recursiveAR

Create System object for online parameter estimation of AR model

collapse all in page

Syntax

obj = recursiveAR
obj = recursiveAR(na)
obj = recursiveAR(na,A0)
obj = recursiveAR(___,Name,Value)

Description

Use the recursiveAR command for parameter estimation with real-time data. If all data necessary for estimation is available at once, and you are estimating a time-invariant model, use the offline estimation command, ar.

obj = recursiveAR creates a System object™ for online parameter estimation of a default single output AR model structure. The default model structure has a polynomial of order 1 and initial polynomial coefficient value eps.

After creating the object, use the step command to update model parameter estimates using recursive estimation algorithms and real-time data.

obj = recursiveAR(na) specifies the polynomial order of the AR model to be estimated.

obj = recursiveAR(na,A0) specifies the polynomial order and initial values of the polynomial coefficients.

obj = recursiveAR(___,Name,Value) specifies additional attributes of the AR model structure and recursive estimation algorithm using one or more Name,Value pair arguments.

Object Description

recursiveAR creates a System object for online parameter estimation of single output AR models using a recursive estimation algorithm.

A System object is a specialized MATLAB® object designed specifically for implementing and simulating dynamic systems with inputs that change over time. System objects use internal states to store past behavior, which is used in the next computational step.

After you create a System object, you use commands to process data or obtain information from or about the object. System objects use a minimum of two commands to process data — a constructor to create the object and the step command to update object parameters using real-time data. This separation of declaration from execution lets you create multiple, persistent, reusable objects, each with different settings.

You can use the following commands with the online estimation System objects in System Identification Toolbox™:

CommandDescription
step

Update model parameter estimates using recursive estimation algorithms and real-time data.

step puts the object into a locked state. In a locked state, you cannot change any nontunable properties or input specifications, such as model order, data type, or estimation algorithm. During execution, you can only change tunable properties.

release

Unlock the System object. Use this command to enable setting of nontunable parameters.

reset

Reset the internal states of a locked System object to the initial values, and leave the object locked.

clone

Create another System object with the same object property values.

Do not create additional objects using syntax obj2 = obj. Any changes made to the properties of the new object created this way (obj2) also change the properties of the original object (obj).

isLocked

Query locked status for input attributes and nontunable properties of the System object.

Use the recursiveAR command to create an online estimation System object. Then estimate the AR model parameter, A, and output using the step command with output data y.

[A,EstimatedOutput] = step(obj,y)

For recursiveAR object properties, see Properties.

Examples

collapse all

Open Live Script

Create a System object™ for online parameter estimation of an AR model using recursive estimation algorithms.

obj = recursiveAR;

The AR model has a default structure with polynomial of order 1 and initial polynomial coefficient values, eps.

Load the time-series estimation data. In this example, use a static data set for illustration.

load iddata9 z9;
output = z9.y;

Estimate AR model parameters online using step.

for i = 1:numel(output)
[A,EstimatedOutput] = step(obj,output(i));
end

View the current estimated values of polynomial A coefficients.

obj.A
ans = 1×2

    1.0000   -0.9592

View the current covariance estimate of the parameters.

obj.ParameterCovariance
ans = 1.6204e-04

View the current estimated output.

EstimatedOutput
EstimatedOutput = 0.7830
Open Live Script

Specify AR model polynomial order.

na = 2;

Create a System object™ for online estimation of an AR model with the specified polynomial order.

obj = recursiveAR(na);
Open Live Script

Specify AR model order.

na = 2;

Create a System object for online estimation of AR model with known initial polynomial coefficients.

A0 = [1 0.5 0.3];
obj = recursiveAR(na,A0);

Specify the initial parameter covariance.

obj.InitialParameterCovariance = 0.1;

InitialParameterCovariance represents the uncertainty in your guess for the initial parameters. Typically, the default InitialParameterCovariance (10000) is too large relative to the parameter values. This results in initial guesses being given less importance during estimation. If you have confidence in the initial parameter guesses, specify a smaller initial parameter covariance.

Open Live Script

Create a System object that uses the normalized gradient algorithm for online parameter estimation of an AR model.

obj = recursiveAR(2,'EstimationMethod','NormalizedGradient');

Input Arguments

collapse all

Model order of the polynomial A(q) of an AR model, specified as a positive integer.

