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A Metric in Angularly recognizing system behavior or states that
exceed a permitted region of operation. Concept
Quantized Polar Domain for drift addresses the very slow and gradual
changes in processes. Novelty detection emerged
Pole-Based Classification of from the field of machine learning and has its
focus on discerning incoming information with
Stochastic Models and respect to its coverage by already learned
models and pattern. In all those areas, a form of
Dynamic Systems model/system comparison (based on either
dissimilarity/distance/divergence or contrast)
and consequent classification is required. [9]
Abstract Autoregressive (AR) models are
used in a variety of applications and an AR Commonly used dissimilarity measures between
model can be represented by the poles AR-model pairs include the Itakura divergence,
corresponding to describing AR coefficients. the Itakura-Saito divergence, the log-spectral
Similarly, the behavior of linear dynamic single- distance or Jeffreys divergence (JD) which are
input-single-output (SISO) systems can be based on spectral characteristics of the
described as a function of the system poles, processes. [9],[6] One common distance
which are directly estimated from the given data measure between systems is based on the
and represent a system as a set of poles without spectral characteristics, namely a distance
any identities, which is analogous to the nature between the cepstra, the inverse Fourier
of association-free multi-target tracking and transform of the logarithm of the power
corresponding application of set distances spectrum. The ARMA distance, a metric for
known as optimal subpattern assignment ARMA processes as the distance of two cepstra,
(OSPA) distance. In this work, we define a new can be calculated by a function of the system
metric in terms of sums and differences of poles. [4] Another distance measure between
magnitude and angles of poles in pole-space and systems is association-free distance measure,
provide a measure of the distance between AR namely the optimal subpattern assignment
processes, or linear dynamic systems (OSPA) distance (and a variant of it called as
represented by poles. MAX-OSPA), the system distance as a distance
between their sets of poles representing the
Index TermsAutoregressive (AR) models, spectral characteristics of the system. [1], [2], [9]
classification, stochastic models, metric, distance
measures, poles, linear dynamic systems The key to comparison and classification of
models or systems represented by poles is a set
I. INTRODUCTION of representative and intuitive parameters, (in
order to define a distance measure as a basis for
In many applications, autoregressive (AR) decision-making) which can be the set of the AR
models are increasingly popular. In radar signal parameters or system coefficients, the set of
processing, the properties of the Gaussian clutter poles or the corresponding PSDs. [9], [10] In this
can be analyzed by modeling it by an AR process. work, the main contribution is a new approach
In biomedical applications, AR models can be and derivation of a novel metric based on poles
used to classify signals of patients with a specific which can be used for classification of AR
pathology from signals recorded with healthy processes, or classification, identification or
people. In speech processing such as speech change detection in linear dynamic systems
analysis and Kalman-filter based enhancement, represented by system poles.
sets of AR parameters { } estimated by
different methods, are often compared one The remainder of this paper is structured as
another. [10] Another area is classification of follows. First, in Sec. II we give a formal
systems described by poles which includes description of the problem along with
several similar but slightly different topics. parametric models, pole estimation and existing
Change detection considers the problem of approaches. Sec. III introduces the classification
finding modifications to the system based on of stochastic models and linear dynamic systems
observations. Anomaly detection is concerned in pole-space. We derive an efficient novel
with finding elements or behavioral patterns metric in pole-space in Sec. IV. A numerical
deviating from elements or patterns that are example along with a comparison of the
defined as normal. Outliers detection addresses proposed metric is presented in Sec. V. Finally,
the problem of finding elements of a set that Sec. VI concludes the work.
