [25].
This paper discusses identification problems of input nonlinear controlled autoregressive autoregressive (INCARAR) systems or Hammerstein controlled autoregressive autoregressive (HCARAR) systems, which is one kind of input nonlinear equation error type systems. The basic idea is using the key term separation principle [26] and the decomposition technique [24] to derive a multiinnovation stochastic gradient identification algorithm, which is different from the work in [19, 21, 25].
The rest of this paper is organized as follows. Section 2 gives the identification model for the INCARAR systems. Section 3 introduces the SG algorithm for the INCARAR system. Section 4 deduces a multiinnovation SG algorithm for INCARAR system using the decomposition technique. Section 5 provides a numerical example to show the effectiveness of the proposed algorithm. Finally, Section 6 offers some concluding remarks.
2. The System Identification Model
The paper focuses on the parameter estimation of a Hammerstein nonlinear controlled autoregressive autoregressive (HCARAR) system, that is, an input nonlinear controlled autoregressive autoregressive (INCARAR) system, which consists of a nonlinear block and a linear dynamic subsystem. It is worth noting that Xiao and Yue discussed a data filtering based recursive least squares algorithm for HCARAR systems [27] and a multiinnovation stochastic gradient parameter estimation algorithm for input nonlinear controlled autoregressive (INCAR) systems.
An INCARAR system shown as Figure 1 is expressed as [27] where and are the system input and output, is the output of the nonlinear part, and is an uncorrelated stochastic noise with zero mean. Here, is expressed as [28] where and is the parameters vector of the nonlinear part.
In (1), , , and are the polynomials, of known orders , , and , in the unit backward shift operator [], defined by Assume , , and for . , , and are the parameters to be estimated from measured input–output data .
Define the parameter vectors: and the information vectors: Equation (2) can be written as Using the key term separation principle [26], (1) can be written as This is the identification model of the INCARAR system.
3. The Stochastic Gradient Algorithm
According to [1] and based on the identification model in (11), we can obtain the stochastic gradient (SG) algorithm: where represents the estimate of at time ; for example, is the estimate of at time .
4. The MultiInnovation Stochastic Gradient Algorithm
This section deduces the multiinnovation stochastic gradient identification algorithm for the INCARAR system using the decomposition technique [1].
Define two intermediate variables, From (10), we have These two subsystems include the parameter vectors and , respectively. contains the parameters od the system model and contains the parameters od the noise model.
Define the stacked information matrices and the stacked output vectors: According to the multiinnovation identification theory [29–41], we expand the scalar innovations: to the innovation vectors, Define two criterion functions, The gradients of and with respect to and , respectively, are Minimizing and using the negative gradient search, we can obtain the multiinnovation stochastic gradient algorithm (MISG) for the INCARAR system: The initial values can be taken to be , , , and .
5. Numerical Examples
Consider the following INCARAR system: In this example, the input is taken as a persistent excitation signal sequence with zero mean and unit variance and as a white noise sequence with zero mean and variance . Applying the SG algorithm and the MISG algorithm to estimate the parameters of this INCARAR system, the parameter estimates and their estimation errors are shown in Tables 1 and 2 with the data length and the estimation error versus being shown in Figures 2 and 3.


From Tables 1 and 2 and Figures 2 and 3, we can draw the conclusions. The parameters estimation errors become smaller with the data length increasing. The estimation errors given by the MISG algorithm are much smaller than that of the SG algorithm. The convergence speed of the multiinnovation SG algorithm is faster than those of the SG algorithm. These indicate that the MISG algorithm has better performance than the SG algorithm.
6. Conclusions
The gradient and least squares algorithms are two different kinds of important identification methods. It is well known that the gradient algorithm has poor convergence rates. This paper studies the multiinnovation SG identification methods for INCARAR systems. The numerical examples show that the proposed MISG algorithm can estimate effectively the parameters of input nonlinear systems and indicate that increasing the innovation length can improve parameter estimation accuracy of the multiinnovation identification algorithm because the algorithm uses more information in each recursion for a large innovation length. The proposed method can be applied to nonlinear output error systems. Although the algorithm is presented for the INCARAR systems, the basic idea can be extended to other linear or nonlinear systems with colored noises [42–61].
Acknowledgments
This work was supported in part by the National Natural Science Foundation of China (nos. 61273194, 61203111), the University Graduate Scientific Research Innovation Program of Jiangsu Province (CXLX13738), the Fundamental Research Funds for the Central Universities (JUDCF13035), the PAPD of Jiangsu Higher Education Institutions.
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Copyright © 2013 Huiyi Hu et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.