Research Article Convergence Analysis of EFOP Estimate Based on Frequency Domain Smoothing

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Hindawi Publishing Corporation
Journal of Applied Mathematics
Volume 2013, Article ID 781856, 8 pages
http://dx.doi.org/10.1155/2013/781856
Research Article
Convergence Analysis of EFOP Estimate Based on
Frequency Domain Smoothing
Yulai Zhang, Kueiming Lo, and Yang Su
School of Software, Tsinghua University, Tsinghua National Laboratory for Information Science and Technology, Beijing 100084, China
Correspondence should be addressed to Yulai Zhang; zhangyl08@mails.tsinghua.edu.cn
Received 8 March 2013; Revised 21 April 2013; Accepted 24 April 2013
Academic Editor: Graziano Chesi
Copyright © 2013 Yulai Zhang et al. This is an open access article distributed under the Creative Commons Attribution License,
which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
The classic methods for frequency domain transfer function estimation such as the Empirical Transfer Function Estimate (ETFE)
and cross spectral method do not work well when the noise signal is complex. Combines the time domain and frequency domain
methods the Empirical Frequency-domain Optimal Parameter (EFOP) Estimate was presented. It could improve the precision
of system’s transfer function estimation and identification efficiency. The convergence of the EFOP based on frequency domain
smoothing is investigated in this paper. The transfer function is weighted by a frequency window and the GPE criterion is extended
to the integral form. Convergence rate and consistent properties for the EFOP estimate are given. Finally, some simulation results
are included to illustrate the advantage of the EFOP based smoothing method.
1. Introduction
Parametric and nonparametric estimations in system identification or signal processing are both of great importance.
Most of these algorithms use input and output data to give
a modeling of the target system. The modeling of linear
system transfer function is a non-parameter method, and it is
one of the most important basic problems in control theory.
From the beginning of modern system identification and signal processing, many nonparametric methods in frequency
domain have been proposed, such as ETFE [1], power spectrum estimation [2], and so on. Frequency domain window
functions [3, 4] are used in power spectrum estimation. In the
past few decades, algorithms for window function selection
are developed, such as adaptive smoothing method in [5]
and least square estimation for frequency function in [6].
Discussion of the relationship between time domain methods
and frequency domain methods can be found in [7]. EFOP [8,
9] is an algorithm combines the time domain and frequency
domain. A new criterion named General Prediction Error
(GPE) is proposed and implemented in EFOP. This algorithm
obtains the global optimal transfer function in frequency
domain by minimizing the GPE criterion. The advantage of
this kind of algorithm includes a faster rate of convergence
as well as better identification qualities. The algorithms given
in [8, 9] are parametric in time domain, so they cannot
be directly used in the identification of transfer function in
frequency domain. Since frequency domain methods have
their own advantages such as robustness for outliers in data
[10], it is necessary to develop frequency domain methods.
In this article we analysis the convergence of transfer
function estimation based on EFOP and frequency domain
window function smoothing technic. Firstly, the identification of transfer function is derived with GPE criterion in
EFOP; secondly, the spectrum analysis is used to calculated
the predict error and a window function to smoothing the
transfer function in frequency domain. The consistence and
convergence properties of this procedure are analyzed in
this paper. It is proofed that this new smoothing method is
asymptotically unbiased and the rate of convergence is fast.
Simulations in the end show that the method proposed in
this paper gives better results than the ETFE on identification
accuracy under large noises.
For the rest of this article, preliminaries including EFOP
and GPE are introduced in Section 2; the frequency domain
smoothing procedure is derived in Section 3; its rate of
convergence and estimator’s bias properties are analyzed
in Section 4; simulation results are given in Section 5 and
Section 6 is the conclusions.
2
Journal of Applied Mathematics
The contributions of this article include the following.
(i) Extending the GPE criterion in EFOP to its integral
form.
(ii) Development of EFOP smoothing method for transfer function estimation.
(iii) The rate of convergence for this new method is
proved.
Lemma 3. Provided that 𝐷 = {(π‘Ž1 , π‘Ž2 , . . . , π‘Žπ‘) | ∑𝑁
π‘˜=1 π‘Žπ‘˜ =
𝑀, π‘Žπ‘˜ ≥ 0}, 𝑀 is a constant, {πœ‰π‘˜ }𝑁
is
stochastic
i.d.d
white
noise
1
2
π‘Ž
πœ‰
,
πΈπœ‰
reaches
its
minimum
and πΈπœ‰π‘˜2 = πœ† π‘˜ . Let πœ‰ = ∑𝑁
𝑑=1 π‘˜ π‘˜
−1
value when the coefficient satisfies π‘Žπ‘˜ = 𝑀(πœ† π‘˜ ∑𝑁
π‘˜=1 (1/πœ† π‘˜ )) .
This lemma can be simply obtained by using Lagrange
method.
Denote 𝑒(𝑑) as an input data sequence, and 𝑦(𝑑) as an
output one. A black box linear model can be expressed as
𝐴 (π‘ž) 𝑦 (𝑑) = 𝐡 (π‘ž) 𝑒 (𝑑) +
2. Preliminaries
𝑛
Most input and output signals for system identification
procedures are sampled from application systems in industry
or laboratory. Denote π‘₯(𝑑)𝑁
1 as a data sequence, where 𝑁
is the total number of samples that is, the length of the
data sequence. The Discrete Fourier Transformation (DFT)
of π‘₯(𝑑)𝑁
1 is
𝑋𝑁 (π‘˜) =
1 𝑁
=
∑π‘₯ (𝑑) πœ”−π‘‘π‘˜ ,
√𝑁 𝑑=1
DFT{π‘₯ (𝑑)}𝑁
1
(1)
π‘˜ = 1, 2, 3, . . . , 𝑁,
where πœ” = exp(2π‘–πœ‹/𝑁). The Inverse Discrete Fourier
Transformation (IDFT) can also be denoted as:
𝑁
1
=
∑𝑋 (π‘˜) πœ”π‘‘π‘˜ ,
√𝑁 𝑑=1 𝑁
𝑑 = 1, 2, 3, . . . , 𝑁.
