CHEE825

System Identification
J. McLellan
Fall 2005
 Module 1:
Introduction and Motivation
What do dynamic data look like?

Time Series Plot of Industrial Data

7

0 var1
#1 # 301 # 601 # 901 # 1201 # 1501 # 1801 # 2101 var2
# 151 # 451 # 751 # 1051 # 1351 # 1651 # 1951

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Example - Average Weekly Gasoline Prices in the U.S.

Overlay Plot

avg_usa_gas

4/15/92 8/15/97
12/15/86 12/15/02
date

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Example - Gasoline Prices

• How can we model this?

• Inputs?
• Inertia?
• Continuous vs. discrete time?
The Time Series model framework
– Structure
– Lagged regression perspective

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Outline

• dynamic models
» role
» sources of variability and need for disturbance models
» components in data
• statistical properties of a model - sensor analogy
• making a link to linear regression
» problem formulation and assumptions
» parameter estimates + properties
» role of experimental design
• motivating example - 1st order process
» “lagged regression” problem
» impact of non-ideality in disturbances - serial correlation

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Role of Dynamic Models

• process characterization
» analysis of process dynamics
» analysis of disturbance dynamics
• process control
» loop configuration and tuning (e.g., PID control)
» model-based control algorithms
• cf. Internal Model Control (IMC) formalism
• minimum variance control (MVC)
• model predictive control (MPC) - e.g., Dynamic Matrix Control
• process monitoring
» controller performance assessment, process tracking

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Control Applications

• models implemented as
» step response models - primarily for MPC
» impulse response models - MPC
» transfer functions - MVC, IMC, occasionally MPC
• range of disturbance estimation approaches
» “step” disturbances - compare predicted vs. current
measured value - e.g., in MPC
» time series approaches
• MPC reference - survey of Badgwell and Qin

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Sources of Variability

• process disturbances
– “internal”
• flow fluctuations
• deterioration - e.g., channeling in a reactor
– “external”
• from upstream units
• ambient conditions - e.g., air temperature
• operator interventions

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Sources of Variability

• instrumentation and measurements

» electronic noise
» physical location of instrument
• single thermocouple for tank - impact of mixing
• sampling - e.g., for gas chromatograph
• models and process representation
» unmodeled components become lumped as
disturbances
• e.g., ignoring radial profiles in a reactor
» model simplification
» “ignored” dynamic behaviour

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Steady-State Data

• no time variation
• does this mean the time trace is a straight line?
– no - we have noise !
– focus on whether variability patterns (distributions) are
changing
– is mean value constant?
– is variance constant?

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Components in Data

• deterministic
– non-random relationships
– physical relationships
» e.g., energy/material balance relationships in column
influence composition in overhead
• stochastic
– random fluctuations - variability pattern
– frequently disturbances
– can evolve in time

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The Task of Dynamic Model Building

partitioning process data into a deterministic component

(the process) and a stochastic component (the
disturbance)

time series
model

process disturbance

transfer
function
model
?
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Dynamic vs. Steady State Disturbance Cases

Static (steady state) Disturbance Dynamic

Disturbance

no consistent local trends local trends

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 Example - Random Shocks into a Tank

• consider tank and vary the time

AR parameter of 0.3 AR parameter of 0.6
constant 4 5
» approach an integrator 2
• transfer function

output
output
0 0

-2
1 -4 -5
−1 0 100 200 300 0 100 200 300
1 −dz AR parameter of 0.9 Non-stationary
• referred to as an 10 20

“autoregressive” (AR) time 5 10

series model
output

output
0 0
» “d” is the AR parameter
-5 -10

-10 -20
0 100 200 300 0 100 200 300
Note the vertical scales of the plots time time

chee825 - Fall 2005 J. McLellan 18

 Example – Industrial Step Response Data

• Deterministic component
» Step response

• Limited amount of noise

some variability
– Variation about the step
about deterministic
response
trend

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Outline

• dynamic models
» role
» sources of variability and need for disturbance models
» components in data
• statistical properties of a model - sensor analogy
• making a link to linear regression
» problem formulation and assumptions
» parameter estimates + properties
» role of experimental design
• motivating example - 1st order process
» “lagged regression” problem
» impact of non-ideality in disturbances - serial correlation

