Discrete and Dynamic system Matlab - matlab

I'm using recusive least squares (RLS) to identify system parameters for a dynamical system. The RLS algorithm is implemented in discrete time, while the real system is continuous. In practice this is easily done, but how can I simulate these two together? A sequential solution doesn't help, since I want to use the RLS estimate to influence the system input.
The built-in event-triggering can only stop integration, if I got that right. Thus, I'd have to stop at each sampling point of the RLS algorithm and then solve the ode between samples. -> How is this implemented in Simulink?

The only real solution I found was to implement my own RK45 with adaptive step size. It is designed to take discrete and continuous systems (ode and difference equations) and solves with adaptive step size until a new sample has to be taken. This method works like a charm - with slow dynamics only the discrete points are sampled for sufficiently small sampling times and fast dynamics yield small integration step sizes, as expected!
Also the implementation was way less effort than expected and compares surprisingly well to matlabs ode45, ie. lower computational cost, higher accuracy, less oscillations after discrete jumps in the ode!

Related

How to test whether the ODE integration has reached equilibrium?

I am using Matlab for this project. I have introduced some modifications to the ode45 solver.
I am using sometimes up to 64 components, all in the [0,1] interval and the components sum up to 1.
At some intervals I halt the integration process in order to run a quick check to see whether further integration is needed and I am looking for some clever way to efficiently figure this one.
I have found four cases and I should be able to detect each of them during a check:
1: The system has settled into an equilibrium and all components are unchanged.
2: Three or more components are wildly fluctuating in a periodic manner.
3: One or two components are changing very rapidly with low amplitude and short frequency.
4: None of the above is true and the integration must be continued.
To give an idea: I have found it to be a good practice to use the last ~5k states generated by the ode45 solver to a function for this purpose.
In short: how does one detect equilibrium or a nonchanging periodic pattern during ODE integration?
Steady-state only occurs when the time derivatives your model function computes are all 0. A periodic solution like you described corresponds rather to a limit cycle, i.e. oscillations around an unstable equilibrium. I don't know if there are methods to detect these cycles. I might update my answers to give more info on that. Maybe an idea would be to see if the last part of the signal correlates with itself (with a delay corresponding to the cycle period).
Note that if you are only interested in the steady state, an implicit method like ode15s may be more efficient, as it can "dissipate" all the transient fluctuations and use much larger time steps than explicit methods, which must resolve the transient accurately to avoid exploding. However, they may also dissipate small-amplitude limit cycles. A pragmatic solution is then to slightly perturb the steady-state values and see if an explicit integration converges towards the unperturbed steady-state.
Something I often do is to look at the norm of the difference between the solution at each step and the solution at the last step. If this difference is small for a sufficiently high number of steps, then steady-state is reached. You can also observe how the norm $||frac{dy}{dt}||$ converges to zero.
This question is actually better suited for the computational science forum I think.

Neural Networks back propogation

I have gone through neural networks and have understood the derivation for back propagation almost perfectly(finally!). However, I had a small doubt.
We are updating all the weights simultaneously, so what is the guarantee that they lead to a smaller cost. If the weights are updated one by one, it would definitely lead to a lesser cost and it would be similar to linear regression. But if you update all the weights simultaneously, might we not cross the minima?
Also, do we update the biases like we update the weights after each forward propagation and back propagation of each test case?
Lastly, I have started reading on RNN's. What are some good resources to understand BPTT in RNN's?
Yes, updating only one weight at the time could result in decreasing error value every time but it's usually infeasible to do such updates in practical solutions using NN. Most of today's architectures usually have ~ 10^6 parameters so one epoch for every parameter could last enormously long. Moreover - because of nature of backpropagation - you usually have to compute loads of different derivatives in order to compute derivative with respect to a parameter given - so you will waste a lot of computations when using such approach.
But the phenomenon which you mention has been noticed a long time ago and there are some ways in dealing with it. There are two most common issues connected with it:
Covariance shift: it's when error and weight updates of a layer given strongly depends on output from previous layer, so when you update it - the results in the next layer might be different. The most common way to deal with this problem right now is Batch normalization.
Nolinear function vs Linear Differentation: it's quite uncommon when you think about BP but derivative is a linear operator which might generate a lot of problems in gradient descent. The most countintuitive example is the fact that if you multiply your input by a constant then every derivative will also be multiplied by the same number. This may lead to a lot of problems but most of recent methods of learning do a great job in dealing with it.
About BPTT I stronly recomend you Geoffrey Hinton course about ANN and especially this video.

Modelling dynamical systems with MATLAB/Mathematica

Recently I have been performing simulations on some dynamical system, where all the dynamical quantities are interdependent. To therefore simulate the dynamics I performed loops over small time steps dt<<1 and changed the quantities within each iteration. The simulations were done in respectively Mathematica and Matlab.
I got nice results but simulations could take quite long due to the slow iteration process. Generally I hear that one should avoid for loops like I have used, because they slow down the simulation greatly. On the other hand however I am clueless on how to do the simulations without iterations in small time steps. Therefore I ask you: For a dynamical system, where every quantity must be changed in ultra small time steps, what are then the possible methods for for simulating the dynamics.
The straightforward approach is to write the problem as a set of differential equations and use the ODE solving capabilities of either system. Both MATLAB and Mathematica have advanced (and customizable) numerical differential equation solvers, and they both support special "events" in the differential equations that can't be expressed using a simple formula (e.g. the event of a ball bouncing back from the floor).
For Mathematica, first check out NDSolve, WhenEvent then later the Advanced Numerical Differential Equation Solving tutorial.
From your description it sounds like you may be using a naive ODE solving method such as the Euler method. Using a better numerical ODE solving technique can give significant effective speedups (by not forcing you to use "ultra small time steps").
If performance is paramount, consider re-implementing the simulation in a low-level language like C or C++, and possibly making it callable from Mathematica (LibraryLink) to allow easy data analysis and visualization.

