Documentation

polyest

Estimate polynomial model using time- or frequency-domain data

Syntax

sys = polyest(data,[na nb nc nd nf nk])
sys = polyest(data,[na nb nc nd nf nk],Name,Value)
sys = polyest(data,init_sys)
sys = polyest(___, opt)

Description

sys = polyest(data,[na nb nc nd nf nk]) estimates a polynomial model, sys, using the time- or frequency-domain data, data.

sys is of the form

A(q)y(t)=B(q)F(q)u(tnk)+C(q)D(q)e(t)

A(q), B(q), F(q), C(q) and D(q) are polynomial matrices. u(t) is the input, and nk is the input delay. y(t) is the output and e(t) is the disturbance signal. na ,nb, nc, nd and nf are the orders of the A(q), B(q), C(q), D(q) and F(q) polynomials, respectively.

sys = polyest(data,[na nb nc nd nf nk],Name,Value) estimates a polynomial model with additional attributes of the estimated model structure specified by one or more Name,Value pair arguments.

sys = polyest(data,init_sys) estimates a polynomial model using the linear system init_sys to configure the initial parameterization.

sys = polyest(___, opt) estimates a polynomial model using the option set, opt, to specify estimation behavior.

Input Arguments

data

Estimation data.

For time-domain estimation, data is an iddata object containing the input and output signal values.

You can estimate only discrete-time models using time-domain data. For estimating continuous-time models using time-domain data, see tfest.

For frequency-domain estimation, data can be one of the following:

  • Recorded frequency response data (frd or idfrd)

  • iddata object with its properties specified as follows:

    • InputData — Fourier transform of the input signal

    • OutputData — Fourier transform of the output signal

    • Domain — ‘Frequency'

    It may be more convenient to use oe or tfest to estimate a model for frequency-domain data.

na

Order of the polynomial A(q).

na is an Ny-by-Ny matrix of nonnegative integers. Ny is the number of outputs, and Nu is the number of inputs.

na must be zero if you are estimating a model using frequency-domain data.

nb

Order of the polynomial B(q) + 1.

nb is an Ny-by-Nu matrix of nonnegative integers. Ny is the number of outputs, and Nu is the number of inputs.

nc

Order of the polynomial C(q).

nc is a column vector of nonnegative integers of length Ny. Ny is the number of outputs.

nc must be zero if you are estimating a model using frequency-domain data.

nd

Order of the polynomial D(q).

nd is a column vector of nonnegative integers of length Ny. Ny is the number of outputs.

nd must be zero if you are estimating a model using frequency-domain data.

nf

Order of the polynomial F(q).

nf is an Ny-by-Nu matrix of nonnegative integers. Ny is the number of outputs, and Nu is the number of inputs.

nk

Input delay in number of samples, expressed as fixed leading zeros of the B polynomial.

nk is an Ny-by-Nu matrix of nonnegative integers.

nk must be zero when estimating a continuous-time model.

opt

Estimation options.

opt is an options set, created using polyestOptions, that specifies estimation options including:

  • Estimation objective

  • Handling of initial conditions

  • Numerical search method to be used in estimation

init_sys

Linear system that configures the initial parameterization of sys.

You obtain init_sys by either performing an estimation using measured data or by direct construction.

If init_sys is an idpoly model, polyest uses the parameters and constraints defined in init_sys as the initial guess for estimating sys.

Use the Structure property of init_sys to configure initial guesses and constraints for A(q), B(q), F(q), C(q), and D(q). For example:

  • To specify an initial guess for the A(q) term of init_sys, set init_sys.Structure.A.Value as the initial guess.

  • To specify constraints for the B(q) term of init_sys:

    • Set init_sys.Structure.B.Minimum to the minimum B(q) coefficient values.

    • Set init_sys.Structure.B.Maximum to the maximum B(q) coefficient values.

    • Set init_sys.Structure.B.Free to indicate which B(q) coefficients are free for estimation.

If init_sys is not an idpoly model, the software first converts init_sys to a polynomial model. polyest uses the parameters of the resulting model as the initial guess for estimation.

If opt is not specified, and init_sys is created by estimation, then the estimation options from init_sys.Report.OptionsUsed are used.

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 single quotes (' '). You can specify several name and value pair arguments in any order as Name1,Value1,...,NameN,ValueN.

'IODelay'

Transport delays. IODelay is a numeric array specifying a separate transport delay for each input/output pair.

For continuous-time systems, specify transport delays in the time unit stored in the TimeUnit property. For discrete-time systems, specify transport delays in integer multiples of the sample time, Ts.