(2)
{𝑧(𝑑)}𝑁
1−𝑁
1 𝑁
∑π‘₯ (𝑑) 𝑧 (𝑙 − 𝑑) ,
√𝑁 𝑙=1
𝑁
󡄨2
󡄨
∑|π‘₯ (𝑑)|2 = ∑ 󡄨󡄨󡄨𝑋𝑁 (π‘˜)󡄨󡄨󡄨 .
𝑑=1
(4)
π‘˜=1
DFT{(π‘₯ ∗ 𝑧) (𝑑)}𝑁
1 = 𝑋𝑁 (π‘˜) 𝑍𝑁 (π‘˜) ,
where 𝑋𝑁(π‘˜) =
(7)
where 𝐺(π‘ž, πœƒ) = 𝐡(π‘ž)/𝐴(π‘ž), 𝐻(π‘ž, πœƒ) = 𝐢(π‘ž)/𝐴(π‘ž)𝐷(π‘ž).
Denote 𝑦(𝑑 | πœƒ) as the predictor of output 𝑦(𝑑):
𝑦 (𝑑 | πœƒ) = 𝐻−1 (π‘ž, πœƒ) 𝐺 (π‘ž, πœƒ) 𝑒 (𝑑) + (1 − 𝐻−1 (π‘ž, πœƒ)) 𝑦 (𝑑)
(8)
πœƒ is the parameter of the black box model here, and πœ€(𝑑, πœƒ) =
𝑦(𝑑) − 𝑦(𝑑 | πœƒ) = 𝐻−1 (π‘ž, πœƒ)(𝑦(𝑑) − 𝐺(π‘ž, πœƒ)𝑒(𝑑)) is the predict
error, which can also be written as
πœ€ (𝑑, πœƒ) =
𝐴 (π‘ž) 𝐷 (π‘ž)
𝐡 (π‘ž) 𝐷 (π‘ž)
𝑦 (𝑑) −
𝑒 (𝑑) .
𝐢 (π‘ž)
𝐢 (π‘ž)
𝑍𝑁(π‘˜) =
𝛽 (𝑁, πœƒ) = (πœ€ (1, πœƒ) , πœ€ (2, πœƒ) , . . . , πœ€ (𝑁, πœƒ))𝑇 .
(9)
DFT{𝑧(𝑑)}𝑁
1 .
(10)
Define a criterion function
1 𝑁
∑ 𝐿 (πœ€ (𝑑, πœƒ) , πœƒ, 𝑑) .
𝑁 π‘˜=1
(11)
The estimation of the model under this criterion can be
presented as
πœƒΜ‚π‘ = arg min 𝐽 (𝛽 (𝑑, πœƒ) ; 𝑁; πœƒ) .
πœƒ
(12)
First we denote that the transfer function obtained by
Μ‚NETFE (πœ”π‘˜ ), and the error of this estimation is
ETFE is 𝐺
calculated as
Μ‚NETFE (πœ”π‘˜ ) − 𝐺𝑁 (πœ”π‘˜ ) , π‘˜ = 1, 2, 3, . . . , 𝑁.
𝛿𝑁 (π‘˜, πœƒ) = 𝐺
(13)
Lemma 4. Provided that the variance of 𝑒0 (𝑑) in (7) is πœ† and
it is a white noise, thus one obtains
𝐸𝛿𝑁 (π‘˜, πœƒ) = 0,
Lemma 2. For periodic signal {𝑧(𝑑)}𝑁
1−𝑁 , 𝑧(𝑑) = 𝑧(𝑑 + 𝑁), 1 −
𝑁 ≤ 𝑑 ≤ 0, we can obtain:
DFT{π‘₯(𝑑)}𝑁
1 ,
𝑦 (𝑑) = 𝐺 (π‘ž, πœƒ) 𝑒 (𝑑) + 𝐻 (π‘ž, πœƒ) 𝑒0 (𝑑) ,
𝑑 = 1, 2, 3, . . . , 𝑁. (3)
Lemma 1 (Parse Val equation). Provided that 𝑋𝑁(π‘˜) =
𝑁
−π‘‘π‘˜
√
, π‘˜ = 1, 2, 3, . . . , 𝑁, that
DFT{π‘₯(𝑑)}𝑁
1 = 1/ 𝑁 ∑𝑑=1 π‘₯(𝑑)πœ”
is, π‘₯(𝑑) and 𝑋(π‘˜) are DFT pairs. One can obtain
𝑁
𝑛
π‘Ž
𝑏
π‘Žπ‘˜ π‘ž−π‘˜ , 𝐡(π‘ž) = ∑π‘˜=1
π‘π‘˜ π‘ž−π‘˜ , 𝐢(π‘ž) =
where 𝐴(π‘ž) = 1 + ∑π‘˜=1
𝑛𝑐
𝑛
𝑑
1 + ∑π‘˜=1 π‘π‘˜ π‘ž−π‘˜ , and 𝐷(π‘ž) = 1 + ∑π‘˜=1
π‘‘π‘˜ π‘ž−π‘˜ .
Rewrite this equation as
𝐽=
Provided that
and
are signal sequence with
same length, the convolution of then can be written as
(π‘₯ ∗ 𝑧) (𝑑) =
(6)
The predict error vector can be presented as
𝑁
π‘₯ (π‘˜) = IDFT{𝑋𝑁 (π‘˜)}1
{π‘₯(𝑑)}𝑁
1
𝐢 (π‘ž)
𝑒 (𝑑) ,
𝐷 (π‘ž) 0
π‘˜ = 1, 2, 3, . . . , 𝑁,
𝐸𝛿𝑁 (π‘˜, πœƒ) 𝛿𝑁(𝑙, πœƒ)
󡄨󡄨
󡄨󡄨2
πΆπœ”π‘˜
󡄨󡄨
{
{πœ†σ΅„¨σ΅„¨σ΅„¨σ΅„¨
󡄨
= { 󡄨󡄨󡄨 π΄πœ”π‘˜ π·πœ”π‘˜ π‘ˆπ‘ (π‘˜) 󡄨󡄨󡄨󡄨
{
{0
(5)
where π‘ˆπ‘(π‘˜) =
DFT{𝑒(𝑑)}𝑁
1 .
