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4utommua, Vot 17. No 1.

pp 7-21, 1981 Printed in Great Britain

0005-1C98~81/010007-15 $0200:0 PergamonPressLid 1981 lnternatmnFederatmnof AutomaticControl

Trends in Identification*
VLADIMiR STREJC t

Trends of the .future development of identification and possible progress indicate that identification methods have reached a high level of perfection, but some practical limitations have not yet been overcome.
Key Words--Identificatmn; parameter esnmation; linear systems; nonlinear systems; modelling; trends.

Abstract--The paper refers to methods used for identification of linear and nonhnear systems. Deterministic and stochastic approaches are distinguished and specific features concerning parameters, structure and state estimation are briefly discussed from the point of view of possible advantages and difficulties for identification. Attention is paid to different final goals of identificatmn with respect to the convenience of the methods in question. The most important trends m identificatmn approaches are argued by unsolved problems of identification, by the complexity of numerical calculations and of practical applications. The significance of the uncertainty in structure, parameters or noise and the possible application of the a p r i o r i knowledge of the analysed system are taken into consideration. 1. INTRODUCTION

AT THE IFAC Congress in Moscow in 1960. there were relatively few papers relating to the problems of parameter or structure estimation. On the other hand a great deal of attention has been given to these problems more receI3tly, i.e. in the last 15.years. A multitude of articles and contributions are presented at international meetings devoted to this particular problem and also at conferences and symposia concerned with very different specialized problems of automatic control theory and applications. Other contributions may be found in technical and scientific journals. At present we also have monographs presenting the very extensive and plentiful field of identification methods. What is the reason for such an explosion of identification procedures? The following motivation can be outlined. In the sixties, there was a wide spectrum of man-made control systems in engineering ranging from the simplest forms of on-off control to complicated multi*Received 25 March 1980; revised 10 August 1980. The original version of this paper was presented at the 5th IFAC Symposium on Identification and System Parameter Esumation, which was held in Darmstadt, Federal Repubhc of Germany, dunng September 1979. The published Proceedings of this IFAC Meeting may be ordered from: Pergamon Press Lsmited, Headington Hill Hall, Oxford OX3 0BW, England. This paper was recommended for publication in revised form by associate editor K. J. Astr6m. ~Czechoslovak Academy of Sciences, Institute of Information Theory and Automation, Prague 8, Pod vod/trenskou v~i 4, Czechoslovakia.

loop systems using auxiliary variables to improve the quality of control. Besides this, the theory of automatic contro~ reached a very high level of generality and publicity. The classical tools of control theory were surmounted by the promising concepts of the state space representation, by the Kalman filtering, Bellman's dynamic programming and Pontryagin's maximum principle recommended for optimum control design. Finally, at the beginning of the sixties, it was already quite clear that computers would replace to a wide extent the conventional PID controllers, and that they would facilitate the application of any theoretical concept with computer aided design. The question is whether the theory was really so far elaborated to comply with the possibilities of the digital techniques and with the requirements of the practice. We shall not exaggerate too much by saying 'No'. What are the reasons for such a pessimistic opinion ? The most advanced theories recommended at that time started by postulating the knowledge of the mathematical model of the plant to be controlled and of the noise, if needed. Moreover, the mathematical model was required to be a specified type convenient for the particular kind of theory, regardless of difficulties arising when trying to obtain such a model. This assumption is, according to the opinion of the author, one of the most significant facts calling forth the discrepancy between theory and practice. The theory is able to propose in a very elegant way a solution of a complicated or uneasy control optimization, but to obtain the solution it is necessary to have a mathematical formulation of the static and dynamic properties of the system to be controlled. To overcome this lack of knowledge methods were elaborated for the system structure and system parameter identification. It should be kept in mind that, originally, the system model evaluation and the optimum control design were considered as two independent problems. Moreover it was assumed that it was possible to calculate the system model using the input/output data obtained by

VLADIMiR STREJC In equanons (2.1~12.3) the following notauon was used --input variable --output variable --state vector t', w, n --noise A, B, C, D --matrices of parameters % b, --parameters v - - o r d e r of the dynamic system N,, N b - - u p p e r bound of the past history considered. The output noise r and the input noise vector w in equations (2.1) may be assumed as white, mutually independent Gaussian noises. It is well known that the components of the state vector are in general defined as a linear combination of the past values of input/output variables up to the time instant ( k - i ) for the state variable x,. Therefore the components w~ of the noise vector w, in spite of the fact that they are mutually independent, can be considered as relevant to the past time instants ( k - i ) as well, but for the dynamic system described by equations (2.1) it is not usually assumed that w, are a linear combination of noise components %, j = 1, 2 ..... ( i - 1 ) . Of course in a closed control loop the situation relating to final output noise is much more complicated. In order to simplify some numerical calculations the noise n in equations (2.2) and (2.3) is considered as white Gaussian noise independent of its past values. A more general proposition postulates that
Nc

measuring in the open loop configuration, while the resulting model could be applied for the optimum closed control loop design. Later on we shall add some critical remarks to the last two assumptions. It is not the aim of this paper to present a comprehensive survey of achievements in this field and of the state of art. Nevertheless, some reminders relating to the basic assumptions and propositions as well as some critical remarks can serve to introduce later discussions. For survey papers in this field the reader may consult Eykhoff (1964); Eykhoff and colleagues (1966); Cuenod and Sage (1967); Eykhoff (1967), Strobel (1968): Young (1968): .Astr6m and Eykhoff (1970), Strejc (1977, 1980); Ljung (1978). Monographs of general interest are: Lee (1964); Davies (1970); Rajbman (1970); Sage and Melsa (1971b); Richalet, Rault and Pouliquen (1971); Isermann (1971, 1974); Graupe (1972, 1976); Mendel (1973); Lainiotis (1974); Eykhoff (1974); Mehra and Lainiotis (1976): Goodwin and Payne (1977); Eykhoff (1980). 2. LINEAR SYSTEM IDENTIFICATION

u 3' x

2.1. Mathematical models Let us recall the basic mathematical models of linear dynamic systems used frequently in control theory. For brevity only stochastic models are mentioned while, for the purpose of this article, the deterministic models can be obtained simply by omitting the term corresponding to the random input. Furthermore the models considered are of the discrete type only due to assumed digital computer application for identification and control. With respect to the given restrictions, the following models of timeinvariant single-input/single-output linear dynamic systems seemed to be relevant when preparing this paper: State space representation x(k + 1)= Ax(k)+ Bu(k )+w(k) y ( k ) = C x ( k ) + Du(k)+t,(k).
(2.1)

n(k)= Z c : ( k - i ) ,
t=O

c0=l,

(2.4)