For a MIMO system with Ny outputs and Nu inputs, set IODelay to a Ny-by-Nu array. Each entry of this array is a numerical value that represents the transport delay for the corresponding input/output pair. You can also set IODelay to a scalar value to apply the same delay to all input/output pairs.

Default: 0 for all input/output pairs

'InputDelay'

Input delay for each input channel, specified as a scalar value or numeric vector. For continuous-time systems, specify input delays in the time unit stored in the TimeUnit property. For discrete-time systems, specify input delays in integer multiples of the sample time Ts. For example, InputDelay = 3 means a delay of three sample times.

For a system with Nu inputs, set InputDelay to an Nu-by-1 vector. Each entry of this vector is a numerical value that represents the input delay for the corresponding input channel.

You can also set InputDelay to a scalar value to apply the same delay to all channels.

Default: 0

'IntegrateNoise'

Logical vector specifying integrators in the noise channel.

IntegrateNoise is a logical vector of length Ny, where Ny is the number of outputs.

Setting IntegrateNoise to true for a particular output results in the model:

A(q)y(t)=B(q)F(q)u(tnk)+C(q)D(q)e(t)1q1

Where, 11q1 is the integrator in the noise channel, e(t).

Use IntegrateNoise to create an ARIMAX model.

For example,

load iddata1 z1;
z1 = iddata(cumsum(z1.y),cumsum(z1.u),z1.Ts,'InterSample','foh');
sys = polyest(z1, [2 2 2 0 0 1],'IntegrateNoise',true);

Output Arguments

sys

Polynomial model, returned as an idpoly model. This model is created using the specified model orders, delays, and estimation options.

If data.Ts is zero, sys is a continuous-time model representing:

Y(s)=B(s)F(s)U(s)+E(s)

Y(s), U(s) and E(s) are the Laplace transforms of the time-domain signals y(t), u(t) and e(t), respectively.

Information about the estimation results and options used is stored in the Report property of the model. Report have the following fields:

Report FieldDescription
Status

Summary of the model status, which indicates whether the model was created by construction or obtained by estimation.

Method

Estimation command used.

InitialCondition

Handling of initial conditions during model estimation, returned as a string with one of the following values:

  • 'zero' — The initial conditions were set to zero.

  • 'estimate' — The initial conditions were treated as independent estimation parameters.

  • 'backcast' — The initial conditions were estimated using the best least squares fit.

This field is especially useful to view how the initial conditions were handled when the InitialCondition option in the estimation option set is 'auto'.

Fit

Quantitative assessment of the estimation, returned as a structure. See Loss Function and Model Quality Metrics for more information on these quality metrics. The structure has the following fields:

FieldDescription
FitPercent

Normalized root mean squared error (NRMSE) measure of how well the response of the model fits the estimation data, expressed as a percentage.

LossFcn

Value of the loss function when the estimation completes.

MSE

Mean squared error (MSE) measure of how well the response of the model fits the estimation data.

FPE

Final prediction error for the model.

AIC

Raw Akaike Information Criteria (AIC) measure of model quality.

AICc

Small sample-size corrected AIC.

nAIC

Normalized AIC.

BIC

Bayesian Information Criteria (BIC).

Parameters

Estimated values of model parameters.

OptionsUsed

Option set used for estimation. If no custom options were configured, this is a set of default options. See polyestOptions for more information.

RandState

State of the random number stream at the start of estimation. Empty, [], if randomization was not used during estimation. For more information, see rng in the MATLAB® documentation.

DataUsed

Attributes of the data used for estimation, returned as a structure with the following fields:

FieldDescription
Name

Name of the data set.

Type

Data type.

Length

Number of data samples.

Ts

Sample time.

InterSample

Input intersample behavior, returned as one of the following values:

  • 'zoh' — Zero-order hold maintains a piecewise-constant input signal between samples.

  • 'foh' — First-order hold maintains a piecewise-linear input signal between samples.

  • 'bl' — Band-limited behavior specifies that the continuous-time input signal has zero power above the Nyquist frequency.

InputOffset

Offset removed from time-domain input data during estimation. For nonlinear models, it is [].

OutputOffset

Offset removed from time-domain output data during estimation. For nonlinear models, it is [].

Termination

Termination conditions for the iterative search used for prediction error minimization. Structure with the following fields:

FieldDescription
WhyStop

Reason for terminating the numerical search.

Iterations

Number of search iterations performed by the estimation algorithm.

FirstOrderOptimality

-norm of the gradient search vector when the search algorithm terminates.

FcnCount

Number of times the objective function was called.

