A survey of recursive identification

algorithms
by K.J. Hunt*, BSc, AMIEE

The paper gives an introduction to and comparison of the duction to the theoretical and practical aspects of identifi-
four recursive identification algorithms most commonly cation is given by Norton ~~l 9R~j.
used in self-tuning control. The paper demonstrates that the In this paper only the most important properties of the
algorithms are very similar, and a simple simulation algorithms are presented.
example is used to compare the algorithms and to give some
insight into the suitability of each method for a particular
problem. Choice of algorithm is seen to depend on four
factors: model complexity, noise/signal ratio, convergence 1 The model structure
rate, and computational expense.
This paper is concerned with the identification of a
dynamical system which can be described by the linear
Introduction difference equation:
The emergence in the last decade of adaptive control am
~~~tj+ar~yt-Ij+...+a~~J(t-~)
signal processing methods has been accompanied by a
renewed interest in the techniques of recursive system =6,M(f -!)+... +~M~ - ~)+ u(Y) ...(1)
identification. Since the main emphasis in this paper is on where ( u {t.)} and (t)} are the input and output
recursive methods for real-time implementation in self- sequences, respectively. The term u(f) represents some dis-
tuning control systems, attention will be given exclusively turbance acting on the output. Using polynomials in the
to the problem of estimating the parameters of the so-callei
delay operator q-1, Eqn (1) can be rewritten as:
ARMAX model (described in Section 2), which is the
model most often used in self-tuning controller design. A ~~~~~L’ ~t~ ~~C~~i~ Ld ~t 5 ~’ t7~t~
=
...
(2 )
The newcomer to the field of system identification is Two case, depending the characteristics
on of v(t&dquo;), will
confronted with an apparently limitless number of different be considered:
algorithms. The purpose of this paper is to give a brief
introduction to and comparison of the algorithms most (i) has unspecified character. The model Eqn (2’)
commonly used in self-tuning control. Four methods will can then be rewritten in vector form as:

be considered: recursive least-squares (RLS), recursive

instrumental variables (RIV), recursive maximum likelihoo<
,~r(t~=~~‘~f.t~-~ ~~~~) ...(3)
(RML) and extended least-squares (ELS). The paper where the parameter a=~ctr~~ ~ and regression vector (I) (tl)
demonstrates that each method is very similar and the are given by:
subtle differences are emphasised.
The paper is organised as follows. The algorithms are 8 r_ -~(ar...a~;-1 ~,...6~.) ...(~j
described in Sections to 3. Application of the algorithms <~,T~t~-~~y(~r..l~...-y(t-t~~; M(f -!)...MCf- ~)]
to time-varying systems is considered in Section 6. Per-
formance of each algorithm is compared by performing a ...(5)
simple experiment in Section 7 where some important In the model Eqn (3) the output is a linear combination
features of each algorithm are stated, along with guidelines of the elements of the observed vector (D (t), plus noise. In
of which method to use in particular situations. the case when v itj is serially uncorrelated, and independent
There are now many books and papers on the subject of of the elements of the vector ~~ ~t3, such a model is known
system identification. A detailed derivation and analyesis sf as a linear regression.
each of the identification methods may be found in the The RLS and RIV methods will be applied to the system
books by Eykhoff(!974, 198 1), Goodwin and Payne .
given by Eqns (3) to (5) to obtain estimates of the para-
~ ~ 97 7), Isermann (1981a), and Ljung and Soderstrom meter vector 0, i e, to estimate the ,~ (.qi~~ and B (q-’)1
(1983). These books also give detailed references for the polynomials of Eqn (2~.
literature in the field. A survey of system identification is (ii) u(t) can be modelled as a moving average ~~’1 ~.) of a
given in Astrom and Eykhoff(1971) and in the 19811 serially uncorrelated white noise sequence e (t)} , i e:
Special Issue of Automatica on Identification and System
Parameter Estimation (Vof I 7, ’I~o 1). ~ (t) = C’ ~q~l~ e 4.~t)> ...(6)
The book by Young (1984) concentrates on the instru- c <q-U = 1 + C¡q-l ~+...-t~’r~l ~ ...
<’7>
mental variable methods for identification, and an intro-
The model Eqn (2) becomes:
*
Industrial Control Unit, Department of Electronic and Electrical
~(q~r~r~f(t) =B u(t)+ e(t) ... 1’8)
Engineering, University of Strathclyde, 204 George Street, Glasgow
G1 1XW. This model, known as the ARiVlAX model, is the structure
273
 Fig 1 ARMAX model

most often used in the literature on self-tuning centre) and and this is minimised with respect to 0. The criterion l§y(0)
is shown in Fig 1. is quadratic in 0 and can therefore be minimised analytic-
Eqn (8~ can be rewritten in vector form: ally. Minimisation gives the estimate of 0 as:
_~’ (t~ = ~~~o~~) ~- ~’ (t)
-il
.(9) N A.

where the parameter vector 0 and

are given by:
regression vector (Do(t) ~=f~ ~’ (t) ~’~~t)~ ~
t~ J P=l
~’’ ~t)Y (t~ ... 4 l 7’1

This is the noti-rectirsive least-squares estimate of the