Stochastic difference equation

aly(k-i)= ~ b,u(k-i)+n(k).
~=O z=O

(2.2)

where ~ is a normally distributed white noise and c, are the weighting factors. Hence, n(k) is a linear combination of random and unknown values of the noise ~ at time instants ( k - i ) , i=0, 1..... N c. The generalized regression model (2.3) extended by the relation (2.4) represents the so called ARMA model, i.e. autoregressire mm, ing average model justified for example for system parameter identification in closed control loop, where the output noise of the composite system consists of the noise acting at the instant of observation and of the noise transformed and transferred in the past by the feedback to the output of the controlled plant. 2.2 Basic identification procedures The problem of identifcation can be formulated as evaluation of a system model representing the essential aspects of an existing system (or a system to be constructed) and presentmg

Generalized regression model


Na
~Ib

y(k)=~
I=1

a i y l k - i ) + S~ b i u l k - i ) + n l k ) .
i=O

(2.3~

Trends in identification knowledge of that system in a usable form (Eykhoff, 1974). This definition accentuates the fact that the system to be identified may or may not exist. In the latter case, the model evaluation is based on the mathematical description of the physical behaviour of the system elements provided that a relevant knowledge about the geometrical and physical system nature is available. This type of identification is in some technical fields very useful and is known as mathematical-physical analysis, or model building. The advantages and limitations 9f this type of model building are easy to imagine and therefore we shall not discuss it in detail. In case of existing system it is possible to apply the same approaches or model building as in the case of the system to be constructed. Nevertheless it is convenient to take advantage of the fact that the system to be identified is in operation and it may be possible to measure all variables which can facilitate the given problem. It is legitimate to say that observations and experiments are the most favourable means for system understanding and experience gathering in the field of natural sciences and engineering. In this connection we are frequently speaking about measuring input/output data but it does not mean that this data necessarily concerns only the controlling and controlled variables. It may be also that some auxiliary variables such as noise, state variables etc. may be measured if such measurements are possible and adequate. The definition of identification stresses a very important feature, i.e. the final model should represent only the essential properties of the dynamic system and present these properties in a suitable form. It means that we do not expect to obtain an exact mathematical description of the physical reality and that we prefer to have a model fitted for the next application. The mathematical approaches used in identification are either of the deterministic or stochastic type. In the first case the noise is either not acting on the sy.stem or it is negligible. Some deterministic approaches admit zero mean noise but they cannot express the uncertainty of the estimates caused by the noise. The simplest of these methods do not apply the mathematical formulation of the error cost function. The necessary limitations do not permit mentioning all contributions to the discussed area of identification theory but at least some examples may illustrate the main idea: Approximation of monotonous step responses by tangent method (Strejc, 1957, 1958aj; Repeated integration of differential equations (Strejc, 1958b, 1961);

Numerical deconvolution (Cuenod and Sage, 1967; Sage and Melsa, 1971b) etc. Some identification procedures apply an error cost function but do not assume the existence of noise. A characteristic feature of this type of deterministic methods is that the number of equations set up for the identification problem just equals the number of model parameters being sought. In this particular case it is sufficient to set the partial derivatives with respect to the unknown parameters equal to zero. In this way a set of conditions is obtained enabling us to solve the problem. To this category belong: The use of orthogonal filters ILampard, 1955: Kitamori, 1960k Model adjustment technique (Mar~ik, 1966, 1967: Brunner, 1961: Balchen and HOsoiem 1966); Search methods and gradient methods (Eykhoff. 1974: Sage and Melsa, 1971bl. Of a great importance are the stochastic methods of identification. We shall not distinguish between statistical and probabilistic approaches due to vague boundary indicators. In order to stress the difference with respect to the deterministic procedures of identification let us try to summarize the most important features of stochastic methods. Stochastic methods of identification are based on the numerical evaluation of a large number of data measured on the real process so that the potential application of a digital computer is almost necessary. Therefore preferably sampled data of continuously changing variables measured at distinct time instants represent the initial information for most of the required calculations. It is assumed that the noise is acting on the system to be identified. This noise is mostly considered to be unknown. To be more clear, it is assumed that the noise satisfies some general statistical properties, e.g. it corresponds to a certain type of distribution and has a convenient first statistical moment, i.e. the mean value, but the actual values of the noise acting at sampling instants on the system to be identified are not known. It is due to the fact that the noise itself is unmeasurable while the inputs and outputs of the system are accessible for measurements. The evaluation of the measured data can never yield the exact values, for example, of the sought parameters but only the estimates. It is required to express the quality of these estimates. It means, for example, that the estimates must satisfy some common type of statistical convergence, such as unbiasedness, consistency,

