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Specifying Initial Conditions for Iterative Estimation Algorithms

You can optionally specify how the iterative algorithm treats initial conditions for estimation of model parameters. This information supports the estimation procedures Estimate Process Models Using the App and Estimate Process Models at the Command Line.

In the System Identification app, set Initial condition to one of the following options:

  • Zero — Sets all initial states to zero.

  • Estimate — Treats the initial states as an unknown vector of parameters and estimates these states from the data.

  • Backcast — Estimates initial states using a backward filtering method (least-squares fit).

  • U-level est — Estimates both the initial conditions and input offset levels. For multiple inputs, the input level for each input is estimated individually. Use if you included an integrator in the transfer function.

  • Auto — Automatically chooses one of the preceding options based on the estimation data. If the initial conditions have negligible effect on the prediction errors, they are taken to be zero to optimize algorithm performance.

At the command line, specify the initial conditions using the InitialCondition model estimation option, configured using the procestOptions command. For example, use this command to estimate a first-order transfer function and set the initial states to zero:

opt = procestOptions('InitialCondition','zero');
model = procest(data,'P1D',opt)

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