Research Papers

Real-Time Identification of Time-Varying ARMAX Systems Based on Recursive Update of Its Parameters

[+] Author and Article Information
Saied Reza Seydnejad

Department of Electrical Engineering,
Shahid Bahonar University of Kerman,
22 Bahman Boulevard,
Kerman, Iran
e-mail: sseydnejad@uk.ac.ir

Contributed by the Dynamic Systems Division of ASME for publication in the JOURNAL OF DYNAMIC SYSTEMS, MEASUREMENT, AND CONTROL. Manuscript received March 3, 2013; final manuscript received November 28, 2013; published online February 24, 2014. Assoc. Editor: Shankar Coimbatore Subramanian.

J. Dyn. Sys., Meas., Control 136(3), 031017 (Feb 24, 2014) (10 pages) Paper No: DS-13-1095; doi: 10.1115/1.4026341 History: Received March 03, 2013; Revised November 28, 2013

A new method for identification of time-varying ARMAX systems is introduced. This method is based on expansion of time-varying parameters of the ARMAX model onto a set of basis functions. A recursive formulation for updating the coefficients of the basis functions of the time-varying parameters of the system is proposed. Similar to non-real-time basis-function methods, the proposed real-time method has the capability of tracking fast changes in the parameters of a time-varying system much better than the standard Kalman and recursive least-squares (RLS) methods. A computationally efficient version of the algorithm is also presented with a small degradation in tracking properties of the original algorithm. Selection of different types of basis functions makes the new method very flexible for different applications.

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Grahic Jump Location
Fig. 1

Estimated parameters using RPEM method

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Fig. 2

Estimated parameters using PLR method

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Fig. 3

Estimated parameters using the TV-BFM of Eq. (11)

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Fig. 4

Estimated parameters using the STV-BFM of Eqs. (16)–(18)

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Fig. 5

Prediction error of different methods

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Fig. 6

Performance of STV-BFM with different values of λ

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Fig. 7

Performance of STV-BFM with different parameter update rates



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