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Sensor Analogy

• hard sensor - e.g., thermocouple

– consider accuracy and reproducibility/precision
• accuracy
» is there persistent bias?
» where is the mean of the readings relative to true value?
• reproducibility
» how consistent are the measurements?
» variability of the sensor

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Sensor Accuracy

number of
samples

value
sensor avg true value

bias
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Sensor Reproducibility

number of better consistency

samples

poor consistency

value

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How does accuracy apply to dynamic models?

Bias in model predictions due to

» incorrect model form
• for process component
• for disturbance component
» poor data
• experiment too short
• inadequate dynamic content in MV signal
» violation of model estimation assumptions
• white noise (uncorrelated) vs. correlated noise present

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How does reproducibility apply to dynamic models?
• consistency of the predictions
» consistency = variability
• arises from uncertainty associated with the parameter estimates

y$t = a$1 yt −1 + b$0 ut −2

= “+”

parameter 1 parameter 2

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How does reproducibility apply to dynamic models?


variability associated with parameter estimates is
influenced by data collection, model structure

form of summation dictated by model type

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Outline

• dynamic models
» role
» sources of variability and need for disturbance models
» components in data
• statistical properties of a model - sensor analogy
• making a link to linear regression
» problem formulation and assumptions
» parameter estimates + properties
» role of experimental design
• motivating example - 1st order process
» “lagged regression” problem
» impact of non-ideality in disturbances - serial correlation

chee825 - Fall 2005 J. McLellan 27

Linear Regression Model

Y = β 0 + β1x + ε

response
regressor “noise”
“input” (disturbance)
Given -
• N sets of (x,y) data
• estimate parameters

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Least Squares Estimation

Minimize sum of squared prediction errors

o
responses
o o o
o

o
x
N N 2 2
min ∑ ( yi − y
$i) = ∑ ei
β0,β1i=1 i=1
chee825 - Fall 2005 J. McLellan 29
Linear Regression Assumptions

• independent noise at each measurement point

• normally distributed noise
• constant variability patterns
– mean, variance
– independent, identically distributed (IID) Normal
» noise is white
» constant distribution
» no trends

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Matrix Formulation - Linear Case

Model
Y = Xβ + Ε
Least squares estimates

$ T −1 T
β = (X X ) X Y

operating points
for msmts. observations
“design matrix”

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Interpretation - Columns of X

– values of a given variable at different operating points -

– entries in XTX
» dot products of vectors of regressor variable values
» related to correlation between regressor variables
– form of XTX is dictated by experimental design
• e.g., 2k design - diagonal form

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Parameter Estimation - Graphical View

approximating observation vector residual

vector
observations y

y$

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Parameter Estimation - Nonlinear Regression Case

approximating observation vector residual

vector
observations y

y$

model surface
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Properties of LS Parameter Estimates

Key Point - parameter estimates are random variables

» because of how stochastic variation in data propagates
through estimation calculations
» parameter estimates have a variability pattern -
probability distribution and density functions
Unbiased
E{β$} = β
» “average” of repeated data collection / estimation
sequences will be true value of parameter vector

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Properties of Parameter Estimates

Consistent
» behaviour as number of data points tends to infinity
» with probability 1,
lim β$ = β
N→ ∞
» distribution narrows as N becomes large
Efficient
» variance of least squares estimates is less than that of
other types of parameter estimates

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Properties of Parameter Estimates