~~~~.~l...t1n4~31 ...~7F~;C‘I...Cy.~ ... ~~~~ parameters 0. For real-time applications it is possible to
rewrite Eqn (17) in a recursive form (see Ljung and Soder-
~’o ~~) ~ ~-.Y ~t ~ ~ ~ ... - ~J ~~ ~ ,~~~ ~ ~p _ i ~ ... u (t - rt~~ :; Strom for details) as:
e(t- lj...e~t-~°)~] ..(1I)
~~t)=~(t-l~~’~(t~~~’~t~-~~~t-l~‘~’~t~~
Notice that model Eqn (9) is not a linear regression since
4lo(t) contains the unobserved data: ~’f~t-l~~(t~
L (t)
~~~~)_ [...:e(t--lj...e~t--r~~ ...(12)
The RML and ELS methods will be applied to the model
Eqn (9) to obtain estimates of the vector 0 [Eqn (10)] , i e,
p(t --- l~ c~~t~ c~~~t)
p~=p<,_n_~-~~M~~~-~
~,~t~ ’
I) -- 1)
~~ ~ . 1 ~ ~~~t~~~t ~ l~~~t~
4J (I)
P l’i ’
(18)

the A (q-l), B(q-l) and ~‘(q’l) polynomials of Eqn (8) are

estimated.
Eqns (18) define the recursive least-squares (RLS)
algorithm. The matrixP(t) is defined by:
/ t -I
2 Recursive ~~as~~sc~c~a~e~ (RLS)
Consider the model Eqn (3):
P (t) = ~ ~ ~1~~ ~~ ~1~~ ~ ~
ll=
(19)

When the model Eqn (13) is a true linear regression, it can

y(t) = ~~’~ ~~~ + v(t) ...(13) be shown [see, for example, Isermann (1981)] that the
where 0 and 4) (t) are defined by Eqns (4) and (5), and the expectation ~F~’(t) is proportional to the covariance matrix
disturbance term v (t) is not specified. The objective is to of the parameter estimates. For this reason 1’~t~ is usually
obtain estimates of the parameter vector 0 from measure-
simply referred to as the ’covariance matrix&dquo;.
ments of_v (t) and ~ (t~, A very important property of the RLS algorithm will
Since the disturbance v (t) in Eqn (13) is not specified, now be given: assume that the true parameter vector is ~o 0
a prediction of y (t) given previous values of~(f &horbar; 1) and that the data have been generated by the linear regres-
M (t - 1) becomes:
...
.

sion Eqn (13). it is required tfiai 8 (?W) should tend to 0 0 as

N becomes large, i ~, that the estimates are unbiased,
.~ (t/B) = 0’~4$ (t) ...
( 1 4)
Unbiased estimates will be obtained by RLS only if v(t)
and the prediction error is defined as:
~~~’~~t~r~~a^~ uncorrelated: this condition holds when v (t)
is a ~hite noise sequence.
y jt) - ,Q (t/0 ) = y jt) - 0 TW (t) ... (15)’)
A natural way to obtain estimates of 0 is to try and
3 Recursive instrumental variables (RIV)
minimise the prediction error Eqn ( i ~). The following
criterion function is used: The method is a modifications of RLS and is designed to
obtain unbiased estimates in cases where RLS would lead to
j .v
~:~~~~ ~ ~ ~ ~,Y ~~~ ~- ~~~’ ~~)~~rz
I t
... ~I6~ biased estimates (as described at the end of the previous
section).
274
 dLLL:t1