Initial value of coefficients of the polynomial A(q), specified as a 1-by-(na+1) row vector of real values with 1 as the first element. Specify the coefficients in order of ascending powers of q-1.

Specifying as [], uses the default value of eps for the polynomial coefficients.

Note

If the initial parameter values are much smaller than InitialParameterCovariance, these initial values are given less importance during estimation. Specify a smaller initial parameter covariance if you have high confidence in the initial parameter values. This statement applies only for infinite-history estimation. Finite-history estimation does not use InitialParameterCovariance.

Name-Value Pair Arguments

Specify optional comma-separated pairs of Name,Value arguments. Name is the argument name and Value is the corresponding value. Name must appear inside quotes. You can specify several name and value pair arguments in any order as Name1,Value1,...,NameN,ValueN.

Use Name,Value arguments to specify writable properties of recursiveAR System object during object creation. For example, obj = recursiveAR(2,'EstimationMethod','Gradient') creates a System object to estimate an AR model using the 'Gradient' recursive estimation algorithm.

Properties

recursiveAR System object properties consist of read-only and writable properties. The writable properties are tunable and nontunable properties. The nontunable properties cannot be changed when the object is locked, that is, after you use the step command.

Use Name,Value arguments to specify writable properties of recursiveAR objects during object creation. After object creation, use dot notation to modify the tunable properties.

obj = recursiveAR;
obj.ForgettingFactor = 0.99;

A

Estimated coefficients of polynomial A(q), returned as a row vector of real values specified in order of ascending powers of q-1.

A is a read-only property and is initially empty after you create the object. It is populated after you use the step command for online parameter estimation.

InitialA

Initial values for the coefficients of polynomial A(q) of order na, specified as a row vector of length na+1, with 1 as the first element. Specify the coefficients in order of ascending powers of q-1.

If the initial guesses are much smaller than the default InitialParameterCovariance, 10000, the initial guesses are given less importance during estimation. In that case, specify a smaller initial parameter covariance.

InitialA is a tunable property. You can change it when the object is in a locked state.

Default: [1 eps]

InitialOutputs

Initial values of the outputs buffer in finite-history estimation, specified as 0 or as a (W+na)-by-1 vector, where W is the window length and na is the polynomial order you specify during object construction.

The InitialOutputs property provides a means of controlling the initial behavior of the algorithm.

When InitialOutputs is set to 0, the object populates the buffer with zeros.

If the initial buffer is set to 0 or does not contain enough information, you see a warning message during the initial phase of your estimation. The warning should clear after a few cycles. The number of cycles it takes for sufficient information to be buffered depends upon the order of your polynomials and your input delays. If the warning persists, you should evaluate the content of your signals.

Specify InitialOutputs only when History is Finite.

InitialOutputs is a tunable property. You can change InitialOutputs when the object is in a locked state.

Default: 0

ParameterCovariance

Estimated covariance P of the parameters, returned as an N-by-N symmetric positive-definite matrix. N is the number of parameters to be estimated. The software computes P assuming that the residuals (difference between estimated and measured outputs) are white noise, and the variance of these residuals is 1.

ParameterCovariance is applicable only when EstimationMethod is 'ForgettingFactor' or 'KalmanFilter' or when History is Finite.

The interpretation of P depends on your settings for the History and EstimationMethod properties.

  • If History is Infinite, then your EstimationMethod selection results in one of the following:

    • 'ForgettingFactor' — (R2/2)P is approximately equal to the covariance matrix of the estimated parameters, where R2 is the true variance of the residuals.

    • 'KalmanFilter' — R2P is the covariance matrix of the estimated parameters, and R1 /R2 is the covariance matrix of the parameter changes. Here, R1 is the covariance matrix that you specify in ProcessNoiseCovariance.

  • If History is Finite (sliding-window estimation) — R2P is the covariance of the estimated parameters. The sliding-window algorithm does not use this covariance in the parameter-estimation process. However, the algorithm does compute the covariance for output so that you can use it for statistical evaluation.

ParameterCovariance is a read-only property and is initially empty after you create the object. It is populated after you use the step command for online parameter estimation.

InitialParameterCovariance

Covariance of the initial parameter estimates, specified as one of the following:

  • Real positive scalar, α — Covariance matrix is an N-by-N diagonal matrix, with α as the diagonal elements. N is the number of parameters to be estimated.

  • Vector of real positive scalars, [α1,...,αN] — Covariance matrix is an N-by-N diagonal matrix, with [α1,...,αN] as the diagonal elements.