10

VLADIMiR STREJC
Levin, 1959, 1960; Deutsch, 1965~: Weighted least squares iDeutsch, 1965); Markov estimate (Deutsch, 1965~: Stochastic approximation tRobbins and Monro, 1951; Kiefer and Wolfowltz, 1952: Blum, 1954; Dvoretzky, 19561. Engineering survey presented by Sakrison ~1966); Kalman-Bucy filtering tKalman, t960: Kalman and Bucy, 1961); Instrumental variable method (Kendal and Stuart, 1961; Young, 1970a); Generalized least squares lEykhoff, 1967: Clarke, 1967; Hastings-James and Sage, 1969); Extended least squares (Panuska, 1968; Young 1970b, 1972: Young and HastingsJames, 1970): Square-root filtering (Kaminski and colleagues, 1971 ; Peterka, 1975; K~irn~, 1976); Maximum likelihood estimation (Anderson, 1958; Deutsch, 1965: Sage and Melsa, 1971b; Astr6m, 1979); Bayes' estimation (Ho and Lee, 1964; Peterka, 1976, 19781. The necessary limitations do not permit mentioning all proposed methods pertaining to this category of identification procedures. For example the well known correlation technique applies the ordinary least squares method in the final step of parameter estimation. The correlation functions actually determine only the coefficients of an overdetermined set of algebraic equations the solution of which by ordinary least squares approach yields the system parameters. Also the "tally estimate' proposed by Peterka and Halouskov~t (19701 for the ARMA model identification carries out the numerical calculations of parameters by ordinary least squares technique or by its modification, i.e. by square-root filtering. On the other hand, the pseudorandom binary signal evaluauon m the simplest form pertains to the category of deterministic procedures, because the pseudorandom binary signal is a uniform system input with known staustical properties. The history of the least squares methods began in 1795 when the inventor of this approach. Karl Friedrich Gauss, lbrmulated its basic concept and used it practically for astronomical computations. Since that time the method of least squares has been applied lbr the solution of many technical problems. Its properties were analysed many times and numerlcal procedures were proposed m order to attain unbiased results with reasonable number of arithmetic operations. A very interesting field of least squares application is the parameter estimation of controlled systems. Let us formulate the identification problem tbr

efficiency or sufficiency, and that the error dispersion of the estimated parameter values can be calculated. In other words, an increasing amount of information should successively increase the quality of estimates. If all. possible informauon is exploited for estimation and if the estimated values are all clustered in a small neighbourhood about the true values, it is highly probable that the estimated values differ by only a small amount from the true parameter values. From this viewpoint estimates can be classified as being better the closer they concentrate about the true values. Relations, or iterative formulas, used for estimation are called estimators. The requirements concerning the quality of estimates may be considered as requirements concerning the estimators as well. It is important to have in mind that the quality of the estimates is formulated mostly for a limiting situation, i.e. for an infinite number of sampled data. Due to this fact we necessarily must arrive at the next two conclusions: first, the quality of estimates is not defined for a limited number of samples, and, second, because we never have infinite number of samples and infinite precision of measurements the estimates can never reach the true values. The last mentioned property can be discussed from quite another point of view. Assigning a set of measured data to one sampling instant, then the number of data sets should always exceed the number of estimated parameters in order to make possible the application of stochastic methods of identification and to be able to decrease the noise effects. It means that the problem to be solved is always overdetermined and actually no solution exists sausfying exactly the selected system model for all input/output data sets. There exist only results satisfying the system model in a certain sense, i.e. in the sense of the chosen error cost function. Finally, it can be stressed that the final aim of statistical and probabitistic methods is to provide a rational basis for some kind of decision. In many cases, identification is assumed to be used for prediction and digital control of an uncertam process. In fact control can be considered as sequential decision making and the possibility of prediction is a necessary prerequisite for a rational control. The stochastic approaches of identification are categorized according to the error cost funcuon chosen for the examination of the estimation quality and according to the probabilistic concept. Let us recall the following possibilities: Least squares ~Strejc, 1980); Ordinary least squares tAnderson. 1958:

Trends in identification the generalized regression model (2.3) which can be expressed as
y ( k ) = zT (k )0 + n (k )
(2.5)

11

on the likelihood function L defined as a joint probability density function

L[O,R: y(K,O),u(K,O)] = f l y ( K , OL u(K, 0); O, R]


K

where 0 is the column vector of ( N a + N b + l ) parameters and zr(k) is the row vector of observed input and output data. Equation (2.5~ represents for k = l . 2 ..... K a set of linear algebraic equations which may be written in the vector-matrix form as

= 1--I f [ y ( k ) l y ( k - l , O l , u(k,O);O,R]
k=O K

x I-] f [ u ( k ) l y ( k - l , O ) , u ( k - l , O ) ] , ( 2 . 9 )
k=O

y= ZO + n.

(2.6)

Then the least squares method is concerned with determining the "most probable' value of 0, that is 0, which is defined as the value that minimizes the sum of the squares of the residuals, i.e. equation errors e = y - Z0. Thus calculate 0 so that the cost function (2.7)

J = [ y - Z O ] r R - l [ y - Z O ] =erR - 1.e

=lleR-1 211==tie*It=

(2.8)

where the first and second argument in parentheses denote the interval of observation. In general, 0 and R are matrices of the sought parameters. The aim is to determine the parameters so that the likelihood function attains its maximum. For linear systems and Gaussian noise, the maximum likelihood approach yields the same conditions for the parameter calculation as the least squares. The systematic application of the Bayesian approach provides the basis for a consistent theory of identification and control and removes objections concerning the conceptual nonuniqueness of the conventional methods. According to the Bayesian concept the 'estimate' is the probability distribution conditioned by the past history. It meas that any point estimate is nothing more than some partial description of this distribution. Instead of parameter ~estimation' the a posteriori probability distribution

is minimized. The elements of the weighting matrix R - 1 indicate the degree of confidence that one can place in the individual measurements. For ordinary least squares R is an identity matrix. The weighted least squares and Markov estimate correspond to a specific form of the weighting matrix R. If the mean value of the noise n equals zero, i.e. E[n] = 0, then the estimated parameter values are unbiased. But for the noise (2.4) they are biased even if E[n] =0. The instrumental variable method, generalized least squares and extended least squares were proposed to remove this undesired result. It may be noted that all the last three methods have, from the computational point of view, a very close relation to the stochastic approximation or to the Kalman-Bucy filtering, the latter being a specific modification of the least squares. Actually, the square-root filtering belongs to the same family as well but the computational concept differs essentially. This numerical method is very successful in maintaining the positive semidefinite nature of the error covariance and can provide twice the effective precision of the conventional filter implementation in ill-conditioned problems. The maximum likelihood estimation is based

p = [ O [ y ( k - l . O l , u(k,O)3

(2.10)

is calculated for the sought parameters. This is what we call the Bayesian estimation. For illustration let us consider the following related question. The prediction of the next output y ( k + l ) for any given input u ( k + l ) , knowing only the past history of the input/output process but not the system parameters 0, requires in the Bayes' concept a calculation of the probability distribution of y ( k + l ) conditioned by y(k.0) and u(k+l,O) but not on 0. In mathematical terms we have

p[ylk + l )lylk, O),u(k + l,O)] = S p[y(k + 1 )l y(k, 0), u(k + 1, 0), O] p[Oly(k,O),u(k+l,O)]dO.
(2.11)