For the model Eqn 13): predicted and measured values of the output (this approach
leads to the family of methods known as Prediction error
I (t) = 8~’~ (tj + ~, ~t) ...(20) methods).
t has been stated that when v (t) and (D (t) are correlated Define the prediction error:
such as when u(t) is not white noise) then the estimates of
I will be biased. In general, this will be the case. The RIV ~ {t, ~~ = y {t~ -- y {t/~~ ... {28~
nethod proceeds by replacing 4l (t) in Eqn (17) by a vector and a criterion function
F (t) (called the instrumental variables vector) such that: 1 ~
(i) z (tj and v (t) are uncorrelated.
ii) z (t) is as strongly correlated with ~(t.) as possible.
i~’~r{8~
= 2 I 1 e)
2 1
...{?9)

ensuring, however, that (i) still holds. It can be shown [see, for example, Goodwin and Sin
rhe estimate Eqn (17) now becomes: { 1 ~~~}~ that the optimal prediction of the output of model
(26) is given by:
N N

’(~=fz~)~)1 J
£ 1 Z (t) Y (t) .. , ~2I ) ~’{R&dquo;Oy(t/8}=[~’{q~~~-A{qy’)~Y{t)~~{~l~’)~~t) ...{>C?)
Inspection of (30) shows that § (t/8) is a non-linear
Another approach would also be to replace 4)T(t) in function of 8. This means that the criterion J£v(0) cannot
Eqn (21) by ~~’~t) - the recursive version of this algorithm be minimised analytically, and non-recursive numerical
s called the symmetric IV ~~ethocl.) methods have to be used. To obtain a recursive prediction
The recursive instrumental variables (RIV) method can error algorithm, some approximations have to be made
iow be written down [cf Eqns 1;18)~: (details are in Ljung and Soderstrom, 1983). In the
regression vector Eqn (11) the unobserved components
I <t> =~(t-~)+~,~t) ~~~t)--~~~t-1)~(t~l e{t - 1)... are approximated by the residuals (ef Eqn (9)]:

-&horba;&horba;&horba;&horba;~&horba;&horba;&horba;&horba;&horba;&horba;&horba;&horba;&horba;
pet I)~(t)
(t) ~{t~= ~{t~ -e~’(tj~{t~ ...(31)
j~t~ ~ ~ +~~’~t~~~t -~ ~)~ (t) . ...(?2)
and the regression vector now becomes:
,~~t _ ~ ~~, ~~~ ~,~’~t)p~t _. ~)
~,
’(f) ,..
P~t
e~ =P(r - I)
!) _ w

~’~~t)=~-.Y{t-I)...~--.y’~.t-~~y~{t-i~...ra(t-~tz~~
I +c~~’~t~p(~ _ I)z(r)
e(t -1) .. r)] ... {3?)
A number of variants of the RIV algorithm exist, reflect. ’

Minimisation of ~~,{8~ [Eqn (29)] gives the RML

ng the freedom in choosing the instrumental variables
, (t). A Gomn~on approach is to define an undisturbed algorithm:
tuxiliary system driven by the actual input u (t): ~{t~ =~{t-~~+~{t~~:~’(t)-~~’(t--~)~’{t~3
~ ~~’y’).Y~ ~t) ° A (q‘’~ u ~t~, ...
(23) ~{t _ r~~{t>
vhere.4 and,6 the estimated system polynomials. ~L ~~~
(t) ...{~~~
are I1+ 1)’¥
rhe instrumental variable vector is then chosen as:
pet - 1) *(t) (t) 1)
.~~t~-~_y.~~t-~).~--~’,~z(a-n);~(t-I)...u(t-r~r)~, ~, ~~{t
~{t~ ,,, --1)
~~ &reg;- ~ ~ ~~,{t~~~t - I~ ~{t~
r_
.

