octave-control 2.6.2-1build1 / usr / share / octave / packages / control-2.6.2 / arx.m

## Copyright (C) 2009-2014   Lukas F. Reichlin
##
## This file is part of LTI Syncope.
##
## LTI Syncope is free software: you can redistribute it and/or modify
## it under the terms of the GNU General Public License as published by
## the Free Software Foundation, either version 3 of the License, or
## (at your option) any later version.
##
## LTI Syncope is distributed in the hope that it will be useful,
## but WITHOUT ANY WARRANTY; without even the implied warranty of
## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
## GNU General Public License for more details.
##
## You should have received a copy of the GNU General Public License
## along with LTI Syncope.  If not, see <http://www.gnu.org/licenses/>.

## -*- texinfo -*-
## @deftypefn {Function File} {[@var{sys}, @var{x0}] =} arx (@var{dat}, @var{n}, @dots{})
## @deftypefnx {Function File} {[@var{sys}, @var{x0}] =} arx (@var{dat}, @var{n}, @var{opt}, @dots{})
## @deftypefnx {Function File} {[@var{sys}, @var{x0}] =} arx (@var{dat}, @var{opt}, @dots{})
## @deftypefnx {Function File} {[@var{sys}, @var{x0}] =} arx (@var{dat}, @var{'na'}, @var{na}, @var{'nb'}, @var{nb})
## Estimate ARX model using QR factorization.
## @iftex
## @tex
## $$ A(q) \\, y(t) = B(q) \\, u(t) \\, + \\, e(t) $$
## @end tex
## @end iftex
## @ifnottex
##
## @example
## A(q) y(t) = B(q) u(t) + e(t)
## @end example
##
## @end ifnottex
##
## @strong{Inputs}
## @table @var
## @item dat
## iddata identification dataset containing the measurements, i.e. time-domain signals.
## @item n
## The desired order of the resulting model @var{sys}.
## @item @dots{}
## Optional pairs of keys and values.  @code{'key1', value1, 'key2', value2}.
## @item opt
## Optional struct with keys as field names.
## Struct @var{opt} can be created directly or
## by command @command{options}.  @code{opt.key1 = value1, opt.key2 = value2}.
## @end table
##
##
## @strong{Outputs}
## @table @var
## @item sys
## Discrete-time transfer function model.
## If the second output argument @var{x0} is returned,
## @var{sys} becomes a state-space model.
## @item x0
## Initial state vector.  If @var{dat} is a multi-experiment dataset,
## @var{x0} becomes a cell vector containing an initial state vector
## for each experiment.
## @end table
##
##
## @strong{Option Keys and Values}
## @table @var
## @item 'na'
## Order of the polynomial A(q) and number of poles.
##
## @item 'nb'
## Order of the polynomial B(q)+1 and number of zeros+1.
## @var{nb} <= @var{na}.
##
## @item 'nk'
## Input-output delay specified as number of sampling instants.
## Scalar positive integer.  This corresponds to a call to command
## @command{nkshift}, followed by padding the B polynomial with
## @var{nk} leading zeros.
## @end table
##
##
## @strong{Algorithm}@*
## Uses the formulae given in [1] on pages 318-319,
## 'Solving for the LS Estimate by QR Factorization'.
## For the initial conditions, SLICOT IB01CD is used by courtesy of
## @uref{http://www.slicot.org, NICONET e.V.}
##
## @strong{References}@*
## [1] Ljung, L. (1999)
## @cite{System Identification: Theory for the User: Second Edition}.
## Prentice Hall, New Jersey, USA.
##
## @end deftypefn

## Author: Lukas Reichlin <lukas.reichlin@gmail.com>
## Created: April 2012
## Version: 0.1

function [sys, varargout] = arx (dat, varargin)

  ## TODO: delays

  if (nargin < 2)
    print_usage ();
  endif
  
  if (! isa (dat, "iddata") || ! dat.timedomain)
    error ("arx: first argument must be a time-domain iddata dataset");
  endif