The calculation is performed by evaluation of measured data known up to the last instant of measurements so that the a posteriori probability distribution can specify the quality of 'estimates' at any instant. Consequently there is no reason to be concerned about biasedness, consistency, efficiency, etc. The Bayesian approach is profitable and recommendable even for closed loop identification used for adaptive control.

12

VLADtMIR STREJC 3. NONLINEAR SYSTEM IDENTIFICATION

3.1 Mathematical models


In general terms the problem of nonlinear identification can be tbrmulated in the following way: We observe a noise corrupted version of a system state vector x(k), input signal u(k), input disturbance w(k) and the output signal y(k). The observation model can be represented by the relation

For nonlinear system identification it l~ advantageous to profit from the state space representation. In this case the state vector xik~ is extended by the parameter vector O(k) so that the modified state vector is (3.3) For a time invariant system it follows that

y(k)=g[x(k), u(k), w(k), O(k), v(k), k],


(3.1) where O(k) represents vector of unknown parameters of the system consisting of coefficients of the system difference equation as well as the mean and variance parameters of the input noise w(k) and observation noise v(k). It may be assumed that the state vector x(k) evolves from the stochastic difference equation

O(k+ 1 )= O(k).

(3.4)

x(k+l)=f[xlk), u(k), w(k), O(k), k].


(3.2) In general the order of the difference equation (3.2) is not known; however, for most of the identification schemes we assume a model of a known order. Solution of the identification problem consists of determination of the unknown parameter estimates and of the unknown order of the functions f Several subcategories of this general system identification problem may be easily derived by introducing the relevant simplifications. Some of them are: (a) Noise free identification for w(k)=0 and v(k)=0. This is the simplest type of system identification problem provided that perfect observation of input ulk), state x(k) and output y(k) exists. (b) No observation of the system noise is possible. (c) The system and observation models are linear. This particular case corresponds to linear system model (2.1 I. The latter simplification possibility admits the procedures proposed originally for nonlinear systems to be applied for linear systems as well. The block diagram of the system and observation model is illustrated in Fig. 1.
~w(k)

Furthermore it is customary to estimate simultaneously the state and the parameters, if needed. In addition to this some of the procedures for nonlinear system identification are derived from control design methods so that in principle the same approach can be used for identification and control. 3.2 Basic identification procedures The most important methods proposed for nonlinear system identification are: Gradient techniques lSage, 1968; Bryson and Ho, 1969; Bekey and Karplus, 1968); Stochastic approximation (Robbins and Monro, 1951: Kiefer and Wolfowitz, 1952; Blum, 1954; Dvoretzky, 1956): Quazilinearization (Henrici. 1962; Kumar and Sridhar, 1964; Bellman and Kalaba, 1965; Detchmendy and Sridhar, 1965: Sage and Burt, 1965; Sage and Smith, 1966); Difference approximatioft; Nonlinear filtering tSage and Melsa, 1971a: Jazwinski, 1970); Invariant imbedding (Sage and Melsa, 1971b).

~v(k)
i de~ee I

u(k) -- .~ Unknown system '~(k)

FIG. 1. Block dmgram of the system and observation model.

Gradient techniques represent a direct computational method since the attempt is to decrease the~cost function at each iteration. In contrast to this an indirect method such as quasilinearizatlon solve the identification problem as a two-point boundary value problem (TPBVP} based on the use of optimization theory at each stage of computation. The simplest form of the gradient techniques concerns the static or single stage decision problem while for dynamic systems identification the multistage version was proposed. Because the conventional approach, using the derivatives of the cost function and parameter vector with respect to the variable sought for resulting in a set of algebraic eqt~ations, which may be qmte difficult to solve, an iterative method was proposed. The ~terative nature of the gradient techniques is introduced by expanding the

Trends in identification nonlinear terms in a Taylor's series and truncating these series after the linear or quadratic term. In this way relations for first order or basic and second order gradient techniques are derived. The latter has the advantage of much more rapid convergence on the one hand but considerable complexity and a much more narrow range of initial conditions for which convergence will occur, on the other. An improvement over these versions is the conjugate gradient method which generates conjugate directions of search and minimizes a positive definite quadratic function of m variables in m steps. The most important case of system identification occurs when the initial state is unspecified and when constant parameters 0{k), state vector x(k) and the controlling vector u(k) are to be identified. In this case the cost function becomes

13

J = Oi[x(kl) ]
kf-- 1

-.0o [x(ko)]
(3.51

+ ~, dp[x(k),O(k),u(k),k],
k=L 0

a straightforward fashion the relevant canonic equations and associated two-point boundary conditions. Thus solving the original stochastic problem is equivalent to solvir/g a weighted sum of deterministic problems with appropriate weighting coefficients denoting the probability of occurrence of individual partial problems. As mentioned earlier, quasilinearization is called an indirect computational method which attacks the identification problem as a two-point or multipoint boundary value problem. The problem of interest is the case where independent boundary values are distributed in time so that one does not know all of them at any one instant. Of particular significance is the problem when from N values N/2 are given at k o and the remaining N/2 at kf. T h i s is the well known TPBVP. Except for the linear case, we must normally resort to iterative techniques in order to obtain a solution which satisfies the boundary conditions. Let us recall that in general we wish to obtain the trajectory 7(k), k~[ko, ks], which satisfies the nonlinear, time-varying, N-vector, difference equation 7(k + 1 )= th[~(k), k] (3.7) and the set of linear boundary conditions

while the system model corresponds to (3.2) with w(k)=0, i.e. to the deterministic version, and the constant but unknown parameters satisfy (3.4). Defining the Hamiltonian, the calculation proceeds by determining the incremental changes Ax', A0", Aui, computing the initial conditions for the next iteration, i.e. x ia = x , + A x i and in the same way for 0 ~1 and u ' 1, and by repeating the iterations until there is negligible change in x(k), O(k) and u(k) from iteration to iteration. The stochastic approximation method has a great number of different modifications. The original Robbins-Monro algorithm is the stochastic analog of the simple gradient algorithm. In addition to the close connection with the gradient method, there exists a close relationship between stochastic approximation and optimal filter theory. In the case of dynamic system identification we consider minimizing the cost function