(14)
for π‘˜ = 𝑙,
for π‘˜ =ΜΈ 𝑙,
Journal of Applied Mathematics
3
Corollary 5. Under the assumption of Lemma 4, one can
obtain the following equation:
−1
πœƒΜ‚ = (Φ𝑇 (𝑁) 𝑄 (𝑁) Φ (𝑁)) Φ𝑇 (𝑁) 𝑄 (𝑁) π‘Œ (𝑁) ,
󡄨󡄨 𝑁
󡄨󡄨2
󡄨󡄨
󡄨󡄨
arg min 𝐸󡄨󡄨󡄨∑π‘”π‘˜ 𝛿𝑁 (π‘˜, πœƒ)󡄨󡄨󡄨
󡄨󡄨𝑑=1
󡄨󡄨
Ω
󡄨
󡄨
(21)
𝑇
where 𝑄(𝑁) = (1/𝑁) ∑𝑁
𝑑=1 πœ“(𝑑, πœƒ)πœ“ (𝑑, πœƒ) and Φ(𝑁) is
composed of regression vectors
𝑁
󡄨2
󡄨
= arg min 𝐸∑π‘”π‘˜2 󡄨󡄨󡄨𝛿𝑁 (π‘˜, πœƒ)󡄨󡄨󡄨
Ω
𝛽𝑇 (𝑁, πœƒ)𝑄(𝑁, πœƒ)𝛽(𝑁, πœƒ), which is the GPE criterion [8]
(15)
𝑇
Φ (𝑁) = (πœ™ (1) , πœ™ (2) , . . . , πœ™ (𝑁))
𝑑=1
∗
= (𝑔1∗ , 𝑔2∗ , . . . 𝑔𝑁
),
(22)
and πœ™(π‘˜) = (−𝑦(π‘˜−1), −𝑦(π‘˜−2), . . . , −𝑦(π‘˜−π‘›π‘Ž ), 𝑒(π‘˜−1), 𝑒(π‘˜−
2), . . . , 𝑒(π‘˜ − 𝑛𝑏 )).
where
󡄨2
󡄨󡄨
󡄨󡄨 𝐴 (πœ”π‘˜ ) 𝐷 (πœ”π‘˜ ) π‘ˆπ‘ (π‘˜) 󡄨󡄨󡄨
󡄨󡄨 .
π‘”π‘˜∗ = 󡄨󡄨󡄨󡄨
󡄨󡄨
󡄨󡄨
󡄨󡄨
𝐢 (πœ”π‘˜ )
󡄨
󡄨
(16)
3.1. Representing Criterion in Frequency Domain. Rewrite
𝑉𝑁(πœƒ, 𝑍𝑁) in frequency domain as
This can be derived from Lemma 3. We substitute the
constant 𝑀 in Lemma 3 by
𝑀=
2
𝑁 󡄨󡄨󡄨 𝐴 (πœ”π‘™ ) 𝐷 (πœ”π‘™ ) π‘ˆ (𝑙) 󡄨󡄨󡄨
󡄨󡄨
󡄨󡄨
𝑁
󡄨󡄨
∑󡄨󡄨󡄨
󡄨󡄨
󡄨
𝐢 (πœ”π‘™ )
󡄨󡄨
𝑙=1 󡄨󡄨
3. New Method Based on EFOP and Frequency
Domain Smoothing
󡄨󡄨 𝑁
󡄨󡄨2
󡄨󡄨
󡄨󡄨
𝑉𝑁 (πœƒ, 𝑍𝑁) = arg min 𝐸󡄨󡄨󡄨∑π‘”π‘˜ 𝛿𝑁 (π‘˜, πœƒ)󡄨󡄨󡄨
󡄨󡄨𝑑=1
󡄨󡄨
󡄨
󡄨
= 𝛽𝑇 (𝑁, πœƒ) 𝑄 (𝑁, πœƒ) 𝛽 (𝑁, πœƒ)
(17)
𝑁 󡄨󡄨
󡄨4
󡄨 π‘ˆ (𝑠) 󡄨󡄨 󡄨
󡄨2
= ∑󡄨󡄨󡄨 𝑁 𝑠 󡄨󡄨󡄨 󡄨󡄨󡄨𝛿𝑁 (𝑠, πœƒ)󡄨󡄨󡄨
󡄨
󡄨
𝐻
)
(πœ”
󡄨
󡄨
𝑠=1
in an off-line procedure, so 𝑀 can be taken as a constant.