  ## p: outputs,  m: inputs,  ex: experiments
  [~, p, m, ex] = size (dat);           # dataset dimensions

  if (is_real_scalar (varargin{1}))     # arx (dat, n, ...)
    varargin = horzcat (varargin(2:end), {"na"}, varargin(1), {"nb"}, varargin(1));
  endif

  if (isstruct (varargin{1}))           # arx (dat, opt, ...), arx (dat, n, opt, ...)
    varargin = horzcat (__opt2cell__ (varargin{1}), varargin(2:end));
  endif

  nkv = numel (varargin);               # number of keys and values
  
  if (rem (nkv, 2))
    error ("arx: keys and values must come in pairs");
  endif

  ## default arguments
  na = [];
  nb = [];
  nk = 0;

  ## handle keys and values
  for k = 1 : 2 : nkv
    key = lower (varargin{k});
    val = varargin{k+1};
    switch (key)
      case "na"
        na = __check_n__ (val, "na");
      case "nb"
        nb = __check_n__ (val, "nb");
      case "nk"
        nk = __check_n__ (val, "nk");
        if (! issample (val, 0))
          error ("arx: channel-wise 'nk' matrices not supported yet");
        endif
      otherwise
        warning ("arx: invalid property name '%s' ignored", key);
    endswitch
  endfor

  if (any (nk(:) != 0))
    dat = nkshift (dat, nk);
  endif

  ## extract data  
  Y = dat.y;
  U = dat.u;
  tsam = dat.tsam;

  ## multi-experiment data requires equal sampling times  
  if (ex > 1 && ! isequal (tsam{:}))
    error ("arx: require equally sampled experiments");
  else
    tsam = tsam{1};
  endif

  if (is_real_scalar (na, nb))
    na = repmat (na, p, 1);                         # na(p-by-1)
    nb = repmat (nb, p, m);                         # nb(p-by-m)
  elseif (! (is_real_vector (na) && is_real_matrix (nb) ...
          && rows (na) == p && rows (nb) == p && columns (nb) == m))
    error ("arx: require na(%dx1) instead of (%dx%d) and nb(%dx%d) instead of (%dx%d)", ...
            p, rows (na), columns (na), p, m, rows (nb), columns (nb));
  endif

  max_nb = max (nb, [], 2);                         # one maximum for each row/output, max_nb(p-by-1)
  n = max (na, max_nb);                             # n(p-by-1)

  ## create empty cells for numerator and denominator polynomials
  num = cell (p, m+p);
  den = cell (p, m+p);

  ## MIMO (p-by-m) models are identified as p MISO (1-by-m) models
  ## For multi-experiment data, minimize the trace of the error
  for i = 1 : p                                     # for every output
    Phi = cell (ex, 1);                             # one regression matrix per experiment
    for e = 1 : ex                                  # for every experiment  
      ## avoid warning: toeplitz: column wins anti-diagonal conflict
      ## therefore set first row element equal to y(1)
      PhiY = toeplitz (Y{e}(1:end-1, i), [Y{e}(1, i); zeros(na(i)-1, 1)]);
      ## create MISO Phi for every experiment
      PhiU = arrayfun (@(x) toeplitz (U{e}(1:end-1, x), [U{e}(1, x); zeros(nb(i,x)-1, 1)]), 1:m, "uniformoutput", false);
      Phi{e} = (horzcat (-PhiY, PhiU{:}))(n(i):end, :);
    endfor

    ## compute parameter vector Theta
    Theta = __theta__ (Phi, Y, i, n);

    ## extract polynomial matrices A and B from Theta
    ## A is a scalar polynomial for output i, i=1:p
    ## B is polynomial row vector (1-by-m) for output i
    A = [1; Theta(1:na(i))];                                # a0 = 1, a1 = Theta(1), an = Theta(n)
    ThetaB = Theta(na(i)+1:end);                            # all polynomials from B are in one column vector
    B = mat2cell (ThetaB, nb(i,:));                         # now separate the polynomials, one for each input
    B = reshape (B, 1, []);                                 # make B a row cell (1-by-m)
    B = cellfun (@(B) [zeros(1+nk, 1); B], B, "uniformoutput", false);  # b0 = 0 (leading zero required by filt)

