Recursive Least Squares Parameter

Estimation for Linear Steady State and

Dynamic Models

Thomas F. Edgar
Department of Chemical Engineering
University of Texas
Austin, TX 78712

Thomas F. Edgar (UT-Austin) RLS Linear Models Virtual Control Book 12/06 1
 Outline
Static model, sequential estimation
Multivariate sequential estimation
Example
Dynamic discrete-time model
Closed-loop estimation

Thomas F. Edgar (UT-Austin) RLS Linear Models Virtual Control Book 12/06 2
 Least Squares Parameter Estimation

Linear Time Series Models

ref: PC Young, Control Engr., p. 119, Oct, 1969

scalar example (no dynamics)

model y = ax
data y * ax : error

least squares estimate of a: (a )

k
min
a ax
i 1
y
i i
* 2
(1)

Thomas F. Edgar (UT-Austin) RLS Linear Models Virtual Control Book 12/06 3
 Simple Example

The analytical solution for the minimum (least squares) estimate is

1
k
2 k
*
ak xi xi yi (2)
14
i 1
2 43 14i 1
2 43
pk bk

pk, bk are functions of the number of samples

This is the non-sequential form or non-recursive

form

Thomas F. Edgar (UT-Austin) RLS Linear Models Virtual Control Book 12/06 4
 Sequential or Recursive Form

To update ak based on a new data pt. (yi , xi), in Eq. (2) let
k
pk 1
xi 2 pk 11 xk 2 (3)
i 1

and k
bk xi y i * bk 1 xk y k * (4)
i 1

Thomas F. Edgar (UT-Austin) RLS Linear Models Virtual Control Book 12/06 5
 Recursive Form for Parameter Estimation

ak ak 1 K k xk ak 1 y k * (5)
1 44 2 4 43
estimation error
where

1
K k pk 1xk 1 pk 1xk 2
(6)

To start the algorithm, need initial estimates a0

and p0. To update p,

1
pk pk 1 p k 1
2
xk 1 pk 1xk
2 2
(7)

(Set p0 = large positive number)

Eqn. (7) shows pk is decreasing with k

Thomas F. Edgar (UT-Austin) RLS Linear Models Virtual Control Book 12/06 6
 Estimating Multiple Parameters
(Steady State Model)

T
y x a a1x1 a2 x2 L an x n (8)

2
min k
i
a i 1
xT

a y i
*
(non-sequential solution requires
n x n inverse)

To obtain a recursive form for a,

1 1 T
Pk P k 1 x k x k (9)
B k B k 1 x k y k * (10)

Thomas F. Edgar (UT-Austin) RLS Linear Models Virtual Control Book 12/06 7
 Recursive Solution

1
T T
a k a k 1 P k 1 x k 1 x k P k 1 x k x k a k 1 y k * (11)
1 4 4 4 4 2 4 4 4 43 1 4 4 2 4 43
Kk estimation
error

1
P k P k 1 P k 1 x k 1 x k P k 1 x k
T T
x k P k 1 (12)

need to assume a 0 (vector) P11 0

P0 P22

P0 (diagonal matrix)
0 Pnn
Pii large

Thomas F. Edgar (UT-Austin) RLS Linear Models Virtual Control Book 12/06 8
 Simple Example (Estimate Slope & Intercept)
Linear parametric model
input, u 0 1 2 3 4 10 12 18
output, y 5.71 9 15 19 20 45 55 78
y = a1 + a2 u

Thomas F. Edgar (UT-Austin) RLS Linear Models Virtual Control Book 12/06 9
 Sequential vs. Non-sequential Covariance Matrix vs. Number
Estimation of a2 Only (a1 = 0) of Samples Using Eq. (12)

Thomas F. Edgar (UT-Austin) RLS Linear Models Virtual Control Book 12/06 10
 Sequential Estimation of a1 and a2 Using Eq. (11)

Thomas F. Edgar (UT-Austin) RLS Linear Models Virtual Control Book 12/06 11
Application to Digital Model and Feedback Control

Linear Discrete Model with Time Delay:

y (t ) a1y (t 1) a2 y (t 2) L an y (t n )

b1u(t 1 N ) b2u(t 2 N ) L br u(t r N ) d (13)

y: output u: input d: disturbance N: time delay

Thomas F. Edgar (UT-Austin) RLS Linear Models Virtual Control Book 12/06 12
 Recursive Least Squares Solution

y (t ) T (t 1) (t 1) (t ) (14)

where
T (t 1) [ y (t 1), y (t 2),. . . y(t n ),
u(t 1 N ),. . . u(t r N ), 1]
T (t 1) [a1, a2 ,. . . an , b1, b2, . . . br , d ].
min t 2
14 (4i 441)2(i4) 4y4(i )43
T
(15)
i 1
"least squares"
(predicted value of y)

(t ) (t 1) P (t ) (t 1)[ y (t ) T (t 1)(t 1)] (16)

Thomas F. Edgar (UT-Austin) RLS Linear Models Virtual Control Book 12/06 14
 Recursive Least Squares Solution

P (t ) P (t 1) P (t 1) (t 1)[ T (t 1)P (t 1) (t 1) 1]1

T (t 1)P (t 1) (17)

P (t 1) (t 1)
K (t ) (18)
1 T (t 1)P (t 1) (t 1)

P (t ) [I K (t ) T (t 1)]P (t 1) (19)

(t ) (t 1) K (t )[ y (t ) y (t )] (20)

K: Kalman filter gain

Thomas F. Edgar (UT-Austin) RLS Linear Models Virtual Control Book 12/06 15
 Closed-Loop RLS Estimation

There are three practical considerations in

implementation of parameter estimation algorithms

- covariance resetting

- variable forgetting factor

- use of perturbation signal

Thomas F. Edgar (UT-Austin) RLS Linear Models Virtual Control Book 12/06 16
 Enhance sensitivity of least squares estimation algorithms
with forgetting factor
t 2

J ( (t )) t i T (i 1) (i ) y (i ) (21)
i 1
1
P (t ) [P (t 1) P (t 1) (t 1)[ T (t 1)P (t 1) (t 1) ] 1.

T (t 1)P (t 1)] (22)

(t ) (t 1) P (t ) (t 1)[ y (t ) T (t 1)(t 1)] (23)

prevents elements of P from becoming too small

(improves sensitivity) but noise may lead to incorrect
parameter estimates
0 < < 1.0 1.0 all data weighted equally
~ 0.98 typical

Thomas F. Edgar (UT-Austin) RLS Linear Models Virtual Control Book 12/06 17
 Closed-Loop Estimation (RLS)
Perturbation signal is added to process input (via set point)
to excite process dynamics
large signal: good parameter estimates
but large errors in process output

small signal: better control but more sensitivity to noise

Guidelines: Vogel and Edgar, Comp. Chem. Engr., Vol. 12,

pp. 15-26 (1988)
1. set forgetting factor = 1.0

2. use covariance resetting (add diagonal matrix D to P

when tr (P) becomes small)

Thomas F. Edgar (UT-Austin) RLS Linear Models Virtual Control Book 12/06 18
3. use PRBS perturbation signal only when
estimation error is large and P is not small.
Vary PRBS amplitude with size of elements
proportional to tr (P).
4. P(0) = 104 I

5. filter new parameter estimates

c (k ) c (k 1) (1 ) ( k )
: tuning parameter
(c used by controller)

6. Use other diagnostic checks such as the sign of the

computed process gain

Thomas F. Edgar (UT-Austin) RLS Linear Models Virtual Control Book 12/06 19