𝑁 󡄨󡄨
󡄨4
󡄨 π‘ˆ (𝑠) 󡄨󡄨 󡄨 Μ‚
𝑠
𝑠 󡄨󡄨2
= ∑󡄨󡄨󡄨 𝑁 𝑠 󡄨󡄨󡄨 󡄨󡄨󡄨󡄨𝐺
𝑁 (πœ” ) − 𝐺𝑁 (πœ” )󡄨󡄨󡄨
󡄨
󡄨
𝐻
(πœ”
)
󡄨
󡄨
𝑠=1
Theorem 6. Consider
󡄨󡄨2
󡄨󡄨 𝑁
󡄨󡄨
󡄨󡄨
󡄨
arg min 𝐸󡄨󡄨∑π‘”π‘˜ 𝛿𝑁 (π‘˜, πœƒ)󡄨󡄨󡄨
󡄨󡄨
󡄨
󡄨󡄨𝑑=1
Ω
󡄨
𝑁
󡄨̂
󡄨2
2πœ‹π‘–π‘˜/𝑁
= ∑󡄨󡄨󡄨󡄨𝐺
) − 𝐺𝑁 (𝑒2πœ‹π‘–π‘˜/𝑁, πœƒ)󡄨󡄨󡄨󡄨
NETFE (𝑒
(18)
𝑠=1
= 𝛽𝑇 (𝑁, πœƒ) 𝑄 (𝑁, πœƒ) 𝛽 (𝑁, πœƒ) ,
× π‘„π‘ (
𝑇
where 𝑄(𝑁, πœƒ) = (1/𝑁) ∑𝑁
𝑠=1 πœ“(𝑠, πœƒ)πœ“ (𝑠, πœƒ) which is the
weight matrix, and
𝑇
πœ“ (𝑠, πœƒ) = (V𝑒 (𝑠 − 1, πœƒ) , V𝑒 (𝑠 − 2, πœƒ) , . . . , V𝑒 (𝑠 − 𝑁, πœƒ)) ,
𝑠 = 1, 2, 3, . . . , 𝑁,
V (𝑑, πœƒ) ,
V𝑒 (𝑑, πœƒ) = {
V (𝑑 + 𝑁, πœƒ) ,
(23)
where 𝑄𝑁(πœ”, πœƒ) = |π‘ˆπ‘(πœ”)/𝐻(π‘’π‘–πœ” , πœƒ)|4 . Since the frequency
domain transfer function is actually a continuous function,
the integrity form can be presented as
𝑉𝑁 (πœƒ, 𝑍𝑁)
if 1 ≤ 𝑑 ≤ 𝑁
if 1 − 𝑁 ≤ 𝑑 ≤ 0.
(19)
Signal {V(𝑑, πœƒ)}𝑁
1 is introduced by
𝐢 (π‘ž) V (𝑑, πœƒ) = 𝐴 (π‘ž) 𝐷 (π‘ž) 𝑒 (𝑑) .
2πœ‹π‘–π‘˜
, πœƒ) ,
𝑁
(20)
The proof can be completed by using Corollary 5 and
Lemma 1 in this section, and it is similar to the proof in [11].
More details of EFOP and GPE can be can be
found in [11]. EFOP gets the estimator by minimizing
≈
1 πœ‹ 󡄨󡄨 Μ‚
󡄨2
∫ 󡄨󡄨󡄨𝐺NETFE (π‘’π‘–πœ” , πœƒ) − 𝐺𝑁 (π‘’π‘–πœ” , πœƒ)󡄨󡄨󡄨󡄨 𝑄𝑁 (πœ”, πœƒ) π‘‘πœ”.
2πœ‹ −πœ‹
(24)
3.2. Algorithm with Frequency Domain Window. Denote
π‘Šπ›Ύ (πœ”) as the window function. Window function can be
seen as a way to perform weighting in frequency domain.
If the width of the window function is relatively large, the
variance of 𝐺𝑁(π‘’π‘–πœ” , πœƒ) will be small. But a wider frequency
window will make the bias of 𝐺𝑁(π‘’π‘–πœ” , πœƒ) larger. So there is
a tradeoff between the variance and bias of the estimated
transfer function. A scalar 𝛾 is introduced to adjust this
4
Journal of Applied Mathematics
tradeoff. A smaller 𝛾 represents a wider window function.
Some of the π‘Šπ›Ύ (πœ”) s properties are written as follows:
πœ‹
∫ π‘Šπ›Ύ (πœ‰) π‘‘πœ‰ = 1;
−πœ‹
πœ‹
∫ πœ‰2 π‘Šπ›Ύ (πœ‰) π‘‘πœ‰ = 𝑀 (𝛾) ;
−πœ‹
πœ‹
where π‘Šπ›Ύ (πœ”) is the frequency domain window function and
𝐺NETFE (π‘’π‘–πœ” , πœƒ) is the estimated ETFE transfer function.
Proof. Rewrite 𝐺(π‘’π‘–πœ” , πœƒ) as
∫ πœ‰π‘Šπ›Ύ (πœ‰) π‘‘πœ‰ = 0;
−πœ‹
πœ‹
∫ π‘Šπ›Ύ2 (πœ‰) π‘‘πœ‰ =
−πœ‹
1
π‘Š (𝛾) .
2πœ‹
(25)
πœ‹
Μ‚NETFE (π‘’π‘–πœ” , πœƒ) −
Theorem 7. If πœƒΜ‚π‘ = arg minπœƒ,πœ‚ ∫−πœ‹ (|𝐺
π‘–πœ”
2
4
π‘–πœ”
4
𝐺(𝑒 , πœƒ)| |π‘ˆπ‘(πœ”)| /|𝐻(𝑒 , πœ‚)| )π‘‘πœ”, the systems transfer function can be estimated as
𝑁
𝐺 (π‘’π‘–πœ” , πœƒ) = ∑ (π‘”π‘˜π‘… + π‘–π‘”π‘˜πΌ ) π‘Šπ›Ύ (πœ” − πœ”π‘˜ ) ,
π‘˜=1
πœƒπ‘˜ =
(27)
𝑇
[𝑔1𝑅 , 𝑔1𝐼 , . . . 𝑔𝑛𝑅 , 𝑔𝑛𝐼 ]
π‘–πœ”π‘˜
𝐺NEFOP (𝑒 )
=
πœ‹
󡄨4 Μ‚
󡄨
π‘–πœ”
∫−πœ‹ π‘Šπ›Ύ (πœ” − πœ”π‘˜ ) σ΅„¨σ΅„¨σ΅„¨π‘ˆπ‘ (πœ”)󡄨󡄨󡄨 𝐺
NETFE (𝑒 , πœƒ) π‘‘πœ”
,
πœ‹
󡄨4
󡄨
∫−πœ‹ π‘Šπ›Ύ (πœ” − πœ”π‘˜ ) σ΅„¨σ΅„¨σ΅„¨π‘ˆπ‘ (πœ”)󡄨󡄨󡄨 π‘‘πœ”
(26)
π‘”π‘˜π‘… and π‘”π‘˜πΌ are the real and imaginary parts of πœƒπ‘˜ , respectively.
