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noise2meas

Noise component of linear identified model

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Syntax

noiseModel = noise2meas(sys)
noiseModel = noise2meas(sys,noise)

Description

noiseModel = noise2meas(sys) returns the noise component of a linear identified model, sys. Use noise2meas to convert a time-series model (no inputs) to an input/output model. You can use the converted model for linear analysis, including viewing pole/zero maps and plotting the step response.

example

noiseModel = noise2meas(sys,noise) specifies the noise variance normalization method.

example

Examples

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Open Live Script

Convert a time-series model to an input/output model that may be used by linear analysis tools.

Identify a time-series model. 

load iddata9 z9
sys = ar(z9,4,'ls');

sys is an idpoly model with no inputs.

Convert sys to a measured model. 

noise_model = noise2meas(sys);

noise_model is an idpoly model with one input.

You can use noise_model for linear analysis functions such as step, iopzmap, etc.

Open Live Script

Convert an identified linear model to an input/output model, and normalize its noise variance.

Identify a linear model using data. 

load twotankdata;
z = iddata(y,u,0.2);
sys = ssest(z,4);

sys is an idss model, with a noise variance of 6.6211e-06. The value of L is sqrt(sys.NoiseVariance), which is 0.0026.

View the disturbance matrix. 

sys.K
ans = 4×1

    0.2719
    1.6570
    0.6318
    0.2877

Obtain a model that absorbs the noise variance of sys. 

noise_model_normalize = noise2meas(sys,'normalize');

noise_model_normalize is an idpoly model.

View the B matrix for noise_model_normalize.

noise_model_normalize.B
ans = 4×1

    0.0007
    0.0043
    0.0016
    0.0007

As expected, noise_model_normalize.B is equal to L*sys.K.

Compare the bode response with a model that ignores the noise variance of sys. 

noise_model_innovation = noise2meas(sys,'innovations');
bodemag(noise_model_normalize,noise_model_innovation);
legend('Normalized noise variance','Ignored noise variance');

MATLAB figure

The difference between the bode magnitudes of the noise_model_innovation and noise_model_normalized is approximately 51 dB. As expected, the magnitude difference is approximately equal to 20*log10(L).

Input Arguments

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Identified linear model, specified as one of the following model objects.

  • idss — State-space model

  • idtf — Transfer function model

  • idproc — Process model

  • idpoly — Polynomial model

  • idgrey — Linear grey-box model

  • idfrd — Frequency response data model

sys represents the system:

y(t)=Gu(t)+He(t)

G is the transfer function between the measured input, u(t), and the output, y(t). H is the noise model and describes the effect of the disturbance, e(t), on the model response.

An equivalent state-space representation of sys is

x˙(t)=Ax(t)+Bu(t)+Ke(t)y(t)=Cx(t)+Du(t)+e(t)e(t)=Lv(t)

v(t) is white noise with independent channels and unit variances. The white-noise signal e(t) represents the model innovations and has variance LLT. The noise-variance data is stored using the NoiseVariance property of sys.

Noise variance normalization method, specified as one of the following values.

  • 'innovations' — Noise sources are not normalized and remain as the innovations process.

  • 'normalize' — Noise sources are normalized to be independent with unit variance.

Output Arguments

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Noise component of identified model, returned as an idss, idtf, idpoly, or idfrd object.

The model type of noiseModel depends on the model type of sys.

  • noiseModel is an idtf model if sys is an idproc model.

  • noiseModel is an idss model if sys is an idgrey model.

  • noiseModel is the same type of model as sys for all other model types.

To obtain the model coefficients of noiseModel in state-space form, use ssdata. Similarly, to obtain the model coefficients in transfer-function form, use tfdata.

Noise Sources Not Normalized

If noise is 'innovations', then noise2meas returns H and noiseModel represents the system

y(t)=He(t)

An equivalent state-space representation of noiseModel is

x˙(t)=Ax(t)+Ke(t)y(t)=Cx(t)+e(t)

noise2meas returns the noise channels of sys as the input channels of noiseModel. The input channels are named using the format 'e@yk', where yk corresponds to the OutputName property of an output. The measured input channels of sys are discarded and the noise variance is set to zero.

Noise Sources Normalized

If noise is 'normalize', then noise2meas first normalizes

e(t)=Lv(t)

noiseModel represents the system

y(t)=HLv(t)

or, equivalently, in state-space representation

x˙(t)=Ax(t)+KLv(t)y(t)=Cx(t)+Lv(t)

The input channels are named using the format 'v@yk', where yk corresponds to the OutputName property of an output.

Version History

Introduced in R2012a

See Also

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