...(24) where the gradient vector llr (t) is defined as:

ind the current value of y&dquo;~ is obtained from Eqn (23), or:

~ tt) ~ ~ ~’(t) ~ E~) ...(25) <&(r)

{ql~/~/~ )
~’ ~~~
> &dquo;~
~
~~
(34.)
..
’
~~
’

Eqns (24) and (2j), together with Eqns (22), define one The RML algorithm [Eqns (33) and (34)] bears a very
version of the RIV algorithm. The method gives unbiased
close resemblance to the basic RLS algorithm [Eqns (18)].
’stimates of the parameters of model Eqn (20) even when
In this case the data vector is extended by the components
;(t) is not white (compare with the RLS). The RIV method ê (t - 1) ..., and the filtered data vector 4/ (t) [Eqn (34)] is
ias a larger computational expense than RLS.
used instead in the algorithm.
A detailed treatment of the variants of the RIV method
:an be found in Liung and Soderstrom (1983) and Young
i 9~=~). 5 Extended least-squares (ELS)
The ELS method to the ARMAX model Eqn (8).
.

~ Recursive maximum likelihood ~~I~~~ The approach taken is to attempt to cast the ARMAX
Consider the ARMAX model Eqn (8): model in the form of a linear regression Eqn (3) and then to

1 ~.~1’p)Y (t) * B (~) M ~t) t ~’ (q-’) e (t)

apply the ordinary RLS algorithm to the resulting model. It
...
(26) has been seen that the ARMAX model can be written in
The RML method obtains estimates of the parameter the form of Eqns (9) to (11):
rector 0 given by Eqn (10): ~’ {t~ = e~’~~Ct~ t ~ {t~ ...(35)
~~’=~a~...a~;br...~,~;~~..,c~) ...(27) ~=(~t...~;~t...~;ci...~) ...(36)
As with RLS, the derivation of the RML algorithm
nvolves forming a prediction ~ (t/8) of the output y (t) of = (t-1)... yet ,u(t 1)...
nodel Eqn (26), and then minimising the error between the ~~{t--m)~e{t--I)...e{t-r)~] ... (37)
275
 This is linear regression since the components
not a true each measurement. If the system to be identified has para-
~ ~t - 1 j ...
of the data vector are unknown. These com- meters which vary with time, however, then old data may
ponents must be replaced by some estimate. From not be relevant to the actual model and their influence
Eqn (35j: should be reduced by using a weighting factor which
increases with time. This is achieved by using the following
~(a.~ =.~’ (t) - $r~oftj ...
(38) criterion function with exponential weighting:
A naturul estimate ~f e(t.~, given the current parameter N
estimate 6 (t), is therefore:
~~r~8) =
t=1i
E ~~l g t ~y (t) - 8~~’ ~t~~~ ... ~;~.3 )
~(t~ .~ y~(tj - e~’~tj ~~ ~t~ ...(39)
where the data vector is n~~~: X is known as the ’forgetting factor’ and should be .

slightly less than one ~t~~pically,1= 0.99). A measurement

fI~(tj=[--y~v(t-lj .., -vCt--r~j:a~~t-lj .,. u~‘t-rr~j; received n samples ago will have a weight proportional to
c(t-lj ... ~(t-~)]] ...(40) ?~7 en. In M
=
... (44)
If the RLS algorithm is now applied to model Eqn (35) The RLS algorithm [equations (18)] with forgetting factor
with 4)0(t) replaced by (1) (t,) [Eqn (40)] the ELS algorithm is:
is obtained:
(t) = 0 (t - 1) + L (f) [v (t) _ 6T(t (b M]
p~t~ ~~~t __ lj~-~,(tj [~~tj-8~’(t-Ij~tt~i~
-