󡄨󡄨 Μ‚
󡄨󡄨2 󡄨󡄨
󡄨󡄨4
π‘–πœ”
π‘–πœ”
πœ• πœ‹ 󡄨󡄨󡄨𝐺
NETFE (𝑒 , πœƒ) − 𝐺 (𝑒 , πœƒ)󡄨󡄨󡄨 σ΅„¨σ΅„¨π‘ˆπ‘ (πœ”)󡄨󡄨
π‘‘πœ”
∫
󡄨󡄨
󡄨4
πœ•πœƒπ‘˜ −πœ‹
󡄨󡄨𝐻 (π‘’π‘–πœ” , πœ‚)󡄨󡄨󡄨
󡄨󡄨 Μ‚
󡄨󡄨2 󡄨󡄨
󡄨󡄨4
𝑁
π‘–πœ”
𝑅
𝐼
πœ• πœ‹ 󡄨󡄨󡄨𝐺
NETFE (𝑒 , πœƒ) − ∑π‘˜=1 (π‘”π‘˜ + π‘–π‘”π‘˜ ) π‘Šπ›Ύ (πœ” − πœ”π‘˜ )󡄨󡄨󡄨 σ΅„¨σ΅„¨π‘ˆπ‘ (πœ”)󡄨󡄨
=
π‘‘πœ”
∫
󡄨󡄨
󡄨4
πœ•πœƒπ‘˜ −πœ‹
󡄨󡄨𝐻 (π‘’π‘–πœ” , πœ‚)󡄨󡄨󡄨
(28)
Μ‚NETFE (π‘’π‘–πœ” , πœƒ) − 𝐺 (π‘’π‘–πœ” , πœƒ)) π‘Šπ›Ύ (πœ” − πœ”π‘˜ ) σ΅„¨σ΅„¨σ΅„¨π‘ˆπ‘ (πœ”)󡄨󡄨󡄨4
(𝐺
󡄨
󡄨
π‘‘πœ” = 0.
= −2 ∫
4
󡄨
󡄨
π‘–πœ”
󡄨
󡄨
−πœ‹
󡄨󡄨𝐻 (𝑒 , πœ‚)󡄨󡄨
πœ‹
Since 𝐺(π‘’π‘–πœ” , πœ‚)π‘Šπ›Ύ (πœ” − πœ”π‘˜ ) ≈ 𝐺(π‘’π‘–πœ”π‘˜ , πœ‚)π‘Šπ›Ύ (πœ” − πœ”π‘˜ ), so we have
4.1. Consistency and Bias. From the expression of 𝐺(π‘’π‘–πœ”π‘˜ ), we
can obtain:
𝐺NEFOP (π‘’π‘–πœ”π‘˜ )
󡄨4 Μ‚
󡄨
π‘–πœ”
∫−πœ‹ π‘Šπ›Ύ (πœ” − πœ”π‘˜ ) σ΅„¨σ΅„¨σ΅„¨π‘ˆπ‘ (πœ”)󡄨󡄨󡄨 𝐺
NETFE (𝑒 , πœƒ) π‘‘πœ”
=
.
πœ‹
󡄨4
󡄨
∫−πœ‹ π‘Šπ›Ύ (πœ” − πœ”π‘˜ ) σ΅„¨σ΅„¨σ΅„¨π‘ˆπ‘ (πœ”)󡄨󡄨󡄨 π‘‘πœ”
πœ‹
(29)
The new algorithm is obtained by Theorem 7. Figure 1 is
the explanation of algorithm procedure. In Figure 1, 𝐺𝑁 and
𝐺𝐷 are the numerator and denominator of the final result,
respectively.
Elementary operations such as add and division are not
explicitly shown in the chart.
4. Consistency and Convergence Analysis
The theoretical analysis of consistency and convergence for
the proposed method are investigated in this section. It is
proved that the estimation result is asymptotically unbiased
and will converge to the true system transfer function.
Μ‚NEFOP (π‘’π‘–πœ”0 )
𝐸𝐺
=
πœ‹
󡄨2
󡄨
∫−πœ‹ π‘Šπ›Ύ (πœ‰ − πœ”0 ) 󡄨󡄨󡄨Φ𝑒 (πœ‰)󡄨󡄨󡄨
πœ‹
󡄨2
󡄨
∫−πœ‹ π‘Šπ›Ύ (πœ‰ − πœ”0 ) 󡄨󡄨󡄨Φ𝑒 (πœ‰)󡄨󡄨󡄨 π‘‘πœ‰
[𝐺0 (π‘’π‘–πœ‰ ) + 𝜌1 (𝑁) /π‘ˆπ‘ (πœ‰)] π‘‘πœ‰
× πœ‹
󡄨2
󡄨
∫−πœ‹ π‘Šπ›Ύ (πœ‰ − πœ”0 ) 󡄨󡄨󡄨Φ𝑒 (πœ‰)󡄨󡄨󡄨 π‘‘πœ‰
(30)
πœ‹
󡄨2
󡄨
∫−πœ‹ π‘Šπ›Ύ (πœ‰ − πœ”0 ) 󡄨󡄨󡄨Φ𝑒 (πœ‰)󡄨󡄨󡄨 𝐺0 (π‘’π‘–πœ‰ ) π‘‘πœ‰
≈
,
πœ‹
󡄨2
󡄨
∫−πœ‹ π‘Šπ›Ύ (πœ‰ − πœ”0 ) 󡄨󡄨󡄨Φ𝑒 (πœ‰)󡄨󡄨󡄨 π‘‘πœ‰
where 𝜌1 (𝑁) is defined as
Μ‚NEFOP (π‘’π‘–πœ” ) = 𝐺0 (π‘’π‘–πœ” ) +
𝐸𝐺
𝜌1 (𝑁)
π‘ˆπ‘ (πœ”)
(31)
Journal of Applied Mathematics
5
̂𝑁(π‘’π‘–πœ”0 ) as:
We can obtain the numerator of 𝐸𝐺
𝑒(𝑑)
𝑦(𝑑)
𝐺0 (π‘’π‘–πœ”0 ) Φ2𝑒 (πœ”0 )
FFT
FFT
π‘Œπ‘ (π‘˜)
π‘ˆπ‘ (π‘˜)
+ 𝑀 (𝛾) [𝐺0 (π‘’π‘–πœ”0 ) Φ󸀠𝑒 (πœ”0 ) Φ󸀠𝑒 (πœ”0 )
+ 𝐺0 (π‘’π‘–πœ”0 ) Φ𝑒 (πœ”0 ) Φ󸀠󸀠𝑒 (πœ”0 )
+
π‘–πœ”0
(𝑒
) Φ𝑒 (πœ”0 ) Φ󸀠𝑒
(34)
(πœ”0 )
1
+ Φ2𝑒 (πœ”0 ) 𝐺0σΈ€ σΈ€  (π‘’π‘–πœ”0 )] .