  • N-by-N symmetric positive-definite matrix.

InitialParameterCovariance represents the uncertainty in the initial parameter estimates. For large values of InitialParameterCovariance, less importance is placed on the initial parameter values and more on the measured data during beginning of estimation using step.

Use only when EstimationMethod is 'ForgettingFactor' or 'KalmanFilter'.

InitialParameterCovariance is a tunable property. You can change it when the object is in a locked state.

Default: 10000

EstimationMethod

Recursive estimation algorithm used for online estimation of model parameters, specified as one of the following values:

  • 'ForgettingFactor' — Algorithm used for parameter estimation

  • 'KalmanFilter' — Algorithm used for parameter estimation

  • 'NormalizedGradient' — Algorithm used for parameter estimation

  • 'Gradient' — Unnormalized gradient algorithm used for parameter estimation

Forgetting factor and Kalman filter algorithms are more computationally intensive than gradient and unnormalized gradient methods. However, they have better convergence properties. For information about these algorithms, see Recursive Algorithms for Online Parameter Estimation.

These methods all use an infinite data history, and are available only when History is 'Infinite'.

EstimationMethod is a nontunable property. You cannot change it during execution, that is, after the object is locked using the step command.

Default: Forgetting Factor

ForgettingFactor

Forgetting factor, λ, relevant for parameter estimation, specified as a scalar in the range (0,1].

Suppose that the system remains approximately constant over T0 samples. You can choose λ such that:

T0=11−λ

  • Setting λ = 1 corresponds to “no forgetting” and estimating constant coefficients.

  • Setting λ < 1 implies that past measurements are less significant for parameter estimation and can be “forgotten”. Set λ < 1 to estimate time-varying coefficients.

Typical choices of λ are in the range [0.98 0.995].

Use only when EstimationMethod is 'ForgettingFactor'.

ForgettingFactor is a tunable property. You can change it when the object is in a locked state.

Default: 1

EnableAdapation

Enable or disable parameter estimation, specified as one of the following:

  • true or 1— The step command estimates the parameter values for that time step and updates the parameter values.

  • false or 0 — The step command does not update the parameters for that time step and instead outputs the last estimated value. You can use this option when your system enters a mode where the parameter values do not vary with time.

    Note

    If you set EnableAdapation to false, you must still execute the step command. Do not skip step to keep parameter values constant, because parameter estimation depends on current and past I/O measurements. step ensures past I/O data is stored, even when it does not update the parameters.

EnableAdapation is a tunable property. You can change it when the object is in a locked state.

Default: true

DataType

Floating point precision of parameters, specified as one of the following values:

  • 'double' — Double-precision floating point

  • 'single' — Single-precision floating point

Setting DataType to 'single' saves memory, but leads to loss of precision. Specify DataType based on the precision required by the target processor where you will deploy generated code.

DataType is a nontunable property. It can only be set during object construction using Name,Value arguments and cannot be changed afterward.

Default: 'double'

ProcessNoiseCovariance

Covariance matrix of parameter variations, specified as one of the following:

  • Real nonnegative scalar, α — Covariance matrix is an N-by-N diagonal matrix, with α as the diagonal elements.

  • Vector of real nonnegative scalars, [α1,...,αN] — Covariance matrix is an N-by-N diagonal matrix, with [α1,...,αN] as the diagonal elements.

  • N-by-N symmetric positive semidefinite matrix.

N is the number of parameters to be estimated.

ProcessNoiseCovariance is applicable when EstimationMethod is 'KalmanFilter'.

Kalman filter algorithm treats the parameters as states of a dynamic system and estimates these parameters using a Kalman filter. ProcessNoiseCovariance is the covariance of the process noise acting on these parameters. Zero values in the noise covariance matrix correspond to estimating constant coefficients. Values larger than 0 correspond to time-varying parameters. Use large values for rapidly changing parameters. However, the larger values result in noisier parameter estimates.

ProcessNoiseCovariance is a tunable property. You can change it when the object is in a locked state.

Default: 0.1

AdaptationGain

Adaptation gain, γ, used in gradient recursive estimation algorithms, specified as a positive scalar.

AdaptationGain is applicable when EstimationMethod is 'Gradient' or 'NormalizedGradient'.

Specify a large value for AdaptationGain when your measurements have a high signal-to-noise ratio.

