I am working on a research article
Local Stabilization of Time-Delay Nonlinear Discrete-Time Systems
Using Takagi-Sugeno Models and Convex Optimization
written by Luís F. P. Silva, Valter J. S. Leite, Eugênio B. Castelan, and Michael Klug.
In this paper we get a state space like
dx = A*x + Ad * xd
here x are the states of system and xd are the delayed states.
I am getting confused that how do we plot the states of this system.
Possibilities:
The simplest thing to do is to plot the states of the system x against time as separate variables.
If the dimensionality is low (say <3), like in the example 4.1 at page 7, you can plot the phase space against time, as done in Figure 1, as a parametric curve. See also this entry of Wikipedia.
If the dimensionality is high, you may use Taken's embedding theorem to reduce the dimensionality. See in particular the "Simplified, slightly inaccurate version" for how to do it.
Related
I found a Matlab implementation of the LKT algorithm here and it is based on the brightness constancy equation.
The algorithm calculates the Image gradients in x and y direction by convolving the image with appropriate 2x2 horizontal and vertical edge gradient operators.
The brightness constancy equation in the classic literature has on its right hand side the difference between two successive frames.
However, in the implementation referred to by the aforementioned link, the right hand side is the difference of convolution.
It_m = conv2(im1,[1,1;1,1]) + conv2(im2,[-1,-1;-1,-1]);
Why couldn't It_m be simply calculated as:
it_m = im1 - im2;
As you mentioned, in theory only pixel by pixel difference is stated for optical flow computation.
However, in practice, all natural (not synthetic) images contain some degree of noise. On the other hand, differentiating is some kind of high pass filter and would stress (high pass) noise ratio to the signal.
Therefore, to avoid artifact caused by noise, usually an image smoothing (or low pass filtering) is carried out prior to any image differentiating (we have such process in edge detection too). The code does exactly this, i.e. apply and moving average filter on the image to reduce noise effect.
It_m = conv2(im1,[1,1;1,1]) + conv2(im2,[-1,-1;-1,-1]);
(Comments converted to an answer.)
In theory, there is nothing wrong with taking a pixel-wise difference:
Im_t = im1-im2;
to compute the time derivative. Using a spatial smoother when computing the time derivative mitigates the effect of noise.
Moreover, looking at the way that code computes spatial (x and y) derivatives:
Ix_m = conv2(im1,[-1 1; -1 1], 'valid');
computing the time derivate with a similar kernel and the valid option ensures the matrices It_x, It_y and Im_t have compatible sizes.
The temporal partial derivative(along t), is connected to the spatial partial derivatives (along x and y).
Think of the video sequence you are analyzing as a volume, spatio-temporal volume. At any given point (x,y,t), if you want to estimate partial derivatives, i.e. estimate the 3D gradient at that point, then you will benefit from having 3 filters that have the same kernel support.
For more theory on why this should be so, look up the topic steerable filters, or better yet look up the fundamental concept of what partial derivative is supposed to be, and how it connects to directional derivatives.
Often, the 2D gradient is estimated first, and then people tend to think of the temporal derivative secondly as independent of the x and y component. This can, and very often do, lead to numerical errors in the final optical flow calculations. The common way to deal with those errors is to do a forward and backward flow estimation, and combine the results in the end.
One way to think of the gradient that you are estimating is that it has a support region that is 3D. The smallest size of such a region should be 2x2x2.
if you do 2D gradients in the first and second image both using only 2x2 filters, then the corresponding FIR filter for the 3D volume is collected by averaging the results of the two filters.
The fact that you should have the same filter support region in 2D is clear to most: thats why the Sobel and Scharr operators look the way they do.
You can see the sort of results you get from having sanely designed differential operators for optical flow in this Matlab toolbox that I made, in part to show this particular point.
I have AR(1) model with data samples $N=500$ that is driven by a random input sequence x. THe observation y is corrupted with measurement noise $v$ of zero mean. The model is
y(t) = 0.195y(t-1) + x(t) + v(t) where x(t) is generated as randn(). I am unsure how to represent this as a state space model and how to estimate the parameters $a$ and the states. I tried the state space representation would be
d(t) = \mathbf{a^T} d(t) + x(t)
y(t) = \mathbf{h^T}d(t) + sigma*v(t)
sigma =2.
I cannot understand how to perform parameter and state estimation. Using the toolbox mentioned below, I checked the Equations of KF to be matching with those in textbooks. However, the approach for parameter estimation is different. I will appreciate a recommendation for the implementation procedure.
Implementation 1:
I am following the implementation here : Learning Kalman Filter. This implementation does not use Expectation Maximization to estimate the parameters of AR model and it finds out the Covariance of the process noise. In my case, I don't have a process noise, but an input $x$.
Implementation 2: Kalman Filter by Kevin Murphy is another toolbox which uses EM for parameter estimation of AR model. Now, it is confusing since both the implementations uses different approach for parameter estimation.