2
|π‘ˆπ‘ (π‘˜)|4
𝐺𝑁ETFE (π‘’π‘—πœ”π‘˜ )
2𝐺0σΈ€ 
̂𝑁(π‘’π‘–πœ”0 ) as:
And the denominator of 𝐸𝐺
Window
function
GN (π‘’π‘—πœ”π‘˜ )
GD (π‘’π‘—πœ”π‘˜ )
For sake of convenience, we denote 𝐺0σΈ€  (π‘’π‘–πœ”0 )Φ𝑒 (πœ”0 )Φ󸀠𝑒 (πœ”0 ) +
(1/2)Φ2𝑒 (πœ”0 )𝐺0σΈ€ σΈ€  (π‘’π‘–πœ”0 ) − 𝐺0 (π‘’π‘–πœ”0 )Φ𝑒 (πœ”0 )Φ󸀠󸀠𝑒 (πœ”0 ) as Ω and
Φ󸀠𝑒 (πœ”0 )Φ󸀠𝑒 (πœ”0 ) + Φ𝑒 (πœ”0 )Φ󸀠󸀠𝑒 (πœ”0 ) as Υ. So the equation can be
rewritten as:
𝐺𝑁EFOP (π‘’π‘—πœ”π‘˜ )
Figure 1: Algorithm procedure.
Μ‚NEFOP (π‘’π‘–πœ”0 ) =
𝐸𝐺
|𝜌1 (𝑁)| ≤ 𝐢1 /√𝑁 and 𝐢1 = (2 ∑∞
π‘˜=1 |π‘˜π‘”0 (π‘˜)|) ⋅ max |𝑒(𝑑)|.
Given the Taylor expansion:
π‘–πœ‰
π‘–πœ”0
𝐺0 (𝑒 ) ≈ 𝐺0 (𝑒 ) + (πœ‰ −
πœ”0 ) 𝐺0σΈ€ 
Φ2𝑒 (πœ”0 ) + 2𝑀 (𝛾) [Φ󸀠𝑒 (πœ”0 ) Φ󸀠𝑒 (πœ”0 ) + Φ𝑒 (πœ”0 ) Φ󸀠󸀠𝑒 (πœ”0 )] .
(35)
Φ2𝑒 (πœ”0 ) + 𝑀 (𝛾) Υ
.
(36)
From the above equation, we can easily get that when 𝛾 →
∞ and 𝑀(𝛾) → 0:
Μ‚NEFOP (π‘’π‘–πœ”0 ) ≈ 𝐺0 (π‘’π‘–πœ”0 ) .
𝐸𝐺
(37)
Based on the property of the window function, we can obtain
the following inequality:
π‘–πœ”0
(𝑒 )
1
2
+ (πœ‰ − πœ”0 ) 𝐺0σΈ€ σΈ€  (π‘’π‘–πœ”0 ) ,
2
Μ‚NEFOP (π‘’π‘–πœ”0 ) − 𝐺0 (π‘’π‘–πœ”0 )
𝐸𝐺
Φ20 (πœ‰) ≈ Φ2𝑒 (πœ”0 ) + 2 (πœ‰ − πœ”0 ) Φ𝑒 (πœ”0 ) Φ󸀠𝑒 (πœ”0 )
(32)
< 𝑀 (𝛾) [2𝐺0σΈ€  (π‘’π‘–πœ”0 )
2
+ (πœ‰ − πœ”0 ) [Φ󸀠𝑒 (πœ”0 ) Φ󸀠𝑒 (πœ”0 )
+Φ𝑒 (πœ”0 ) Φ󸀠󸀠𝑒
𝐺0 (π‘’π‘–πœ”0 ) Φ2𝑒 (πœ”0 ) + 𝑀 (𝛾) Ω
(πœ”0 )] .
Note that the window function π‘Šπ›Ύ should satisfy the following equations:
Φ󸀠𝑒 (πœ”0 ) 1 σΈ€ σΈ€  π‘–πœ”0
+ 𝐺 (𝑒 )]
Φ𝑒 (πœ”0 ) 2 0
+ 𝑂(𝐢3 (𝛾)) + 𝑂(
𝛾→∞
(38)
1
).
√𝑁
𝑁→∞
When the first-order and second-order derivatives of the
Μ‚NEFOP (π‘’π‘–πœ”0 ) is
transfer function are bounded, the estimator 𝐺
asymptotically unbiased.
4.2. Variance Analysis and Rate of Convergence. From the
results of previous sections, we have:
πœ‹
∫ π‘Šπ›Ύ (πœ‰) π‘‘πœ‰ = 1;
−πœ‹
πœ‹
∫ πœ‰2 π‘Šπ›Ύ (πœ‰) π‘‘πœ‰ = 𝑀 (𝛾) ;
−πœ‹
πœ‹
∫ πœ‰π‘Šπ›Ύ (πœ‰) π‘‘πœ‰ = 0;
−πœ‹
πœ‹
󡄨 󡄨3
∫ σ΅„¨σ΅„¨σ΅„¨πœ‰σ΅„¨σ΅„¨σ΅„¨ π‘Šπ›Ύ (πœ‰) π‘‘πœ‰ = 𝐢3 (𝛾) ;
−πœ‹
(33)
Μ‚NEFOP (π‘’π‘–πœ”0 )
Μ‚NEFOP (π‘’π‘–πœ”0 ) − 𝐸𝐺
𝐺
πœ‹
󡄨4
󡄨
∫−πœ‹ π‘Šπ›Ύ (πœ‰ − πœ”0 ) σ΅„¨σ΅„¨σ΅„¨π‘ˆπ‘ (πœ‰)󡄨󡄨󡄨 (𝑉𝑁 (πœ‰) /π‘ˆπ‘ (πœ‰)) π‘‘πœ‰ (39)
≈
.
