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An overview of Methods for analysis of Identifiability and Observability in Nonlinear State and Parameter Estimation
Steinar M. Elgster Trial Lecture - October 14 2008

Emphasis of this presentation

identifiability and observability in the context of industrial processes, where even simplified models may have 30 or more states. emphasis on recent advances in computational methods (many motivated by applications in systems biology)

Presentation overview
what is identifiability and observability? methods for testing identifiability
structural identifiability practical identifiability

methods for testing observability discussion/conclusions

What is Identifiability and Observability?

Example: An oil well

Unmeasured Measured Pressures and temperature Density Choke Oil,water and gas rates Pipeline Choke opening

Well
Reservoir

un-modeled disturbances internal states (x) Map

input(u)

Internal system dynamics System

output(y)

An open-loop ballistic state estimator Plant

Internal dynamics Model Modeled internal dynamics modeled internal Map states (x) modeled output(y) internal states (x) Map

input(u)

measured output (y

Fitted parameters ()

Closing the loop improves estimates in the face of uncertainty or disturbances

input Plant output input Plant output

state injection term fitted state

parameter injection term fitted parameter Duality

Model Feedback loop State Estimator

Model
Parameter Estimator

Parameter estimation and identifiability

Whether the identification procedure will yield a unique value of the parameter , and/or whether the resulting model is equal to the true system.1 identifiability both a property of the model structure (1) and the data set (2) 1 :
1. no two parameter values should give the same model 2. the data should be informative enough to distinguish between non equal models

1. Ljung,(1999) System Identification: Theory for the user

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State estimation and observability

observability
loosely: is it possible to determine the initial state of a system by observing its input and output over some period? different definitions for nonlinear systems depending on the theoretical approach chosen

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Observability in linear systems

definition: A linear system is observable if any unknown initial state can be determined uniquely by observing inputs and outputs over some time interval observability can be tested for linear systems using linear algebra (for instance by the rank of the observability matrix or Gramian) note that observability does not depend on trajectory for linear systems

1. Ljung,(1999) System Identification: Theory for the user

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Kalman Filter
often used to simultaneously estimate both parameters and states assumes white, zero-mean measurement and process noise,
implies no structural mismatch

requires linear state and measurement models ad-hoc adjustment of noise covariances often required when applied to complex, nonlinear chemical processes
divergence problems often cited(1 and references therein)
1. Wilson, D.I., Agarwal, M, Rippin, D.W.T Experiences implementing the extended Kalman filter on an industrial batch reactor(1998), Computers Chem Engng, Vol 22, No.11, pp.1653-1672

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Flavors of nonlinear filters

Type
Linearized Kalman Filter Extended Kalman Filter

Constrained
Unconstrained Unconstrained

Solution
Explicit Explicit Explicit

Model considered
1.Order local approximation 1. Order local approximation 2.Order local approximation

Unscented Kalman Unconstrained Filter Moving Horizon Estimator Constrained

Numerical Full model

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Parameter estimation a special case of state estimation

theoretically is a special kind of state where the distinction between identifiability and observability may be slightly artificial,
many methods discussed are extendable to both types of analysis parameters are estimated alongside states in Kalman filters in practice anyway...

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Why is observability and identifiability an issue?

less instruments than one would like
extreme pressures, temperatures or inaccessibility

overparametrized models many simplified process models are still nonlinear and have 30 states or more
while linear models can be easily both solved and analyzed analytically, nonlinear process control models can usually not even be solved analytically

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Methods for testing identifiability

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Different methods for different aspects of identifiability

1. a priori structural identifiability
1. sensitivity analysis 2. empirical observability Gramians

2. a posteriori practical identifiability including data

1. asymptotic analysis (local) 2. Alternating Conditional Expectation Algorithm 3. algebraic analysis

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Structural identifiability

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Local Sensitivity Analysis1

which parameters can be uniquely fitted against data? sensitivity matrix:
can rank parameters to find sets which have high sensitivity and low collinearity can be assessed locally and numerically for a range of (u,) for nonlinear systems

1. Lund, B.F. (2005) Rigorous simulation models for improved process operation (PhD thesis)

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Local Sensitivity Analysis(2)

advantage:
based on intuitive principles sensitivity matrices are calculated quickly and easily

disadvantages:
physical insight required to choose candidate operating points (u,) interpreting sensitivity matrices may get technical an iterative approach may be required to find a suitable parameter set linear and local analysis of nonlinear systems

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Empirical Observability Gramians(1)

a linear stable system is observable if the observability Gramian, an energy function, is of full rank applying energy functions directly to nonlinear systems is computationally intensive if nonlinear systems could be linearized, to determine linear observability Gramians, but significant dynamic effects could be neglected empirical Gramians originally introduced for model reduction1
1. Singh, A. K. and Hahn, J. On the use of empirical gramians for controllability and observability analysis. In Proc. 2005 American Control Conference (ACC). Portland,OR, USA, 2005 pp. 140-141

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Regional approximation approximation of analytical Gramian, valid found from for a region simulated reduces to linear Gramian for linear systems perturbations of both observability and identifiability2 nonlinear model

Empirical Observability 1 Gramians(2)

1. J. Hahn, T.F. Edgar, (2002)An improved method for nonlinear model reduction using balancing of empirical gramians, Computers and Chemical Engineering, Vol. 26, 2002, pp. 1379-1397. 2. Geffen, D. (2008) Parameter Identifiability of Biochemcial Reaction Networks in Systems Biolgy (Master Thesis) , Queens University, Ontario

