Multilevel discrete time system identification in large scale systems†

Abstract

Abstract Hierarchical decomposition is considered to be one of the most powerful and offective tools to deal with complexity. Hierarchical system theory, which deals with system decomposition and coordination, can be used to decentralize and reduce the computational efforts requirements for many large-scale problems. This is achieved by decomposing the original system problem into several lower order easier to handle sub-problems, which are then coordinated such that the overall system objectives are met. In this work a hierarchical system theory approach to the discrete-time system identification problem is considered for stochastic large-scale system applications. A set of sequential discrete-time hierarchical identification algorithms, suitable for known and unknown system noise moments, are first obtained using a maximum a posteriori (MAP) approach with covariance matching and maximum likelihood (ML) methods. This is conducted in a two level hierarchical structure with two principles of coordination. Next, the hierarchical system identification algorithms are extended to multilevel hierarchical structures based on system characteristics of priority of action, spatial structure and time behaviour. This results in multilevel and composite multilevel coordinated system identification procedures, where each subsystem unit can be treated independently in reaching the overall system optimality. Application of these algorithms for the purpose of decentralization and reduction of computational requirements as well as adaptation to structural changes in growth and merger are considered.