AdaptationGain is a tunable property. You can change it when the object is in a locked state.

Default: 1

NormalizationBias

Bias in adaptation gain scaling used in the 'NormalizedGradient' method, specified as a nonnegative scalar.

NormalizationBias is applicable when EstimationMethod is 'NormalizedGradient'.

The normalized gradient algorithm divides the adaptation gain at each step by the square of the two-norm of the gradient vector. If the gradient is close to zero, this can cause jumps in the estimated parameters. NormalizationBias is the term introduced in the denominator to prevent these jumps. Increase NormalizationBias if you observe jumps in estimated parameters.

NormalizationBias is a tunable property. You can change it when the object is in a locked state.

Default: eps

History

Data history type defining which type of recursive algorithm you use, specified as:

  • 'Infinite' — Use an algorithm that aims to minimize the error between the observed and predicted outputs for all time steps from the beginning of the simulation.

  • 'Finite' — Use an algorithm that aims to minimize the error between the observed and predicted outputs for a finite number of past time steps.

Algorithms with infinite history aim to produce parameter estimates that explain all data since the start of the simulation. These algorithms still use a fixed amount of memory that does not grow over time. The object provides multiple algorithms of the 'Infinite' History type. Specifying this option activates the EstimationMethod property with which you specify an algorithm.

Algorithms with finite history aim to produce parameter estimates that explain only a finite number of past data samples. This method is also called sliding-window estimation. The object provides one algorithm of the 'Finite' type. Specifying this option activates the WindowLength property that sizes the window.

For more information on recursive estimation methods, see Recursive Algorithms for Online Parameter Estimation.

History is a nontunable property. It can be set only during object construction using Name,Value arguments and cannot be changed afterward.

Default: 'Infinite'

WindowLength

Window size determining the number of time samples to use for the sliding-window estimation method, specified as a positive integer. Specify WindowLength only when History is Finite.

Choose a window size that balances estimation performance with computational and memory burden. Sizing factors include the number and time variance of the parameters in your model. Always specify Window Length in samples, even if you are using frame-based input processing.

WindowLength must be greater than or equal to the number of estimated parameters.

Suitable window length is independent of whether you are using sample-based or frame-based input processing (see InputProcessing). However, when using frame-based processing, your window length must be greater than or equal to the number of samples (time steps) contained in the frame.

WindowLength is a nontunable property. It can be set only during object construction using Name,Value arguments and cannot be changed afterward.

Default: 200

InputProcessing

Option for sample-based or frame-based input processing, specified as a character vector or string.

  • Sample-based processing operates on signals streamed one sample at a time.

  • Frame-based processing operates on signals containing samples from multiple time steps. Many machine sensor interfaces package multiple samples and transmit these samples together in frames. Frame-based processing allows you to input this data directly without having to first unpack it.

Your InputProcessing specification impacts the dimensions for the input and output signals when using the step command: 

[theta,EstimatedOutput] = step(obj,y)

  • Sample-based

    • y and EstimatedOutput are scalars.

    • Frame-based with M samples per frame

      • y and EstimatedOutput are M-by-1 vectors.

InputProcessing is a nontunable property. It can be set only during object construction using Name,Value arguments and cannot be changed afterward.

Default: 'Sample-based'

Output Arguments

collapse all

System object for online parameter estimation of AR model, returned as a recursiveAR System object. This object is created using the specified model orders and properties. Use step command to estimate the coefficients of the AR model polynomials. You can then access the estimated coefficients and parameter covariance using dot notation. For example, type obj.A to view the estimated A polynomial coefficients.

More About

collapse all

AR Model Structure

The AR model structure is:

A(q)y(t)=e(t)

where,

A(q)=1+a1q−1+…+anaq−na

Here,

  • y(t)— Output at time t. Data is a time series that has no input channels and one output channel.

  • na — Number of A polynomial coefficients.

  • e(t) — White-noise disturbance value at time t.

  • q-1 — Time-shift operator.

Tips

  • Starting in R2016b, instead of using the step command to update model parameter estimates, you can call the System object with input arguments, as if it were a function. For example, [A,EstimatedOutput] = step(obj,y) and [A,EstimatedOutput] = obj(y) perform equivalent operations.

Extended Capabilities

See Also

| | | | | | | | | | | |

Topics

Introduced in R2015b

System Identification Toolbox Documentation

Support