C(kj)7(kj)=b~,

j = l , 2 ..... m,

(3.8)

J =E{Of[~(kf)] - 00[~(k0) ]
kf-1

where kj~ [k o, ky]. We begin the solution with an initial trial trajectory ?i(k), use a Taylor's series expansion, retain only linear terms and after some rearrangements obtain equation (3.7) in the form of an inhomogenous difference equation enabling us to calculate in an easy way the new trial trajectory 7i+l(k). Condition (3.8) is then satisfied by substituting 7~+1(k) into (3.8), resulting in a set of algebraic equations, the solution of which is 7' + i (k0). Difference approximation can on occasion be used to develop a first approximation to a solution. The most valuable application is in initialization of gradient or quasilinearization techniques. The algorithm uses only one iteration to obtain a solution. Assuming that the system is represented by the N-vector discrete model

+ ~. [~(k),u(k),w(k),k]},
-k=k 0

x(k+l)=f[x(k), O(k),k]+w(k)
(3.6) the function f is proposed to be of the form

(3.9)

where E denotes the mean value, ~(k) is an extended state vector, which includes all unknown parameters and w(k) is a vector stochastic disturbing process with presumed known probability density function. Taking a particular sample of the stochastic process wi(k), we can formulate a deterministic optimization problem. Defining the Hamiltonian we obtain in

f~=gf[O(k)]h;[x(k),k]

(3.10)

with finite dimension of vectors gj and hj. Partial derivative of the cost function
kfl

J= y, ttx(k + l ) - f[x(k),O(k),k]ll~(k,
k=k 0

(3.11)

14

VLADIMIR STREJC inadequacy of system model: inadmissible linearization. It is obvious that all mentloned reasons except the first and second one can be at least partly removed. But the inaccuracy of measurements and the presence of noise are unavoidable obstacles. It may be mteresting to mention that under certain conditions the simplest deterministic procedures, such as repeated integratlon (or summation in the discrete case} of the differential (difference} equations enable us to calculate the same number of linear model parameters as the much more sophisticated stochastic approaches. It means that in such cases the measurement inaccuracy prevails over the mathematical relevance of the method applied. Of course, tt is invalid for a random system input. Do we really need models of the order n>3'? In t'he early years of identification, history it was frequently required to obtain a mathematical system model having the parameter estimates as close as possible to the true values. In addition the identification methods are tested bv sxmulating a given system on a computer to yield input/output data which m turn are used for identificauon and to check with respect to the parameters whether the model is close to the given system. This concept necessarily led to a blind alley. Practically no method of identification is based on minimization of the error defined as the difference between the estimated and true values of parameters or as the difference between the estimated and true structure of the system. Hence. no wonder that we cannot obtain a good coincidence of estimated and true values of parameters when such a quality is not required by the cost function. A good agreement in parameters in case of low order systems is actually only an accidental result. It is well known that most cost functions used in tdentification theory evaluate the deviations of model outputs from the true outputs. Hence, the procedures of identification based on such types of cost functions yield model parameters which can s~gnificantly devmte from the assumed true values but nevertheless the agreement in model and system outputs is guaranteed in the chosen sense. The question is whether the identification of this kind fulfils the practical requirements. The mathematical model of a system is applied, for example, for controller destgn, simulation purposes, verification of dynamic behaviour under unusual conditions not realizable in the true system, and adaptive control. In the first of these application fields one must be careful in considering the fitness of the

with respect to 0~.~ yields the desired parameter vector 0(k ). In essence, the sequential or real time estimation of system parameters is actually a problem of nonlinear filtering. One of the different procedures of this category is the method of invariant imbedding providing, in contrast to the previous methods, sequential or on-line algorithms for system identification thus providing a running time or a sequential estimate of system parameters. The notation 'invariant imbedding' is derived from the concept of 'imbedding" or changing the original specific T P B V P in a class of more general single-point BVP. Since the terminal conditions are held 'invariant' the solution of the more general problem automatically solves the specific problem. The amazing fact is that it is often easier to solve the more general problem than the specific one.

4. CRITICAL REMARKS-STATE OF THE ART Due to objective limitations it is, unfortunately, not possible to go into details and for example to compare the main ideas, advantages and disadvantages of the individual procedures mentioned. This can be done only in a sufficiently comprehensive m o n o g r a p h devoted to this specific topic. The very large number of individual approaches can give rise to criticism, that "the field of identification appears to look more like a bag of tricks than a unified subject' but on the other hand, it proves that the problem of identification is a very difficult one and that its s o l u t i o n ' i s in the centre of interest. In this connection we can formulate the question whether our expectations relating to identification are not exaggerated. What do we actually need'? The methods of identification achieved in past years allow us to find the mathematical models for single input/output as well as for multi input,output systems contaminated by non-negligible noise but the attainable number of parameters is very low. It has been proved in different ways that the uncertainty in obtaining parameters of linear system models of the order n > 3 excludes the practical applicabdity. These limits of identifiability seem to be unsurmountable and may be caused by the following reasons limited measurements accuracy: contaminating and unmeasurable noise; loss of information due to sampling; loss of mformation due to inadequate numerical procedures ; limited number of samples;