πœ‹
󡄨4
󡄨
∫−πœ‹ π‘Šπ›Ύ (πœ‰ − πœ”0 ) σ΅„¨σ΅„¨σ΅„¨π‘ˆπ‘ (πœ‰)󡄨󡄨󡄨 π‘‘πœ‰
6
Journal of Applied Mathematics
The nominator of (39) can be written as
Amplitude
25
πœ‹
󡄨2
󡄨
∫ π‘Šπ›Ύ (πœ‰ − πœ”0 ) σ΅„¨σ΅„¨σ΅„¨π‘ˆπ‘ (πœ‰)󡄨󡄨󡄨 π‘ˆπ‘ (πœ‰) 𝑉𝑁 (πœ‰) π‘‘πœ‰
−πœ‹
20
15
10
5
𝑁/2
2πœ‹
2πœ‹π‘˜
≈
− πœ”0 )
∑ π‘Š (
𝑁 π‘˜=−(𝑁/2)+1 𝛾 𝑁
0
0
2πœ‹π‘˜
) β‰œ 𝐴 𝑁,
𝑁
3
2.5
3
Phase (rad)
−1
−2
−3
−4
2πœ‹π‘™
2πœ‹π‘˜
2πœ‹π‘™
) 𝐸𝑉𝑁 (
) 𝑉𝑁 (−
)
𝑁
𝑁
𝑁
2󡄨
󡄨󡄨
2πœ‹π‘˜
2πœ‹π‘˜ 󡄨󡄨󡄨󡄨4
4πœ‹2
󡄨
π‘ˆ
[π‘Š
(
)]
(
−
πœ”
󡄨
𝛾
0
󡄨󡄨 𝑁 𝑁 )󡄨󡄨󡄨
𝑁2
𝑁
󡄨
󡄨
0
0.5
1
1.5
2
Frequency (rad/s)
True transfer function
EFOP smoothing
ETFE smoothing
(b)
Figure 2: Results of EFOP smoothing and ETFE smoothing for
system in (43) under πœŽπ‘’2 = 0.5. ErrorEFOP = 10.21; ErrorETFE =
23.35.
2πœ‹π‘˜
× [ΦV (
) + 𝜌2 (𝑁)]
𝑁
≈
2.5
(a)
󡄨󡄨
2πœ‹π‘™ 󡄨󡄨󡄨󡄨2
2πœ‹π‘˜
󡄨
× σ΅„¨σ΅„¨σ΅„¨π‘ˆπ‘ (−
)󡄨 π‘ˆ (
)
󡄨󡄨
𝑁 󡄨󡄨󡄨 𝑁 𝑁
=
2
0
󡄨󡄨
4πœ‹2
2πœ‹π‘˜
2πœ‹π‘˜ 󡄨󡄨󡄨󡄨2
󡄨
− πœ”0 ) σ΅„¨σ΅„¨σ΅„¨π‘ˆπ‘ (
)󡄨
∑∑π‘Šπ›Ύ (
2
󡄨󡄨
𝑁 π‘˜ 𝑙
𝑁
𝑁 󡄨󡄨󡄨
× π‘ˆπ‘ (−
1.5
True transfer function
EFOP smoothing
ETFE smoothing
𝐸𝐴 𝑁𝐴 𝑁
=
1
Frequency (rad/s)
󡄨󡄨
2πœ‹π‘˜ 󡄨󡄨󡄨󡄨2
2πœ‹π‘˜
󡄨
× σ΅„¨σ΅„¨σ΅„¨π‘ˆπ‘ (
)󡄨󡄨 π‘ˆπ‘ (
)
󡄨󡄨
󡄨
𝑁 󡄨
𝑁
× π‘‰π‘ (
0.5
2󡄨
󡄨󡄨
2πœ‹π‘˜
2πœ‹π‘˜ 󡄨󡄨󡄨󡄨4
2πœ‹π‘˜
4πœ‹2
󡄨
π‘ˆ
[π‘Š
(
)]
(
−
πœ”
󡄨
𝛾
0
󡄨󡄨 𝑁 𝑁 )󡄨󡄨󡄨 ΦV ( 𝑁 ) ,
𝑁2
𝑁
󡄨
󡄨
(40)
5. Simulations
In this section, we use the target system
where 𝜌2 (𝑁) ≤ 2𝐢/𝑁. Rewrite it in the integral form
𝐸𝐴 𝑁𝐴 𝑁 ≈
≈
2πœ‹ πœ‹ 2
∫ π‘Š (πœ‰ − πœ”0 ) Φ2𝑒 (πœ‰) ΦV (πœ‰) π‘‘πœ‰
𝑁 −πœ‹ 𝛾
1
π‘Š (𝛾) Φ2𝑒 (πœ”0 ) ΦV (πœ”0 ) .
𝑁
𝑦 (𝑑) − 0.2𝑦 (𝑑 − 1) + 0.4𝑦 (𝑑 − 2)
= 9𝑒 (𝑑 − 1) + 2𝑒 (𝑑 − 2) + 𝑒 (𝑑)
(41)
And the denominator part can be written approximately as
πœ‹
Φ2𝑒 (πœ”0 ). Notice ∫−πœ‹ π‘Šπ›Ύ2 (πœ‰)π‘‘πœ‰ = (1/2πœ‹)π‘Š(𝛾), so we have the
variance of the estimator
π‘Š (𝛾)
(1/𝑁) π‘Š (𝛾) ΦV (πœ”0 )
+π‘œ (
)
2
𝑁
Φ𝑒 (πœ”0 )
𝛾→∞
𝑁 → ∞,𝛾/𝑁 → 0
≈
(1/𝑁) π‘Š (𝛾) ΦV (πœ”0 )
.