Covariance Structure
» summarized by variance-covariance matrix

Cov( β$) = ( X T X ) −1σ 2

structure dictated by variance of

experimental design noise

$ ⎡ Var ( β$0) Cov ( β$0, β$1) ⎤

Cov ( β ) = ⎢ ⎥
⎣Cov ( $ , $ ) Var ( $ )
β0 1 β β1 ⎦

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Prediction Variance

… in matrix form -

var( y$k ) = xTk ( X T X ) −1xk σ 2

where x k is vector of conditions at k-th data point

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Joint Confidence Regions

Variability in data can affect parameter estimates jointly

depending on structure of data and model
section of sum of
squares
(or likelihood)
β 2 function

β1
marginal confidence limits
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Role of Experimental Design

• role of regressor values in data set is clearly seen from

covariance and prediction variance expressions
• choose experimental factor levels to -
» produce uncorrelated parameter estimates
• XTX will be diagonal
» minimize parameter estimate variances
» minimize prediction variance

chee825 - Fall 2005 J. McLellan 40

Outline

• dynamic models
» role
» sources of variability and need for disturbance models
» components in data
• statistical properties of a model - sensor analogy
• making a link to linear regression
» problem formulation and assumptions
» parameter estimates + properties
» role of experimental design
• motivating example - 1st order process
» “lagged regression” problem
» impact of non-ideality in disturbances - serial correlation

chee825 - Fall 2005 J. McLellan 41

Hot Oil Tank

TI

TIC
Input Sequence
Step

OR
PRBS FI

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Process Model #1

In difference equation form:

yt = h1ut −1 + h2ut −2 + h3ut −3 + h4ut −4 + et

» impulse response model with additive white noise white
noise
» current output depends on past control moves
» noise structure satisfies assumptions of standard
regression
» for deterministic input, matches standard regression
problem
– deterministic = non-random

In all cases, the et ‘s are independent, identically distributed

Gaussian (Normal) random shocks
chee825 - Fall 2005 J. McLellan 43
Formulation as Linear Regression Problem

⎡ y5 ⎤ ⎡ u4 u3 u2 u1 ⎤⎡h1 ⎤ ⎡ e5 ⎤
⎢y ⎥ ⎢ u u4 u3 u2 ⎥⎢h2 ⎥ ⎢ e6 ⎥
6
⎢ ⎥= ⎢ 5 ⎥⎢ ⎥ + ⎢ ⎥
⎢ M⎥ ⎢ M ⎥⎢h3 ⎥ ⎢ M⎥
⎢y ⎥ ⎢u u N −4 ⎥⎢h ⎥ ⎢e ⎥
⎣ N ⎦ ⎣ N −1 u N −2 u N −3 ⎦⎣ 4 ⎦ ⎣ N ⎦

Y = UH +E
matrix of uncorrelated
T −1 T
deterministic H$ = (U U ) U Y (white)
elements noise
impulse weights as
chee825 - Fall 2005 J. McLellan regression parameters 44
Properties of Impulse Estimates - Case #1

In this scenario, the impulse weight estimates are:

» unbiased
» consistent
» best linear unbiased estimator
» essentially, possess standard properties of least squares
linear regression estimates
» if input is white noise, the analysis is more complex
• prove properties by examining dependence of estimates on
stochastic inputs

chee825 - Fall 2005 J. McLellan 45

Process Model #2

In difference equation form:

yt = a1yt −1 + b1ut −1 + et
» AutoRegressive with eXogenous input (ARX) model
» dependence of current temperature on temperature at
previous sample time
» dependence of current disturbance component on value
at previous time - disturbance is no longer simply white
noise
» inertia in disturbance exactly matches that in process

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 Another look at the Autoregressive disturbance