~ ~ ~~
-

~(tj=~’~t_I~-~-
~ ~~
P(t _ i.) ~ (.t3
~ ~~ ~~~~ ~ ~~ ~tj~ +<~’(t~. t-~E)4t> .(41)
H
~~ ~ ~~t _ 1)c~,ttjc~,~’(t)l’(t._ 1)
~
1
e(tj =y(tj-9~’~aj<~~(t;~ >
+
(~) =&horbar;&horbar=;&hoXrba-r;~&+horlb(~bar;&hjoP(f-l)<~Y)
ZPl’i)
~ ~~~

1)
(t)

~ ’ ’b ~ ~t ~. ~ ) ~ ~t~J~
-~ ~- ~~r(t~
’X
X
rbaT(i)
r;&Phorbar;(I&horbar;&(t

Choice of the value oi X is a trade-off between tracking

ability and noise sensitivity,. a smaller value ofA gives
faster discounting (i e, faster tracking) but leads to a greater
p
h-orbar;&1horbar;)&hIorbajr-;&h4$orba’r;(t)&horbPar;
l’l -

Il l’i) 4l’~(1’)
’

P(t - ’ I )j ~..(45)
(’45’)
4

Comparison of Eqns (18) and (41) shows that the RLS
and ELS methods are computationally identical, except
that ELS is complemented by Eqn (39). The data and para-
meter vectors are extended due to the inclusion of the dis-
turbance term. The procedure of casting the model structure
chosen (in this case ARMAX) in the form of a linear regres-
sion is the basis of a class of algorithms known as pseccdr~-~
linear reg~~ssao~as.
When the ELS algorithm Eqn its compared to the
RML algorithm Eqns (33) and (34). it is apparent that the
noise sensitivity, and the opposite is true for X close to one.
This is clearly illustrated in the following example.
Fjcawp~ 6.1 Consider the system model:
~ (~) + ai (f)~’ (f - 1) = 0.2 M (r - 1) + c (f)
where u (tj and ~ (t~ are the input and output, and e ~t j is
white noise with unit variance. The system is identified
using Eqns (45) where the input is a pseudo random binary ’

only difference is that the vector 4’(f) is replaced by the sequence (PRBS) with amplitude + 1 0. At time t 100 =

filtered vector * (tj in the equations for L (t) and P(t). The parameter a 1 (t) changes from - 0.8 tao 0.4. Three values
vect~r ~ (t) is obtained by filtering 4) (t) through the esti- of forgetting factor are used: X = 0.95, X = 0.99, X 0.995. =

mated C polynomial [Eqn (34)]. This explains why the
ELS method is also known as the approximate maximum
likelihood (AML) method. The filtering operation repre-
sents the increased computation required for the RML
algorithm when compared with the ELS algorithm.
6 ~‘im~e-v~ryinc~ systems
In the previous sections the algorithms presented were
The results are shown in Fig where the trade-off in choice
of X is apparent.
In the case of constant parameters, the measured data at
the beginning of the identification may. be poor due to the
choice of initial estimates. It is then desirable to forget data
in this phase (X < 1) and then to let X - 1 as the effect of
initial conditions diminishes. A common way to do this is
to let X (t) grow exponentially with t to one according to:
°

assumed to apply to time-invariant systems with constant,

=ÀoÀ(t 1)+(1- ...(46)
but unknown, parameters. In practice, however, the where the rate Xo and initial value X(o) have to be chosen
systems will vary with time so that the algorithms must be (typical values are Ac 0.99, X(o) 0.95). = =

equipped with some means of tracking these variations. The effect of the forgetting factor X in Eqns (4j) is .