deviate markedly from other set members. Fault
detection is concerned with the problem of
1
II. PROBLEM STATEMENT D. Existing Approaches
(1 /)
() = 2 =0 = 2 =1
(3) (, ) = [() ( )]2 + [() ( )]2
=0
(1 /)
=1
(4)
which is the Euclidian distance between and
where 0 = 0 = 1, the s are the AR in the complex plane. Let and be two poles of
coefficients, s are the MA coefficients, and a discrete-time system in the plane. The base
are the poles and zeros of the model distance (, ) between and is defined as
respectively. [4]
1
(, ) = [() ( )]2 + [ ]2 (5)
C. Pole Estimation
2
(6)
() () E. Limitations & Requirements
with 1 , ( , ) is the base distance
() ()
between the two elements and
and
Most of the existing or proposed metrics or
describes all permutations of the set {1,2, , }. measures use either norms for distances
between poles in domain or transformed
()
The notation () represents the -th element of poles in domain assisted with some
()
the permutation of which is generated by weighting schemes. The pole representation in
either in domain or in domain is a two
reordering the vector. Given two sets of poles by
() () dimensional representation and any distance
the two vectors and , the MAX-OSPA measure based solely on this two dimensional
distance is defined by representation (which corresponds to a pattern
with two features forming a two dimensional
() () () () feature vector) is far from measuring the
( , ) = max=1,2,.. ( ( , () )) distance between corresponding
(7) models/systems. Besides a distance measure in
where is the optimal OSPA permutation given pole-space must consider not only the distance
by between poles of reference and test models but
also the distance among the poles (intra-pole
()
= min [max=1,2,.. ( ( , () ))]
()
(8) distance) of each model/system. So the distance
among poles of a model is a factor as well, which
might be as important as the closeness of a pole
So, the maximum base distance between two to the unit circle. In other words, the metrics or
() () distance measures based solely on two
single elements of a pair and is chosen,
while using the optimal subpattern assignment dimensional representation might suffer from
over the maximum norm ( ) resulted in loss of available information. ARMA metric can
minimized maximal base distance. be thought as a nonlinear transformation of two
dimensional space into a higher dimensional
The OSPA distance finds the optimal assignment space and might not have suffering from loss of
by minimizing over the sum of distances information.
between poles. The MAX-OSPA chooses an
optimal assignment by minimizing the maximum The main requirement can be defined as reliable,
distance between two poles. analytically tractable, physically meaningful and
computationally efficient metric to measure
In OSPA and MAX-OSPA a weighting scheme is distance between models or systems in their
generally used (usually as the exponential associated spaces. We are outlining a new
weighting) in order to take closeness of poles to approach and a new metric based on this
unit circle (or imaginary axis in domain) into requirements avoiding majority of the
account [9] limitations next in Section IV.
3
() ()
Consider two 1 (as pole vectors, consisting of (or ) as components in the
poles as components of the vector) respective diagonal elements. (and also provides
() () () ()
= [1 , 2 , , ] a link to cepstrum, FFT and PSD domains)
() () () ()
= [1 , 2 , , ] (10)
() ()
where and represents the pole vectors
of reference and test models/systems
() ()
respectively. and are the poles which can
be written as
() () ()
=
() () ()
= (11)
in polar domain. The key idea is extracting
information contained in poles by using a
transformation to a higher dimensional space in
such a way that each pole (actually magnitude of
each complex pole) corresponds to a coordinate Figure 1. Selection of angular
in the new transformed space and each quantization parameter (number of
model/system can be represented as a point angular sectors) based on minimum
(which is defined by the coordinates of the angular separation between poles
model/system) in this high dimensional space,
(which can be thought as a model/system space Although we will not use angular sectorization
where magnitudes of poles forms the and high dimensional space in final metric
coordinates as aligned vectors with a subgroup definition, it is useful in derivation. Selection of
of the axes of new space) . is important and one condition on that comes
from representability of each model/system as a
Assume that polar domain is quantized angularly point in the new high dimensional space, which
(with angular sectors, each angular sector means each angular sector must contain only
width is 2/, = 2/ and they are one pole of either reference or test model
numbered from 1 to in counterclockwise otherwise none. This can be satisfied by
direction starting from (0,1) point of complex selecting considering the minimum angular
plane) as shown in Fig.1, each non-empty (not separation between poles of either test or
containing any poles) angular sector contains reference model, whichever is smaller. (This
either one pole of reference model or one pole of operation takes the distance among poles of
test model. model/system (intra-poles distance) argument
in previous section into account)
If we think each angular sector as an axis of the
new space (which is the high dimensional C. Proposed Metric
transform space with dimension ), then each
model/system can be uniquely represented as Since we have -dimensional vector space and
dimensional vectors () () models/systems represented as points in this
and which are
space as
()
() () ()
= [0, 0, . . 1 , 2 , , ,0,0]
()
() () ()
= [0, 0, . . 1 , 2 , , ,0,0]
()
() () ()
= [0, 0, . . 1 , 2 , , ,0,0] (12)
()
() () ()
= [0, 0, . . 1 , 2 , , ,0,0] (13)
now model/system vectors for reference and
test models/systems respectively.(note that, the then we can use familiar vector space properties
() () () and define the metrics to measure distance
positions of both and components in between the models/systems.