How to smooth rectangular signal with high order rate-limiter in Simulink?

Imagine I have a rectangular reference value for the position/displacement x and I need to smooth it.
The math for translatoric movements is quite simple:
speed: v = x'
acceleration: a = v' = x''
jerk. j = a' = v'' = x'''
I need to limit all these values. So I thought about using rate limiters in Simulink:
This approach works perfect for ramp signals, as you can see in the following output:
BUT, my reference signals for x are no ramps, they are rectangles/steps. Hence the rate limiters are not working, because the derivatives they get to limit are already infinite and Simulink throws an error. How can I resolve this problem? Is there actually a more elegant way to implement the high order rate-limiters? I guess this approach could be unstable in some cases.
continue reading: related question
Even though it seems absurd, the following approach is working: integration and instant derivation does the trick:
leading to:
More elegant, faster and simpler solutions for the whole smoothing problem are highly appreciated!
It's generally not a good idea to differentiate signals in Simulink because of numerical issues, I would advise to start with the higher order derivatives (e.g. acceleration) and integrate, much more robust numerically. This is what the doc about the derivative block says:
The Derivative block output might be very sensitive to the dynamics of
the entire model. The accuracy of the output signal depends on the
size of the time steps taken in the simulation. Smaller steps allow a
smoother and more accurate output curve from this block. However,
unlike with blocks that have continuous states, the solver does not
take smaller steps when the input to this block changes rapidly.
Depending on the dynamics of the driving signal and model, the output
signal of this block might contain unexpected fluctuations. These
fluctuations are primarily due to the driving signal output and solver
step size.
Because of these sensitivities, structure your models to use
integrators (such as Integrator blocks) instead of Derivative blocks.
Integrator blocks have states that allow solvers to adjust step size
and improve accuracy of the simulation. See Circuit Model for an
example of choosing the best-form mathematical model to avoid using
Derivative blocks in your models.
See also Best-Form Mathematical Models for more details.
I was trying to do something similar. I was looking for a "Smooth Ramp". Here is what I found:
A simpler approach is to combine ramp with a second order lag. Then the signal approachs s-shape. And your derivatives will exist and be smooth as well. Only thing to remember is that the 2nd or lag must be critically damped.
Y(s) = H(s)*X(s) where H(s) = K*wo^2/(s^2 + 2*zeta*wo*s + wo^2). Here you define zeta = 1.0. Then the s-shape is retained for any K and wo value. Note that X(s) has already been hit by a ramp. In matlab or any other tools, linear ramp and 2nd lag are standard blocks.
Good luck!
I think the 'Transfer Fcn' block is what you're looking for.
If you leave the equation in the default form 1/(s+1) you have a low-pass filter which can be tuned to what you need by changing the numerator and denominator coefficients.

Running a Simulink xPC block at a faster rate than the continuous rate

I have a Simulink xPC target application that has blocks with discrete states at several different sample rates and some sections using continuous states. My intention on keeping the continuous states is for better numerical integration.
What creates the problem: One block is reading a device at a very fast rate (500 hz). The rest of the application can and should run at a slower rate (say, 25 or 50 Hz) because it would be overkill to run it at the highest rate, and because the processor simply cannot squeeze a full application cycle into the .002 secs of the faster rate. So I need both rates. However, the continuous states run by definition in Simulink at the faster discrete rate of the whole application! This means everywhere I have continuous states now they're forced to run at 500 Hz when 25 Hz would do!
Is there a way to force the continuous states in xPC target to a rate that is not the fastest in the application? Or alternatively, is there a way to allow certain block to run at a faster speed than the rest of the application?
You are thinking about continuous solvers in the wrong way - continuous doesn't only mean that it's run as fast as possible - it uses a fundamentally different algorithm to solve the equations than discrete. Due to this, they must be run at least as fast as the discrete solvers.
From Using Simulink:
Continuous solvers use numerical
integration to compute a model's
continuous states at the current time
step from the states at previous time
steps and the state derivatives.
Continuous solvers rely on the model's
blocks to compute the values of the
model's discrete states at each time
step.
Mathematicians have developed a wide
variety of numerical integration
techniques for solving the ordinary
differential equations (ODEs) that
represent the continuous states of
dynamic systems. Simulink provides an
extensive set of fixed-step and
variable-step continuous solvers, each
implementing a specific ODE solution
method (see Solvers).
Discrete solvers exist primarily to
solve purely discrete models. They
compute the next simulation time step
for a model and nothing else. They do
not compute continuous states and they
rely on the model's blocks to update
the model's discrete states.
So the upshot is that no it's not good enough to have the continuous run more slowly than the fastest discrete solvers - otherwise they are, by definition, not continuous. You should reconsider why you are specifying them as continuous.
What are you trying to accomplish by slowing down the continuous solvers? Is this a simulation time/performance issue?
-Adam
My take on this is that it cannot be done. One way to approach this is to replace the continuous states by discrete ones (perhaps at an intermediate rate, say 100 Hz), and cross my fingers that the loss of precision is bearable.
Maybe it's possible to isolate a block and run it separately at a faster rate somehow, but I don't know.
Truly continuous computation is impossible in a digital processor such as your computer's.
What MATLAB/Simulink means by "continuous" is "I will (dynamically) try to guess what discrete step size is small enough so that discretization error is very small in your application".
If you already know, by knowing your application, that 20ms (50Hz) would be small enough, then use discrete - 50Hz.