Two types time variations will be considered: time- clearly that the covariance matr-.,xP’t), and hence the gain
varying parameters and time-varying noise variance. Only L (t), is kept from going to zero. The algorithm will there-
the RLS algorithm will be considered since modifications of fore remain alert to parameter changes. The major problem
the other algorithms is identical. with the forgetting factor method is also apparent from
Eqn (45): If the data vector W (t) does not contain much
information or, in the extreme case, (D (t) = 0 then the
6.1 Tracking time-varying parameters
matrix~~t~ becomes:
The least-squares criterion [Eqn (16)] is:
P(t) = P(t 1)- ...(47)
(47)
V N (0) z [.?~’~ f(t)J2
~~;~~ j tj 8~’~(tj~~
iV
--

...(42)
...
~~.?) ~)=&horbar;&horbar;&horbaXr;&h(t)orbar;&horbar; , ...
’

i and will grow exponentially. This is known as the ’burst .

It follows from Eqn (42) that the same weight is put on phenonmenon’ or ’estimator Wind-u~’, Other techniques are
276
 and the criterion:
/v 1
1
~~(~~~IV ~ ~~t(t~-~~~tt~lz~N‘-, r iv <1 >j2
.

...~~9)>
If the variance of the disturbance term v(t) is varying, a
weight inversely proportional to the variance should be put
on each measurement. Assume that vet) is white noise ~~=ith
variance c~ (t). To account for this variation the criterion
Eqn (49) becomes:
1 N I
y~N~,~~=~~’ (l~J~t)_$T~,(t)~z ...
Nt G(I>
A natural interpretation of this approach is that more
uncertain measurements have iess significance in the
criterion Eqn (50).
When this method is combined with the forgetting factor
approach of the previous section, the weighted RLS
algorithm for time-varying systems becomes [c/’Eqns (IS)
and (45)] :-.

0 (D =~ (~ - 1) + L (t~ (~,~ty _ <~~(1)a (t ___

1 )~

~.t ~
. P (t -- 1 > ~ (t)
L
A (f) a (f) + ~ ~) P (t - (1) (t)
1 f Ptt - l~~ft){~T(t~)P(t -l~
p~) ~ &horbar;&horbar; j P (I - 1 > -
X(I)
X(f)) t.
’

&(X(I)a(I)+<b
horbar;&horbar~;&horbar;&horb(ar;’&horbar;&)horbar;_&hotrba~r;&hoPrbar;&ht..~i
or-~
bar;&horbar;&horbar;&~horbar;&horbar.)
;&horbar;:
.,.(j1)

7 Experimental comparison of the algorithms.

The four algorithms described in previous sections (RLS,
RIV, RML, ELS) will be compared by performing a simple
open-loop identification experiment. Important charac-
teristics of each method will be demonstrated.

Example 7.1 The sy~ster~~ considered is described by~ t(~e

model:

Fig 2 Tracking a time-varying
~’(f)-1.5~(f-l)+0.7v(f-2)>
::::u(t 1)+0.511(t 2)+e eU 1)+0.2e(t 2)
where e (t) is white noise with a variance a~z of either 0.25
or 1.0. The parameters of this mode! 4vill be identified in
each case using each algorithm (in the case of RLS and RIV
the noise dynamics are not estimated). The input is a PRBS
of amplitude i 1. The initial estimates in each case are taken
parameter to be zero, and a forgetting factor according to Eqn (46) is
used, with Xt.) = ~?.~5, Xo = 0.99. The estimated parameters
at sample times = 20, t 200 and t 2000 are shown in
= =

