Abstract
Whilst most physical systems occur naturally in continuous time, it is necessary to deal with sampled data for identification purposes. In principle, one can derive an exact sampled data model for any given linear system by integration. However, conversion to sampled data form implicitly involves folding of high-frequency system characteristics back into the lower-frequency range. This means that there is an inherent loss of information. The sampling process is reversible provided one has detailed knowledge of the relationship between the low-frequency and folded components so that they can be untangled from the sampled model. However, it is clear from the above argument that one has an inherent sensitivity to the assumptions that one makes about the folded components. The factors that contribute to the folded components include
-
the sampling rate
-
the nature of the input between samples (i.e., is it generated by a firstorder hold or not, or is it continuous-time white noise or not)
-
the nature of the sampling process (i.e., has an anti-aliasing filter been used and, if so, what are its frequency domain characteristics)
-
the system relative degree (i.e., the high-frequency roll-off characteristics of the system beyond the base band)
-
high-frequency poles and or zeros that lie outside the base band interval.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
K.J. Åström. Introduction to Stochastic Control Theory. Academic Press, New York, 1970.
K.J. Åström, P. Hagander, and J. Sternby. Zeros of sampled systems. Automatica, 20(1):31–38, 1984.
S. Bigi, T. Söderström, and B. Carlsson. An IV scheme for estimating continuous-time models from sampled data. 10th IFAC Symposium on System Identification, Copenhagen, Denmark, 1994.
D.R. Brillinger. Fourier analysis of stationary processes. Proceedings of the IEEE, 62(12):1628–1643, December 1974.
D.R. Brillinger. Time Series: Data Analysis and Theory. McGraw-Hill, New York, 1981.
A. Feuer and G.C. Goodwin. Sampling in Digital Signal Processing and Control. Birkhäuser, Boston, 1996.
H. Garnier, M. Mensler, and A. Richard. Continuous-time model identification from sampled data. Implementation issues and performance evaluation. International Journal of Control, 76(13):1337–1357, 2003.
J. Gillberg and L. Ljung. Frequency-domain identification of continuous-time ARMA models from sampled data. 16th IFAC World Congress, Prague, Czech Republic, July 2005.
J. Gillberg and L. Ljung. Frequency-domain identification of continuous-time OE models from sampled data. 16th IFAC World Congress, Prague, Czech Republic, July 2005.
G.C. Goodwin, J.I. Yuz, and H. Garnier. Robustness issues in continuous-time system identification from sampled data. 16th IFAC World Congress, Prague, Czech Republic, July 2005.
R. Johansson. Identification of continuous-time models. IEEE Transactions on Signal Processing, 42(4):887–897, 1994.
R. Johansson, M. Verhaegen, and C.T. Chou. Stochastic theory of continuous-time state-space identification. IEEE Transactions on Signal Processing, 47(1):41–51, 1999.
P.E. Kloeden and E. Platen. Numerical Solution of Stochastic Differential Equations. Springer-Verlag, New York, 1992.
N.R. Kristensen, H. Madsen, and S.B. Jørgensen. Parameter estimation in stochastic grey-box models. Automatica, 40:225–237, 2004.
E.K. Larsson. Limiting properties of sampled stochastic systems. Technical Report 2003-028, Department of Information Technology, Uppsala University, Sweden, 2003.
E.K. Larsson and T. Söderström. Continuous-time AR parameter estimation by using properties of sampled systems. 15th IFAC World Congress, Barcelona, Spain, July 2002.
L. Ljung. Some results on identifying linear systems using frequency domain data. 32nd IEEE Conference on Decision and Control, San Antonio, Texas, USA, December 1993.
L. Ljung. System Identification. Theory for the User. Prentice Hall, Englewood Cliffs, New Jersey, 2nd edition, 1999.
T. McKelvey and L. Ljung. Frequency domain maximum likelihood identi-fication. 11th IFAC Symposium on System Identification, pages 1741–1746, Fukuoka, Japan, 1997.
R.H. Middleton and G.C. Goodwin. Digital Control and Estimation. A Unified Approach. Prentice Hall, Englewood Cliffs, New Jersey, 1990.
R. Pintelon and J. Schoukens. System Identification. A Frequency Domain Approach. IEEE Press, Piscataway, USA, 2001.
G.P. Rao and H. Garnier. Numerical illustrations of the relevance of direct continuous-time model identification. 15th IFAC World Congress, Barcelona, Spain, 2002.
N.K. Sinha and G.P. Rao (eds). Identification of Continuous-time Systems. Methodology and Computer Implementation. Kluwer Academic Publishers, Dordrecht, 1991.
T. Söderström, B. Carlsson, and S. Bigi. On estimating continuous-time stochastic models from discrete-time data. Technical Report UPTEC 92104R, Dept. of Technology, Uppsala University, Sweden, July 1992.
T. Söderström, H. Fan, B. Carlsson, and S. Bigi. Least squares parameter estimation of continuous-time ARX models from discrete-time data. IEEE Transactions on Automatic Control, 42(5):659–673, 1997.
H. Unbehauen and G.P. Rao. Continuous-time approaches to system identification — a survey. Automatica, 26(1):23–35, 1990.
H. Unbehauen and G.P. Rao. A review of identification in continuous-time systems. Annual Reviews in Control, 22:145–171, 1998.
B. Wahlberg. Limit results for sampled systems. International Journal of Control, 48(3):1267–1283, 1988.
P. Young. Parameter estimation for continuous-time models — A survey. Automatica, 17(1):23–39, 1981.
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2008 Springer-Verlag London Limited
About this chapter
Cite this chapter
Yuz, J.I., Goodwin, G.C. (2008). Robust Identification of Continuous-time Systems from Sampled Data. In: Garnier, H., Wang, L. (eds) Identification of Continuous-time Models from Sampled Data. Advances in Industrial Control. Springer, London. https://doi.org/10.1007/978-1-84800-161-9_3
Download citation
DOI: https://doi.org/10.1007/978-1-84800-161-9_3
Publisher Name: Springer, London
Print ISBN: 978-1-84800-160-2
Online ISBN: 978-1-84800-161-9
eBook Packages: EngineeringEngineering (R0)