Trends in identification identified model for the control design. The model obtained in open loop configuration or obtained in closed loop with a 'modest" controller when applied for an optimum control design requiring a high quality of control, can yield a quite surprising, sometimes even unstable, process. Only low order models where a good agreement in parameters is guaranteed can be exploited for the design of a large class of controllers but not for any kind of controllers due to limited precision of model parameters. Even control cost functions requiring a very high quality of control can be applied only with a certain degree of precaution because numerical solutions can be very sensitive to deviations of model parameter values from their true values. When applying the identified model for simulation purposes reliable results can be guaranteed only if the composite configuration including the system model is the same as the configuration used for system model estimation. Feedforward or open loop configurations are less sensitive to model parameter errors than other configurations comprising the feedback. If the aim of simulation is to find an optimum feedback controller, then the same remarks are valid as for controller design. In the third case of system model application the model is required to be adequate for extremal or extraordinary conditions which could .not be realized experimentally in, the true system. C.onsequently, the system model obtained under normal or moderate operating conditions is expected to be satisfactory for pretentious situations. Such a model application requires a good physical agreement between the true system and its model. The model can be used for this type of simulation only if the model modes which are significant under identification conditions are significant in the simulated conditions as well. Otherwise the system model cannot satisfy the requirements. A quite different situation appears with adaptive control. Assume that the interval for computer adaptation coincides with the sampling interval for identification and that in each sampling instant the system model is updated according to the new information available and the new system model is used to correct the controller parameters. Hence, at each sampling instant the system dynamic identification and the controller design are obtained successively. Provided that the controller design ensures a stable composite system whatever the properties of the controlled system model may be, then there is no danger of having an unrealistic control. In other words we admit temporary false results of identification with respect to system

15

model parameters or with respect to its stability without jeopardizing the applicability of control. This statement is actually based on the previously formulated assumption that the identification procedure optimizes, in the accepted sense, the output error of the model. Of course the quality of control reaches its optimum only if the model properties are matched as close as possible to those of the actual system. This type of adaptive control can be considered as having no confidence in identification or as a very pessimistic one, but it cannot fail. In order that the number of arithmetic operations performed in each sampling interval does not exceed a reasonable limit all algorithms must be kept'in moderate complexity. In the preceding arguments it was assumed that the controller design is based on a knowledge of system parameters. Consequently, there is no conformity in the error cost function for system dynamics identification and in the representation of data needed for computer design. If an appropriate conformity could be achieved, then the false results of identification could be reduced and improvement in control quality could be expected. In general all the previous considerations are valid also for state model parameter estimation but the complexity of numerical calculations grows if the number of calculated parameters exceeds the minimum number, corresponding, for example, to the canonical forms or to the difference equation. Integrated difficulties can be expected if the state variables are nonmeasurable. It is clear that the estimation of state variables in case of known parameters, and, vice versa, the estimation of parameters in case of known state variables, is always less difficult than the joint state and parameter estimation representing a nonlinear problem. In the latter case the estimates may be biased or diverge. The insight into the convergence mechanisms and a modified algorithm ensuring the global convergence was displayed by Ljung (1977). It should be emphasized that considerable difficulties may arise when identifying state and parameters of the state representation, but nevertheless an adaptive scheme can yield realistic results for the same reasons as discussed earlier. Evaluating the input/output series one can almost never obtain the true state space description but only the minimum parameter or minimum realization model. Therefore it is sometimes recommended to realize, for example, the parameter identification of a regression model and to transform the results into the state space representation, if needed. Furthermore it must be noted that the optimal control scheme can be separated into an

16

VLADIMiR STREJC t3) Has identificanon reached upper hmits which cannot be overcome'? 14) Are the numerical methods adequate to the practical needs'? (5) Are there some open problems important to solve'? (61 Is it possible to expect some fundamental changes in identification approaches which wdl significantly improve the contemporary possibilities ': With respect to the remarks given in the previous sections it is evident that, in general, the results of identification obtained by the known procedures can be applied only to a configuration of a composite system which is equivalent to the configuration used for model estimation. Obtainable system models are of loworder compared with the true systems. Except for very simple systems, the quality of parameter errors is not guaranteed while the output errors provide natural information for the construction of cost functions used for identification. Taking into account all these facts, then sequential estimates obtained in a closed control loop configuration and used for prediction and adaptive control satisfv in the best way all mentioned requirements and restrictions. According to the opinion of the author, this is also the most significant and potential field of application in the future. For this type of application it is assumed that the system parameter estimation and the design of the controller are two independent problems which can be solved separately in accordance with the separation theorem, i.e. for linear systems and quadratic cost functions. Provided that the system parameters are identified with sufficient precision, then the design of the controller represents a deterministic problem. On the other hand, due to noise or time varying parameters, the uncertainty associated with the identified controlled system parameters may be the reason for a wrong controller design, namely if some poles or zeros of the linear system lie close to the stability boundary. In this particular case, in order to guarantee a proper and optimum controller design, it is recommendable to apply the quantified uncertainty of the parameter estimates in the controller design approach. This problem relates to the well known Feldbaum's dual control. The final aim is not only to identify and to control simultaneously in a closed control loop but to design the optimum controller under the difficult contradicting conditions when the controller actually acts against the excitations needed for successful identification. It is evident that. in

optimal state estimator followed by the optimal controller design for only a limited class of systems, namely for linear systems and quadratic cost functions. Procedures proposed for nonlinear systems identification are in general more complex than those discussed in previous sections. The gradient techniques appear in many modifications in the technical literature, and they have a close relation to other procedures. The first order method is characterized by computational simplicity and stow convergence near the optimum. The second variation method possesses just the opposite properties and moreover it needs initial values of the calculated parameters and variables closer to the optimum. Restrictions of initial conditions and assumed initial control of the second order gradient method are compensated by quadratic convergence. The gradient of the cost function w~th respect to the parameters is calculated mostly by a perturbation procedure. This procedure may be subject to considerable error, particularly when the cost function is not very sensitive to changes in parameter vector. In contrast to the gradient techniques the stochastic approximation method takes the random disturbing variable into consideration. The problem formulated by the cost function {3.6) and by the difference equality constraints 13.2) is a rather formidable open-loop optimal control and identification problem. The iterative solution resembles the gradient approach, but due to noise the convergence is much slower than might be expected. Stochastic approximation has a close relation to the optimal filtering theory of Kalman, which in the linear case defines exactly the weighting factors associated with the corrections. On the other hand, the stochastic approximation, in the case of nonlinear systems, unfortunately does not tell us anything about the proper value of weighting factors K' except that lim K i = 0 : "

K'=~c, ~ (K')Z<~c,

where i denotes the iteration step.