Table 1 for the case cr’ = 0.25, and in Table 2 for the case
a2 1.0. Based on these results, the performance of each
=

avaiiable for tracking parameter changes. These are bnef!y algorithm may be summarised as follows:
mentioned:
(i) .RZ5’.’ Fastest convergence in both cases. Good esti-
{i=~ Periodic resetting of the covariance matrix. mates when noise/signal ratio is small (cr&dquo; = 0.-?5).
(ii) Adding a constant term to the covariance matrix. Estimates are poor (biased) when noise/signal ratio is
(iii) Using a variable forgetting factor, where 1 < 1 when large (a2 = 1.0). Does not estimate noise dynamics.
parameter changes are detected, and X 1 otherwise.
= Small computational effort.
(ii~ hI~G’: Convergence somewhat slower than RLS, but
6.2 noise variance
quality of estimates is better, especially when n/s ratiU
Time-varying is large. Does not estimate noise dynamics. Larger
Consider the model used for the LS method [Eqn (13)]: computational effort than RLS.
(iii) RML: Very high accuracy estimates as identification
yet) = 8~~’ (t) ~- ~ (t), .. ’ (48) time becomes large. Slow initial convergence. Accurate

277
TABLE 1: a2 = 0,25
TABLE 2: at=1
estimation of noisedynamics, even when n/s ratio is
large. Largest computational effort.
(iv) ELS: Accurate estimates (less accurate than RML).
Faster convergence than RML, slower than RLS. Good
estimates of noise polynomial even when n/s ratio is
large. Less computational effort than RML; greater
effort than RLS, RIV.
8 Conclusions
Four of the main algorithms used for real-time system
identification (in, for example, adaptive control) have been
reviewed, and their main features illustrated by performing
a simple open-loop experiment.
278
The most important factors to be considered when
deciding which method to use are:
(1) Is the noise polynomial to be identified?
(2) Noise/signal ratio.
(3) Convergence rate of particular method.
(4) Computational expense.
Guidelines have been given to help decide which method
is most suitable when the above factors have been
considered.
The forgetting factor method of tracking time-varying
systems has been presented, and the trade-off between
tracking rate and noise sensitivity has been illustrated by
performing a simple example.
For each method, only the basic algorithms have been
presented. In a practical implementation, however, special
precautions have to be taken to ensure that the algorithm is
numerically robust, and to avoid estimator wind-up. In
adaptive control identification will in general be performed
in closed-loop, and identifiability properties of the system
must be considered.
An important condition which must be satisfied for the
algorithms to work properly is that the input to the system
must be sufficiently rich in data (‘persistentty excitin~’~ so
that all modes of the system are excited. In open-loop
experiments (as in this paper) it is easy to ensure that this
condition holds. In adaptive control, however, the input
will in general be generated by feedback and there is no
guarantee of persistent excitation. The algorithms described
in this paper can still be applied in closed-loop provided
that certain ’identifiability’ conditions hold. In this paper
these conditions are assumed to be satisfied. A detailed
treatment of the identifiability problem in closed-loop is
given in Gustavsson et al (!977).
References
Astrom, K. J. and Eykhoff, P.1971. ’System identification:
A survey’, Automatica, 7, 123-62.
Eykhoff, P. 1974. System identification: Parameter and
state estimation, Holden-Day, San Francisco.
Eykhoff, P. (ed). .1981 Trends and progress in system
identification. Pergamon Press, Oxford. ,
Goodwin, G. C. and Payne, R. L. 1977. Dynamic system
identification: Experiment design and data analysis,
Academic Press, New York.
Goodwin, G. C. and Sin, K. S.1984.
Adaptive filtering,
prediction and control, Prentice-Hall, New Jersey.
Gustavsson, I., Ljung, L. and Soderstrom, T. 1977. ’Identi-
fication of processes in closed-loop - Identifiability
and accuracy aspects’,
Automatica,13 , 59-75.
Isermann, R. (ed). 1981a
. System identification (Tutorials
presented at the 5th IFAC Symposium on Identification
andSystem Parameter Estimation), Darmstadt, Perga-
mon Press, Oxford.
Isermann, R.198 1b.Digital control systems, Springer,
Berlin.
Ljung, L. and Soderstrom, T.1983. Theory and practice of
recursive identification, MIT Press, London.
Norton, J. P.1986. An introduction to identification,
Academic Press, London.
Young, P. C. 1984. Recursive estimation and time-series
analysis, Springer, Berlin.