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Practical identifiability

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Asymptotic analysis1
distribution of covariance for
asymptotic analysis (large N) covariance matrix found from a second order Taylor approximation of the model around an specific parameter value quality tag or confidence intervals for fitted parameters estimated from data for linear systems with invertible covariance matrix:

1. Ljung,(1999) System Identification: Theory for the user

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Shortcomings of asymptotic analysis

N is never infinite, it is finite and often small for nonlinear models, analysis is only local
which operating point(s) to analyze?

calculations require inverting matrices which are close to singular if information content is low,
covariance estimates may be inaccurate when covariance is large

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Parameter uncertainty estimates can assess how close to identifiability a model/dataset is

covariance-matrix analysis Leave-Out-Sign-Dominant Correlation Regions1 brute-force computational methods (bootstrapping2)

1. Campi, M.C. and Weyer, E. (2005) Guaranteed non-asymptotic confidence regions in system identification, Automatica, 41(10), 1751-1764 2. Efron, B. and Tibshirani, R. J. (1993) An Introduction to the Bootstrap, Chapmann & Hall

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Alternating Conditional Expectation Algorithm1

principle: non-identifiabilities in nonlinear dynamical model reveal themselves in functional dependencies between parameters
model fitted repeatedly in bootstrapping to data to generate a set of fitted parameters functional dependencies in this set are identified using ACE methods2

1. S. Hengl, C. Kreutz, J. Timmer and T. Maiwald (2007) Data-based identifiability analysis of nonlinear dynamical models,Bioinformatics, Vol. 23 no. 19, pp 26122618 2. Breiman,L. and Friedman,J. (1985) Estimating optimal transformations for multiple regression and correlation. J. Am. Stat. Assoc., 80, 580598.

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Methods for testing observability*

* and identifiability as a special case

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Observability tests in nonlinear systems

directions:
differential geometry: Indistinguishable Dynamics rank condition (not considered) differential algebra: algebraic observability rank condition

note: observability of nonlinear systems will depend on trajectory in general

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Differential algebra: algebraic observability

The state variable xi is observable if there exists an algebraic relation that binds xi to inputs, outputs and a finite number of their derivatives.1 Example2

1. Diop, S. and Fliess, M. On nonlinear observability In Proceedings of the first european control conference (Grenoble, France, July 2-5 1991), C.Commault and coll., vol. 1., Herms, pp.152-157 2. Anguelova 2004, Nonlinear Observability and Identifiability: General Theory and a Case Study of a Kinetic Model for S. cerevisiae (Master Thesis), Chalmers, Gteborg University

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Differential algebra: algebraic observability

the algebraic observability of the system

requires the full rank of matrix, where n is the number of states.1 possible to pinpoint unobservable states by removing columns of matrix and re-calculating rank iteratively
1. Diop, S. and Wang.Y (1993) Equivalence between algebraic observability and local generic observability , in Proc. 32nd Conference on Decision and Control

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Local Algebraic Observability (3)...

for bilinear models, if more than two derivations are required express a model in terms of derivates of y and u, numerical solution may be required (3.order polynomials)

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Computational algebraic observability analysis

symbolic calculations of Lie-derivatives not possible in polynomial time
instead semi-numerical algorithm, implemented in Maple1 applies only to rational control systems specializes parameters to random integer values and inputs to power series of t with integer coefficients achieves polynomial run-time

algorithm output
a positive observability test is always correct a negative observability test is correct with a high probability non-observable states and parameter symmetries determined in exponential time

1. Sedoglavic A. 2002, A probabilistic algorithm to test local algebraic observability in polynomial time, Journal of Symbolic Computation 33:735-755

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Computational algebraic observability analysis(2)

only one application of CAOA found in literature1
case study of kinetic model for metabolic dynamics in biochemistry

Sedoglavic algorithm applied:

21 states, all states measured, ~100 parameters 2 non-identifiable parameters identified two symmetries identified, including 11 parameters, one parameter in each symmetry must be fixed to make model identifiable
1. Anguelova 2004, Nonlinear Observability and Identifiability: General Theory and a Case Study of a Kinetic Model for S. cerevisiae (Master Thesis), Chalmers, Gteborg University

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Determining observability robustness through 1 simulations

observability Jacobian determined for different initial conditions and different parameter values in simulations did not relate findings to individual states
1. Dafis C.J, Nwankpa, C.O. (2005) Characteristics of Degree of Observability Measure for Nonlinear Power Systems, Proc. 38th Hawaii Int. Conf. on System Sciences

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Discussion/Conclusions

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Observability in practice
observability is currently treated as
an on-off property given perfect measurements

in practice states are not equally observable. it would be useful to develop a measure of observability for each individual state which assesses for instance
sensitivity to non-idealness of measurements (noise) sensitivity to operating point/parameter value sensitivity to excitation

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Conclusion
several recent advances in computational methods for observability analysis have been made:
empirical Observability Gramian Sedoglavic algorithm for algebraic observability Alternating Conditional Expectation algorithm

these methods appear well-suited to process control

computing time is cheap turnkey methods: computational methods are not model-specific, applying methods in practice need to be laborious

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Conclusion(2)
application of computational observability analysis in process control
no reference of such applications found in literature advances in field mean that timing may be good for a case study in process control a research topic well-suited to industry-university collaboration (Master thesis topic?) mainly of interest for industry which has design of nonlinear observers for process control as core business (narrow)

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Thank you for your attention