5. TRENDS AND FUTURE OF IDENTIFICATION When thinking about the future development, significance and trends of identification it is logical to ask the following questions: (1) Where is the main merit and availability of identification ? 12) Is model building by virtue of design and physical data appropriate if evaluation of measured data is realizable':

Trends in identification general, under such a situation, the uncertainty in parameter estimates caused by the contaminating noise must in some way be taken into consideration when determining the optimum controller. Convenient and applicable algorithmic solutions have not yet been found. One-shot estimates of a complex system applied from offline computations will always be burdened by some degree of uncertainty. Of course, adaptive control is not the only applied field of identification. There are many other reasons to calculate the system model. In some applications there is actually no need of automatic control but it is desired to have a model indicating the significance of the interaction between different inputs and some outputs. An example of this would be the system model predicting the total gas consumption depending on day time. the day in the week, the outside temperatures, consumption in the past days, weather forecast, etc. It is a typical example of measured data evaluation where the model is of regression type and the predicted values are not used for automatic control but only for some kind of decision making. It is also a typical example of an identification problem which is not possible to solve by model building based on the knowledge of physical and design data. On the other hand, it is worth mentioning some opposite examples where model building is preferred to measured data evaluation. These are space vehicles, mechanical systems, simple electrical devices, some large scale systems, etc. In the latter case, it is, for example, the model of a large gas network where the model building approach based on physical and design data is used for the construction of models for gas pipe-line elements. These elementary models are only verified by measurements and applied for the design of the complete gas network model. Hence, the model building is a powerful tool of identification having its true justification also in the future. The limits of identification can be slightly raised but only at the cost of additional computations used, for example, to eliminate obviously wrong data, filtering noise outside of the frequency spectrum of the useful signal, testing the significance of individual contributing variables, etc. Also more accurate measurements may improve successive calculations. On the other hand, the evaluation of very large sets of data do not guarantee better results; a fact which actually is in discrepancy with the theory of statistics, namely, with the limit theorems based on an infinite number of samples. According to practical experience, forgetting the very old data may decrease the dispersion of estimates if applied with a good technical feeling for the true

17

stochastic processes. Forgetting the old data may also decrease the influence of the temporary timevariance of the stochastic processes. The problem of defining or extending the upper limits of identification possibilities is closely connected with the question of adequacy of the numerical methods used for identification. According to the opinion of the, author it is hardly possible to propose some new computational procedures guaranteeing significantly better numerical properties than the algorithms used up to the present time. Nevertheless some slight improvements are to be expected. One of such possibilities is outlined by Morf and colleagues (1974) relating to state estimation algorithm. The well known recursive Kalman-filter algorithms based on matrix Riccati-type difference equation is quite efficient and general. However, Morf and colleagues (1974~ introduced a modified version of these algorithms having both a different structure fQrm and potential numerical advantages over the discrete time Kalman-filter algorithms. The main advantage, as indicated by the authors of the original article, refers to the total number of numerical operations needed for the state estimation. Furthermore, the modified recursive algorithm relates to the square-root filters applied to the increments of the error covariance matrix and enables us to derive some other forms of the recursive algorithms described by Morf (1974), Payne and Silverman (1973) and Morf and Kailath (1974). The application of square-root filtering concept is closely connected with matrix factorization and with orthogonal transformations of matrices. The square-root filtering method is a recursive procedure as is the recursive Kalman-filter algorithm. Both these approaches enable us to update the values of the estimated parameters according to the new measurements. Using generalized elementary matrices of rotation (Givens rotations) with imaginary off-diagonal elements, Peterka (1975) proved that there is a very close analytical relation between these methods and inspired Karn~ (1976) to prove this relation in a straightforward way. It may be noted that there are no essential difficulties to be expected when extending the modified square-root filtering in the sense of the well known generalized least squares and extended least squares. However, there are not uniform opinions concerning the usefulness of calculating the noise parameters in (2.4), 1.e. of the ARMA model if the parameter estimates are for adaptive controller updating. There is a question whether the attainable accuracy of noise parameter estimates really can improve the quality of adaptive control or whether the

18

VLADIMiR STREJC
important to retain short 8-bits or 16-bit words for all calculations. This requirement is followed by the necessity to have very efficient algorithms possessing appropriate convergence properties m the presence of input and measurement noise. It may be said that these requirements integrate the difficulties appearing in identification and adaptive control procedures. There are not satisfactory answers to the problem in question. Another problem important to solve is the problem of robust estimates. It concerns development of statistical approaches of estimation which will guarantee nearly the same efficiency as the classical met.hods, when all conditions for optimum solution are exactly satisfied, and. in contradistinction to classical methods, remain highly efficient if these conditions are violated. In this paper we have m mind robustness with respect to distribution but, in general, it would be possible to consider robustness with respect to any other assumption. The main reasons for justifying robust estimates are motivated by the fact that the correct probability distribution is never known and that the cost functions of some classical estimates are unstable even for small deviations from the underlying distribution. The low degree of stability for classical estimation methods has been known for some time, but very little was done to find robust modifications up to the present time. The first step in the theory of robust estimates is ascribed to Huber 11964). His work concerning the parameter estimates of regression models is attractive from both theoretical and practical points of view. A basic review of other contributions devoted to this particular problem is quoted in the recent paper by Po[yak (19761. When evaluating the robustness of estimators it is necessary to take into consideration the estimate errors, their ~ensitivity with respect to a priorz information or assumptions applied for the design of estimators, probability distributions or statistical moments. It is remarkable that such a comparison returns us again to the method of least squares. It applies only to the first two moments and this may be the reason for yielding results applicable even for strong process variations. Furthermore, the characteristics of the corresponding estimates frequentl? represent a very good compromise between the antagonistic requirements of exactness and robustness. However, it is necessary to select the appropriate version between different possibilities offered by this kind of estimation. It ~s possible to apply the theory of estimates based on the so-called minimum penalty (Kovanic, 1972, 19741 represented by a unified formulation a large class

