Nuclear norm system identification with missing inputs and outputs

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Table 2: Computation time in seconds for constructing the Gram matrix MN u Standard DFT FFT250 1 2.2 0.40 0.31500 1 7.7 1.9 0.871000 1 29 11 2.42000 1 116 75 9.44000 1 448 533 37100 3 36 0.66 0.73250 3 164 4.8 1.9500 3 545 28 5.81000 3 - 185 192000 3 - 1401 110100 5 240 2.4 1.4250 5 894 19 5.4500 5 - 112 181000 5 - 774 64Therefore,A adj (A(z)) = H adj (L T LH(z)RR T )= 1 K 2FH diag(EL T LE H diag(Fz)GRR T G H )= 1 K 2FH ((EL T LE H )◦GRR T G H )Fz,where ◦ denotes the Hadamard product. This shows thatM = 1 K 2FH ((EL T LE H )◦GRR T G H )F. (29)TheconstructionofM canbefurtherexpeditedbyusingthefastFouriertransformalgorithmfor the matrix products with E, F, and G.To give an idea of the value of this technique, we show in table 2 the time needed toconstruct M using three different methods. The matrices L and R in the example arerandomly generated dense matrices of size ru×ru and N ×2ru. The Hankel matrix H(x)has size ru×N. In the experiment we fix r = 30 and vary N and u. The CPU times areexpressed in seconds for 2.3 GHz quad-core laptop with 8 GB of memory using MATLAB7.10 (R2010a). All times are averaged over five randomly generated examples. Blank entriesin the table indicate instances that were not completed due to excessive execution time oran out-of-memory error.ThreemethodsforconstructingM arecompared. Themethodinthefirstcolumn(labeled‘Standard’) is based on first expressing A as A(x) = x 1 A 1 +···+x n A n , and then computing12
M ij = Tr(A i A j ) without exploiting structure in the coefficients. The methods in two othercolumns are based on the algorithm described in this section and evaluation of M via (29).The method labeled as ‘DFT’ generates the matrices E, G, and F explicitly and computesthe matrix-matrix products. The method in column ‘FFT’ uses MATLAB’s fast Fouriertransform routine fft.4.2. Simultaneous diagonalizationThe factorization of the matrix H + ρM needed for equation (21) is an expensive stepin the ADMM algorithm of table 1. If ρ is fixed, only one factorization at the beginningof the algorithm is needed. However, as mentioned, the convergence can be improved byoccasionally adapting the parameter ρ. Moreover in applications one is often interested inthe trade-off between the two terms in the cost function of (20). Tracing the trade-off curverequires solving the problem multiple times with different scalar multiples of H. In thissection we describe a preprocessing that allows one to solve multiple equations of the form(γH +ρM)x = b, (30)with different coefficients γ, ρ, and to compute the entire regularization trade-off curve witha single factorization at the start of the algorithm. We assume that the matrix H + M ispositive definite. The preprocessing is based on a simultaneous diagonalization of H and M[30, §8.7.2]. We first compute the Cholesky factorizationand a symmetric eigenvalue decompositionH +M = ˜L˜L T˜L −1 H˜L −T = QDQ T ,where Q is an orthogonal matrix and D is a diagonal matrix. It can be verified thatQ T ˜L−1 H˜L −T Q = D,Q T ˜L−1 M˜L −T Q = I −Dand therefore the solution x can be obtained byx = ˜L −T Q((γ −ρ)D+ρI) −1 Q T ˜L−1 b.Aftertheinitialfactorization, thecostofsolvingtheequationisonlyquadraticinthenumberof variables.5. Identification experimentsIn this section we evaluate the nuclear norm heuristic in combination with the subspaceidentification algorithms. We experiment with two scenarios from section 3. The firstscenario is the complete-data case, where the measured inputs and outputs are noisy butcompletely available. In the second scenario a percentage of inputs and outputs is removed.13
Page 1: Nuclear norm system identification
Page 4 and 5: This condition holds generically wh
Page 6 and 7: 2.2. System realizationOnce an esti
Page 8 and 9: Missing inputs and outputs. The for
Page 10 and 11: where A adj is the adjoint of the m
Page 14 and 15: All the simulations are run on a 2.
Page 16 and 17: Table 3: Ten benchmark problems fro
Page 18 and 19: Table 5: Validation fit for models
Page 20: [23] M.Verhaegen, Identificationoft

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