I am having a tough time figuring out the correct approach, the state space model representation and the code. Shall appreciate recommendations on how to proceed.
I ran the first implementation for the KalmanARSquareRoot technique and the result is completely different. There is Exponential Moving Average Smoothing being performed and a MA filer of length 30 being used. The toolbox runs fine if I run the Demo examples. But on changing the model, the result is extremely poor. Maybe I am doing something wrong. Do I need to change the equations of KF for my time series?
In the second implementation, I cannot figure out what and where to change the Equations.
In general, if I have to use these tools, then do I need to change the KF equations for every time series model? How do I write the Equations myself if these toolboxes are inappropriate for all the time series model - AR, MA, ARMA?
I only have a bit of experience with Kalman Filters, so take this with a grain of salt.
It seems you shouldn't need to change the equations at all. Working with the second package (learn_kalman), you can create an A0 matrix of size [length(d(t)) length(d(t))]. C0 is the same, and in your case the initial state probably makes sense to be the Identity matrix (unlike your A0. All you need to do is choose a good initial condition.
However, I took a look at your system (plotted an example) and it seems noise dominates your system. KF is an optimal estimator but I have not known it to reject that much noise. It only guarantees a reduced covariance...which means that if your system is mostly dominated by noise, you will calculate a bad model that estimates your system given the noise!
Try plotting [d f] where d is the initial data and f is calculated using the regressive formula f(t) = C * A * f(t-1) :
f(t) = A * f(t-1)
; y(t) = C * f(t)
That is, pretend as if there is no noise but using the estimated AR model. You will see that it rejects all the noise and 'technically' models the system well (since the only unique behaviour is at the very beginning).
For example, if you have a system with A = 0.195, Q=R=0.l then you will converge to an A = 0.2207 but it still isn't good enough. Here the problem is that your initial state is so low, that within a few steps of data and you are essentially at 0 accounting for noise. Naturally KF can converge to a LOT of model solutions that are similar. Any noise will throw off even the best initial condition.
If you increase the resolution of your data in some way (e.g. larger initial condition, more refined timesteps) you will see a good fit. Ex, changing your initial condition to 110 and you'll find the two curves similar, though the model is still fairly different.
I am not aware of any approach to model your data well. If the noise variance is in fact 1 and your system converges to 0 that quickly, it seems doomed to not be effectively modelled since you just don't capture any unique behaviour in the dataset.
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.
I have just started understanding modeling techniques based on regression models and was going through MATLAB curve fitting toolbox and the SO. I have fundamental doubts and unable to proceed further. I have a single vector set with k=100 data points which I want to fit into an AR model,MA model,ARMA model successively to see which is better suited.Starting with an AR(p) model of the form y(k+1)=a*y(k)+ b*y(k-1)The command
coeff = polyfit(x,y,d)
will fit a polynomial of degree say d=1 with p number of coefficients indicating the order of the model (AR(p)). But I just have 1 set of data which is the recording of the angular moment.So,what will go as the first parameter (x) of the function signature i.e what will be x,y?Then, what if the linear models are not good enough so I may have to select the nonlinear models.Can somebody please guide with code snippets what are the steps in fitting,checking for overfitting,residual calculation etc.
x is likely to be k (index of y). And the whole code:
c =polyfit(1:length(y), y, d).
Matlab has a curve fitting toolbox. You could use it to check different nonlinear fitting in GUI to get some intuition.
If you want steps there's a great Coursera Machine Learning course. The beginning of this course is related to linear regression and I recommend you to spend some hours at least on that beginning.
Drawing bifurcation diagram for 1D system is clear but if I have 2D system on the following form
dx/dt=f(x,y,r),
dy/dt=g(x,y,r)
And I want to generate a bifurcation diagram in MATLAB for x versus r.
What is the main idea to do that or any hints which could help me?
You first have to do some math:
Setting each of the functions to zero gives you two functions y(x) (called the nullclines), which you can plot in a phase diagram. Where the two lines intersect are the fixed-points (equilibria) of your system.
Now, you have to take the jacobian of your system and plug each of those fixed-points in, which will give you the linear stability analysis of the system.
The location of the fixed points and the stability of each point can now be computed as a you vary r (the bifurcation parameter).
For the programming:
-use newton's method (fsolve in MATLAB) to find where the equations are zero
-eig will help you find the eigenvalues of the system.
However
It depends on your system.
If you're supposed to be looking for limit cycles or chaos or something, you'll have to use one of the ode solvers and then the analysis becomes more tricky. I suppose you could develop a poincare-bendixson algorithm, but that would be involved and details would depend on your system.
I don't think MATLAB has anything built in that would give you a bifurcation diagram. There is this third-party solution:
http://www.mathworks.com/matlabcentral/fileexchange/8382