• Known as an AR(1) disturbance

AR parameter of 0.3 AR parameter of 0.6
– 1st order 4 5
• transfer function 2

output
output
1 0 0

-2
−1
1 −dz -4
0 100 200 300
-5
0 100 200 300
• referred to as an AR parameter of 0.9 Non-stationary
“autoregressive” (AR) time 10 20
series model 5 10
» “d” is the AR parameter
output

output
0 0

-5 -10

-10 -20
0 100 200 300 0 100 200 300
Note the vertical scales of the plots time time

chee825 - Fall 2005 J. McLellan 47

Process Model #2

In transfer function form:

(1 −a1q−1 ) yt = b1q−1ut + et
OR
b1q −1 1
yt = ut + et
(1−a1q −1) (1−a1q −1)
{
chee825 - Fall 2005
process

{
J. McLellan
disturbance
dependence of process and
disturbance on previous
values is the same 48
Formulation as Linear Regression Problem

⎡ y2 ⎤ ⎡ y1 u1 ⎤ ⎡ e2 ⎤
⎢y ⎥ ⎢ y u ⎥a ⎢e ⎥
⎢ 3 ⎥= ⎢ 2 2 ⎥⎡ 1 ⎤ ⎢ 3 ⎥
⎢ ⎥ +
⎢ M⎥ ⎢ M M ⎥⎣b1 ⎦ ⎢ M⎥
⎢y ⎥ ⎢y u ⎥ ⎢e ⎥
⎣ N ⎦ ⎣ N −1 N −1 ⎦ ⎣ N⎦

regressor matrix now

contains random
elements
Y = Φθ + E noise satisfies
regression
θ$= (Φ T Φ)−1 Φ T Y assumptions
chee825 - Fall 2005 J. McLellan 49
Properties of the Estimates - Case #2

In this case, the coefficient estimates are:

» consistent
» asymptotically unbiased
» properties proved by examining dependence of the
estimates on the lagged outputs - “stochastic regressor
elements”
» key point is the manner in which disturbance appears
relative to process dynamics - same autoregressive
dynamics (denominator term)

chee825 - Fall 2005 J. McLellan 50

Process Model #3

nt
In difference equation form:

yt = a1yt −1 + b1ut −1 + et −a1et −1

» Output Error model-
» dependence of current temperature on temperature at
previous sample time
» form of immediate dependence of current disturbance
component on value at previous time cancels process
inertia term
» scenario - disturbance free process output with added
white noise added - “measurement noise” model

chee825 - Fall 2005 J. McLellan 51

Process Model #3

nt
In transfer function form:

(1 −a1q−1 ) yt = b1q−1ut + (1 −a1q−1 )et

OR
b1q −1
yt = ut + et
(1−a1q −1)
{
{
process disturbance

chee825 - Fall 2005 J. McLellan 52

Formulation as Linear Regression Problem

⎡ y2 ⎤ ⎡ y1 u1 ⎤ ⎡ n2 ⎤
⎢y ⎥ ⎢ y u ⎥a ⎢n ⎥
⎢ 3 ⎥= ⎢ 2 2 ⎥⎡ 1 ⎤ ⎢ 3 ⎥
⎢ ⎥ +
⎢ M⎥ ⎢ M M ⎥⎣b1 ⎦ ⎢ M⎥
⎢y ⎥ ⎢y u ⎥ ⎢n ⎥
⎣ N ⎦ ⎣ N −1 N −1 ⎦ ⎣ N⎦

regressor matrix now

contains random
elements noise no longer satisfies
Y = Φθ + E regression assumptions
- dependence on
θ$= (Φ T Φ)−1 Φ T Y previous shocks

chee825 - Fall 2005 J. McLellan 53

Properties of the Estimates - Case #3

In this case, the coefficient estimates are:

» biased
» not consistent
» likely to have poor precision - variance

chee825 - Fall 2005 J. McLellan 54

Conclusions

• need framework to investigate dynamics of disturbances and

process components, and how random components influence
estimation method and properties of estimates
• standard least squares estimation not always best approach -
need to examine validity of assumptions, particularly nature of
the disturbances

chee825 - Fall 2005 J. McLellan 55