Φ2𝑒 (πœ”0 )
{𝑒(𝑑)} is a white Pseudo-Random Binary Sequence (PRBS)
[12] noise with unit variance πœŽπ‘’2 = 1. And 𝑒(𝑑) is a gaussian
white noise with variance πœŽπ‘’2 .
We compared EFOP smoothing with ETFE smoothing
and cross-spectral method. In all simulations, a Hamming
window of length 2 is used for all methods:
𝑀 (𝑛) = 0.54 − 0.46 cos (2πœ‹
𝑛
).
𝑁
(44)
And the estimation errors are calculated by the following
equation:
Μ‚NEFOP (π‘’π‘–πœ”0 )]
Var [𝐺
=
(43)
𝑁
(42)
1/2
󡄨2
󡄨̂
error = ( ∑ 󡄨󡄨󡄨󡄨𝐺
(π‘˜) − 𝐺0 (π‘˜)󡄨󡄨󡄨󡄨 )
,
(45)
π‘˜=1
where 𝐺0 is the sample sequence of true transfer function
Μ‚ is the estimation result with same
with 𝑁 = 128. And 𝐺
length.
Journal of Applied Mathematics
7
Table 1: Estimation error for 3 methods under different noise variances.
Noise variance
Estimate error of ETFE smoothing
Estimate error of cross-spectral method
Estimate error of EFOP smoothing
0.1
23.34
12.23
9.88
0.4
25.62
13.43
10.68
0.7
27.14
16.83
13.14
1.3
38.27
21.56
16.67
1.9
66.48
29.89
24.79
20
15
10
5
0
0
0.5
1
1.5
2
2.5
15
10
5
3
0
0.5
1
Frequency (rad/s)
True transfer function
EFOP smoothing
ETFE smoothing
−1
−1
Phase (rad)
0
−2
−3
0
0.5
1
1.5
2
Frequency (rad/s)
2.5
3
2.5
3
(a)
0
−4
1.5
2
Frequency (rad/s)
True transfer function
EFOP smoothing
Cross spectrum method
(a)
Phase (rad)
1.6
41.31
25.87
20.86
20
Amplitude
Amplitude
25
1.0
32.86
17.32
13.96
2.5
3
True transfer function
EFOP smoothing
ETFE smoothing
−2
−3
−4
0
0.5
1
1.5
2
Frequency (rad/s)
True transfer function
EFOP smoothing
Cross spectrum method
(b)
(b)
Figure 3: Results of EFOP smoothing and ETFE smoothing for
system in (43) under πœŽπ‘’2 = 1.5. ErrorEFOP = 29.07; ErrorETFE =
42.80.
Figure 4: Results of EFOP smoothing and cross-spectral
method for system in (43) under πœŽπ‘’2 = 0.5. ErrorEFOP =
11.29; ErrorCrossSpectral = 13.95.
In Figures 2 to 5 we compared three methods for
frequency domain transfer function estimation. In each
figure, the top picture shows the amplitudes of the true
and estimated frequency domain transfer function and the
bottom picture shows the phase of them. Figures 2 and 3 are
comparison between EFOP smoothing and ETFE smoothing
under noise variance of 0.5 and 1.5. The estimation error
for EFOP smoothing and ETFE smoothing in Figure 2 are
10.21 and 23.35, respectively. And the estimation error for
EFOP smoothing and ETFE smoothing in Figure 3 are 29.07
and 42.80, respectively. Figures 4 and 5 are comparison
between EFOP smoothing and cross-spectral method under
noise variance of 0.5 and 1.5. The estimation error for EFOP
smoothing and cross-spectral method in Figure 4 are 11.29
and 13.95, respectively. And the estimation error for EFOP
smoothing and Cross Spectral Method in Figure 5 is 17.60 and
20.30, respectively.
In all simulations, the variance of input signals are 1. And
all results are obtained by smoothing with a same hamming
window of length 2. It can be seen from the results that
EFOP method gives better estimation of the transfer function
than ETFE and cross-spectral method. Figure 6 is obtained by
numerical simulations. The error values in Figure 6 are also
represented in Table 1. The estimation error increases with
noise signal ratio and EFOP smoothing gets estimations of
transfer function with lowest error values.
6. Conclusion
In this paper, the convergence of transfer function estimation
based on integrity form of the GPE criterion with frequency
domain window function is analyzed. This smoothing technic
gives better results on transfer functions of linear models than
traditional ETFE method, especially for systems disturbed by
large noises. The consistent property and convergence rate of
Journal of Applied Mathematics
20
0
15
−1
Phase (rad)
Amplitude
8
10
5
0
0
0.5
1
1.5
2
2.5
3
Frequency (rad/s)
True transfer function
EFOP smoothing
Cross spectrum method
−2
−3
−4
0
0.5
1
1.5
2
Frequency (rad/s)
2.5
3
True transfer function
EFOP smoothing
Cross spectrum method
(a)
(b)
Figure 5: Results of EFOP smoothing and cross-spectral method for system in (43) under πœŽπ‘’2 = 1.5 ErrorEFOP = 17.60; ErrorCrossSpectral =
20.30.
70
Estimation error
60
50
40
30
20
10
0
0
0.2
0.4
0.6
0.8
1
1.2
Noise variance
1.4
1.6
1.8
2
ETFE smoothing
Cross spectral
EFOP smoothing
Figure 6: Estimate error of EFOP smoothing, ETFE smoothing, and
cross-spectral method for system in (43) under πœŽπ‘’2 from 0.1 to 1.9.
this method are obtained. Simulations for identification of
frequency domain transfer functions are given to illustrate
the advantage of this technic derived.
Acknowledgment
This work is supported by the Funds 863 Project
2012AA040906, NSFC61171121, NSFC60973049, and the
Science Foundation of Chinese Ministry of EducationChina Mobile 2012.
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