n4sid 'prediction' focus vs. n4sid 'simulation' focus

Question

DemandQModeling 2019-8-1

0
链接

此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/474504-n4sid-prediction-focus-vs-n4sid-simulation-focus

回答： Chidvi Modala 2019-8-8

Why are there 'prediction' or 'simulation' settings in n4sidOptions? I thought that subspace identification finds a state space realization directly from input/output data.

I tried toggling this option on the n4sid algorithm for my dataset and found that the state space matrices were identical between the 'prediction' focus and 'simulation' focus options.

Is there something that I am missing here?

0 个评论
显示 -2更早的评论隐藏 -2更早的评论

请先登录，再进行评论。

请先登录，再回答此问题。

Answer 1

Chidvi Modala 2019-8-8

0
链接

此回答的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/474504-n4sid-prediction-focus-vs-n4sid-simulation-focus#answer_386695

As specified in the n4sid documentation, it estimates state space model using measured input-output data. The output represents the following system

xdot(t)=Ax(t)+Bu(t)+Ke(t)

y(t)=Cx(t)+Du(t)+e(t)

where e(t) is the disturbance

The model parameters are estimated by minimizing the error between the model output and measured response. The noise component is not trivial for n4sid. So ep(t) and es(t) are not equivalent. You can refer to https://www.mathworks.com/help/ident/ug/model-quality-metrics.html

0 个评论
显示 -2更早的评论隐藏 -2更早的评论

请先登录，再进行评论。

Answer 2

Chidvi Modala 2019-8-6

0
链接

此回答的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/474504-n4sid-prediction-focus-vs-n4sid-simulation-focus#answer_386373

n4sid estimates state-space realization from input/output data. ‘prediction’ and ‘simulation’ settings in n4sidOptions determines the error to be minimized in the loss function during estimation.

‘prediction’ option focuses on minimizing error between measured and predicted outputs during estimation. ‘simulation’ option focuses on minimizing error between measured and simulation outputs during estimation.

1 个评论
显示 -1更早的评论隐藏 -1更早的评论

DemandQModeling 2019-8-7

Can you point me to a reference explaining how the loss function is different between n4sid with a "prediction" focus and n4sid with a "simulation" focus?

I can understand that these options would yield different results for the prediction error method, where an iterative model parameter optimization routine is involved. But because n4sid uses projections on I/O data to realize the model's state space matrices instead of parameter optimization, I cannot understand how a "prediction" and "simulation" focus makes any difference in the final model.

请先登录，再进行评论。