    ## add error inputs
    Be = repmat ({0}, 1, p);                                # there are as many error inputs as system outputs (p)
    Be(i) = [zeros(1,nk), 1];                               # inputs m+1:m+p are zero, except m+i which is one
    num(i, :) = [B, Be];                                    # numerator polynomials for output i, individual for each input
    den(i, :) = repmat ({A}, 1, m+p);                       # in a row (output i), all inputs have the same denominator polynomial
  endfor

  ## A(q) y(t) = B(q) u(t) + e(t)
  ## there is only one A per row
  ## B(z) and A(z) are a Matrix Fraction Description (MFD)
  ## y = A^-1(q) B(q) u(t) + A^-1(q) e(t)
  ## since A(q) is a diagonal polynomial matrix, its inverse is trivial:
  ## the corresponding transfer function has common row denominators.

  sys = filt (num, den, tsam);                              # filt creates a transfer function in z^-1

  ## compute initial state vector x0 if requested
  ## this makes only sense for state-space models, therefore convert TF to SS
  if (nargout > 1)
    sys = prescale (ss (sys(:,1:m)));
    x0 = __sl_ib01cd__ (Y, U, sys.a, sys.b, sys.c, sys.d, 0.0);
    ## return x0 as vector for single-experiment data
    ## instead of a cell containing one vector
    if (numel (x0) == 1)
      x0 = x0{1};
    endif
    varargout{1} = x0;
  endif

endfunction


function Theta = __theta__ (Phi, Y, i, n)
    
  if (numel (Phi) == 1)                             # single-experiment dataset
    ## use "square-root algorithm"
    A = horzcat (Phi{1}, Y{1}(n(i)+1:end, i));      # [Phi, Y]
    R0 = triu (qr (A, 0));                          # 0 for economy-size R (without zero rows)
    R1 = R0(1:end-1, 1:end-1);                      # R1 is triangular - can we exploit this in R1\R2?
    R2 = R0(1:end-1, end);
    Theta = __ls_svd__ (R1, R2);                    # R1 \ R2
    
    ## Theta = Phi \ Y(n+1:end, :);                 # naive formula
    ## Theta = __ls_svd__ (Phi{1}, Y{1}(n(i)+1:end, i));
  else                                              # multi-experiment dataset
    ## TODO: find more sophisticated formula than
    ## Theta = (Phi1' Phi1 + Phi2' Phi2 + ...) \ (Phi1' Y1 + Phi2' Y2 + ...)
    
    ## covariance matrix C = (Phi1' Phi + Phi2' Phi2 + ...)
    tmp = cellfun (@(Phi) Phi.' * Phi, Phi, "uniformoutput", false);
    ## rc = cellfun (@rcond, tmp);                     # also test C? QR or SVD?
    C = plus (tmp{:});

    ## PhiTY = (Phi1' Y1 + Phi2' Y2 + ...)
    tmp = cellfun (@(Phi, Y) Phi.' * Y(n(i)+1:end, i), Phi, Y, "uniformoutput", false);
    PhiTY = plus (tmp{:});
    
    ## pseudoinverse  Theta = C \ Phi'Y
    Theta = __ls_svd__ (C, PhiTY);
  endif
  
endfunction


function x = __ls_svd__ (A, b)

  ## solve the problem Ax=b
  ## x = A\b  would also work,
  ## but this way we have better control and warnings

  ## solve linear least squares problem by pseudoinverse
  ## the pseudoinverse is computed by singular value decomposition
  ## M = U S V*  --->  M+ = V S+ U*
  ## Th = Ph \ Y = Ph+ Y
  ## Th = V S+ U* Y,   S+ = 1 ./ diag (S)

  [U, S, V] = svd (A, 0);                           # 0 for "economy size" decomposition
  S = diag (S);                                     # extract main diagonal
  r = sum (S > eps*S(1));
  if (r < length (S))
    warning ("arx: rank-deficient coefficient matrix");
    warning ("sampling time too small");
    warning ("persistence of excitation");
  endif
  V = V(:, 1:r);
  S = S(1:r);
  U = U(:, 1:r);
  x = V * (S .\ (U' * b));                          # U' is the conjugate transpose

endfunction


function val = __check_n__ (val, str = "n")
  
  if (! is_real_matrix (val) || fix (val) != val)
    error ("arx: argument '%s' must be a positive integer", str);
  endif

endfunction