and ()
is based on angular quantization and the
value of ). Although usual vector space metrics (1 and 2
or -norms for example) can be used to measure
This operation (angular quantization and distance between two models represented by
obtaining model/system vectors) can be thought ()
vectors and ()
, this would be a coarse
as transforming the original 1pole vectors to distance measure (does not take angular sector
1 vectors by a rank matrix which contains index or angular separation into account, and
4
results in virtual equidistant models) and space formed by radial quantization and weights
requires formation of those -dimensional as pole angle differences are the absolute value
vectors implying realization of angular metrics on this new high dimensional space
sectorization by search methods or matrix constructed by radial quantization. Then
multiplication which we avoid due to weighted distance measure can be written as;
computational efficiency considerations. To be
able to take effect of angular separation into 1 ()
= 1 ( () () ()
, ) = | () ()|
account and in fact to be able to provide a solid =1
link to cepstrum, FFT and PSD domains a form (16)
of weighting should be applied as well. where is the diagonal weighting matrix
Weighting can be applied either in complex with each diagonal element is in the form of
domain as pre-weighting (which is a transform multiples of ,
() ()
of 1vectors and by a real valued
0 0
diagonal weighting matrix) or in high
0 2 . .
dimensional transform space as post weighting =[ ] (17)
.
(which is a transform of 1 vectors ()
and 0 .
()
by a real valued diagonal weighting
matrix). In first case since original poles move In limiting case when any two poles are too
through radial directions the distances between close, 0 and , which allows us to
models/systems are preserved to a possible write Eq.16 as
scale factor. In latter case, the post weighting
matrix transforms dimensional linear vector ()
1 ( ()
, )
()
= (| | | |)(
() ()
+ )
()
5
applications requiring more than two model () ()
phases and changes between 0 and 2)
classification. in second scenario.
As seen from Eq.19, computational load is In first scenario, since the reference model has
relatively low, can be computed by 2 () ()
poles at = . / and = . /
multiplications and (4 + 1) additions, and can
when the radially moving complex pole pair of
be used for high order model classification
test model coincides with those then the
problems as well. We are dealing with a
distance becomes zero, as the complex poles pair
numerical example next in Section V.
moves away from that point the distance
between models increase as expected, as shown
V. NUMERICAL ANALYSIS in Fig 2.
There might be some applications where pole
dominancy or movement of some poles might be
important as in change detection or system
identification problems. We use pole movement
to illustrate the numerical evaluation of the
metric and provide a comparison with ARMA
and OSPA metrics.
() ()
The ARMA metric ( , ) used in
comparison simulations and graphs are actually
squared form of the ARMA metric given in Eq (9)
so can be written as;
() ()
( , )
= =( () () () () Figure 2. Behavior of Proposed Metric PSM
) = =( )
= [ () () () ()
] and comparison with ARMA & OSPA metrics
= =( ) = =( ) for radially moving complex pole pair
() ()
The PSM pole space metric ( , ) is
In second scenario, since the reference model
used as it is; () ()
has poles at = . / and =
() () . / when the angularly moving complex
( , ) = | + |
pole pair of test model coincides with those then
the distance becomes zero, as the complex poles
and the OSPA metric is used without number of pair moves away from that point the distance
poles normalization with = as; between models increase as expected, as shown
in Fig 3.
() () () ()
( , ) = [ ( ( , () ))]
=
() ()
= . / = . /
() ()
= . / = . /
() ()
= . / = .
() ()
= . / = .
()
and a test model with same poles except and
()
complex pole pair, which are the only
difference between reference and test models
Figure 3. Behavior of Proposed Metric PSM
and those two complex pole pair move radially
() () and comparison with ARMA & OSPA metrics
(while phase kept same, magnitudes and for an angularly moving complex pole pair
changes between 0 and 1) in first scenario and
moves angularly (while magnitude kept same,
6
In both scenarios, the proposed metric we provided another plot which shows the
behaves properly as expected and this behavior number of multiplications required by each
is very similar to ARMA metric, those two metric for number of poles up to ten in Figure 6.
scenarios summarize the overall picture of In all those three graphs the axis showing the
classification of models or systems based on required number of computations is logarithmic.
their pole characterization, test model/system
poles move away or get closer to reference
model/system poles in time varying systems,
and at a distance in static model/system
classification, so the PSM metric can be
used in a great range of problems, especially for
the ones with computational sensitivities.
VI. CONCLUSIONS
7
REFERENCES
[1] D.Schuhmacher, B.-T. Vo, and B.-N. Vo, A
Consistent Metric for Performance Evaluation of
Multi-Object Filters, IEEE Trans. Signal
Processing, Vol. 56, No. 8, pp. 3447-3457, Aug.
2008