UpdateNorm

Norm of the gradient search vector in the last iteration. Omitted when the search method is 'lsqnonlin'.

LastImprovement

Criterion improvement in the last iteration, expressed as a percentage. Omitted when the search method is 'lsqnonlin'.

Algorithm

Algorithm used by 'lsqnonlin' search method. Omitted when other search methods are used.

For estimation methods that do not require numerical search optimization, the Termination field is omitted.

For more information on using Report, see Estimation Report.

Examples

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Estimate Polynomial Model with Redundant Parameterization

Estimate a model with redundant parameterization. That is, a model with all polynomials ( $A$, $B$, $C$, $D$, and $F$) active.

Load estimation data.

load iddata2 z2;

Specify the model orders and delays.

na = 2;
nb = 2;
nc = 3;
nd = 3;
nf = 2;
nk = 1;

Estimate the model.

sys = polyest(z2,[na nb nc nd nf nk]);

Estimate Polynomial Model Using Regularization

Estimate a regularized polynomial model by converting a regularized ARX model.

Load estimation data.

load regularizationExampleData.mat m0simdata;

Estimate an unregularized polynomial model of order 20.

m1 = polyest(m0simdata(1:150),[0 20 20 20 20 1]);

Estimate a regularized polynomial model of the same order. Determine the Lambda value by trial and error.

opt = polyestOptions;
opt.Regularization.Lambda = 1;
m2 = polyest(m0simdata(1:150),[0 20 20 20 20 1],opt);

Obtain a lower-order polynomial model by converting a regularized ARX model and reducing its order. Use arxregul to determine the regularization parameters.

[L,R] = arxRegul(m0simdata(1:150),[30 30 1]);
opt1 = arxOptions;
opt1.Regularization.Lambda = L;
opt1.Regularization.R = R;
m0 = arx(m0simdata(1:150),[30 30 1],opt1);
mr = idpoly(balred(idss(m0),7));

Compare the model outputs against the data.

opt2 = compareOptions('InitialCondition','z');
compare(m0simdata(150:end),m1,m2,mr,opt2);

Estimate ARIMAX model

Load input/otput data and create cumulative sum input and output signals for estimation.

load iddata1 z1;
data = iddata(cumsum(z1.y),cumsum(z1.u),z1.Ts,'InterSample','foh');

Specify the model polynomial orders. Set the orders of the inactive polynomials, $D$ and $F$, to 0.

na = 2;
nb = 2;
nc = 2;
nd = 0;
nf = 0;
nk = 1;

Identify an ARIMAX model by setting the 'IntegrateNoise' option to true.

sys = polyest(data,[na nb nc nd nf nk],'IntegrateNoise',true);

Estimate Multi-Output ARMAX Model

Estimate a multi-output ARMAX model for a multi-input, multi-output data set.

Load estimation data.

load iddata1 z1
load iddata2 z2
data = [z1 z2(1:300)];

data is a data set with 2 inputs and 2 outputs. The first input affects only the first output. Similarly, the second input affects only the second output.

Specify the model orders and delays. The F and D polynomials are inactive.

na = [2 2; 2 2];
nb = [2 2; 3 4];
nk = [1 1; 0 0];
nc = [2;2];
nd = [0;0];
nf = [0 0; 0 0];

Estimate the model.

sys = polyest(data,[na nb nc nd nf nk]);

In the estimated ARMAX model, the cross terms, which model the effect of the first input on the second output and vice versa, are negligible. If you assigned higher orders to those dynamics, their estimation would show a high level of uncertainty.

Analyze the results.

h = bodeplot(sys);
showConfidence(h,3)

The responses from the cross terms show larger uncertainty.

Alternatives

  • To estimate a polynomial model using time-series data, use ar.

  • Use polyest to estimate a polynomial of arbitrary structure. If the structure of the estimated polynomial model is known, that is, you know which polynomials will be active, then use the appropriate dedicated estimating function. For examples, for an ARX model, use arx. Other polynomial model estimating functions include, oe, armax, and bj.

  • To estimate a continuous-time transfer function, use tfest. You can also use oe, but only with continuous-time frequency-domain data.

More About

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Tips

  • In most situations, all the polynomials of an identified polynomial model are not simultaneously active. Set one or more of the orders na, nc, nd and nf to zero to simplify the model structure.

    For example, you can estimate an Output-Error (OE) model by specifying na, nc and nd as zero.

    Alternatively, you can use a dedicated estimating function for the simplified model structure. Linear polynomial estimation functions include oe, bj, arx and armax.

See Also

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Introduced in R2012a

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