generalized regression model (2.3) with rather simplified assumptions relating to noise properties cannot yield better results. "Another possibility to improve the numerical calculations concerns the problem of solving linear eq.uations or alternatively of inverting matrices. This problem arises in many approaches of identification and other fields and there are many methods developed for this purpose. Some of them were already mentioned earlier in this paper but most of them need 0(N 3 ) multiplication operations to invert an NN matrix, unless the matrix has some special structure. In many applications the matrices are of Toeplitz or displacement type, i.e. of the form

A=[ali-j)],

O<=i, j<=n

(5.1)

or they are closely related to Toeplitz matrices needing only O(Nz) multiplications, which can be a substantial saving when N is large. For nonToeplitz type matrices the difference from Toeplitz type matrix can be introduced, thus yielding the possibility of generalization of efficient inversion algorithms known for the class of Toeplitz matrices, and it might be expected that the number of operations needed for inversion is close to the optimal matrix structure. More information can be found in the publication by Friedlander and colleagues (1977). Besides the reduction of the number of operations it is also necessary to consider the solution of ill-conditioned sets of algebraic equations arising very often in parameter estimation problems. Insufficient attention has been directed to singular value decomposition and least squares solutions (Golub and Reinsch, 1970). The mentioned procedure represents a generalization of square-root filtering, but instead of reducing the rectangular type information matrix to a triangular form, orthonormalized transformations are used to obtain the diagonal matrix of nonnegattve singular values. The possible small or zero singular values can be cancelled while the remaining significant singular values and the respective eigenvectors can be applied for an approximate system representation. Hence, an overdetermined set of algebraic equations can be solved even if the rank of the input/output data matrix is smaller than the dimension of the diagonal matrix of singular values. The application of micro-processors in automatic control systems raises some new. quite different numerical problems to be solved. In order to keep the hardware and the price of controllers and computing devices built with micro-electronics at a reasonable low level, it is

Trends in identification of linear estimators, and it provides a method for considering the common properties of apparently different estimators and diversities of apparently identical estimators. From the point of view of this theory the most important a priori information needed for the optimum estimation is the signal/noise ratio or its generalization expressed by the relation between covariance matrices of signal and noise. The estimate error depends on the exertion of this information. Robustness and exactness of the estimate depends on the subjective selection of one parameter, i.e. on the relative penalty, which must correspond to our assumptions about the future process behaviour, whether, for example, it remains time invariant or whether the signal/noise ratio will significantly decrease or increase (Kovanic, 1979). This approach indicates promising possibilities for improvements of estimators and for extending the applications into the nonlinear field. Particularly in this direction may the next development be expected. Very important also is the problem of identifiability of dynamic systems. The definition of identifiability used in state space theory actually considers only the linear independence of the state vectors needed for the unique description of the matrix of system dynamics. Practical problems of identifiability are more complex. They are briefly discussed in the paper by Strejc (1980) where the reader may find the relevant references. Solution of the open questions could contribute not only to the problem itself but it might help in testing the adequacy of the individual identification procedures.

19

can be expected in the field of adaptive control, application of numerical methods based on advanced matrix algebra, minimum penalty estimates, etc. Prediction of the future development of identification is actually more difficult than the prediction of the conventional system outputs. Indefiniteness of this problem is obvious. We have no mathematical model and we are unable to quantify either the initial conditions or the variables influencing the process. Hence, our prediction is based on intuition and this is not an objective approach from the mathematical point of view. Nevertheless, man is able to predict under these conditions. Perhaps, in the very far future, man will find the tools to formalize problems of this kind and determine how to introduce them to the computer. Such considerations may spark difficult philosophical discussions and therefore we leave this problem open.

REFERENCES Anderson, T. W. 11958). An Introduction to Multivarwte Statistical Analysis. Wiley, Neg York. Astr6m, K. J. (1979). Maximum likelihood and prediction error methods. Tutorials on system identification at the 5th IFAC Symposium on Identification and System Parameter Estimation, Darmstadt. Repnnt m Automatica. Spectal Sechon of the 1980 September issue. ,~str6m, K. J. and P. Eykhoff (1970). System identification. IFAC Symposium. Identification and Process Parameter Estimatmn. Prague, paper 0.1. Balchen, J. G. and C. H0s~ien (1966). Adjustable models for determination of the staustJcal and dynamical behaviour of processes (in German). Regelangstechnik 14, 145. Bekey, G. A. and W. J. Karplus (1968). Hybrid Computation. Wiley, New York. Bellman, R. E. and R. E. Kalaba (1965). Quasilinearizatlon and Nonlinear Boundary Value Problems. Elsevier, Amsterdam. Blum, J. (1954). Multi&mensional stochastic approximation procedures. Ann. Math. Statist. 25, 737. Brunner, W. (1961). An iteration procedure for parametric model building and boundary value problems. Proc. WJCC, 517-533. Bryson, A. E. and Y. C. Ho (1969). Applied Optimal Control. Ginn (Blaisdell), Boston. Clarke, D. W. (1967). Generahzed-least-squares estimation of the parameters of a dynamic model, IFAC Symposium. Identification in Automatic. Control Systems. Prague. paper 3.17 Cuenod, M. and A. P. Sage (1967). Comparison of some methods used for process identification, IFAC Symposium. Identification in Automatic Control Systems. Prague, paper 1. Davies. W. D. T. (1970). System Identi[icatzon for Se!fAdaptive Control. Wiley-lnterscience, London. Detchmendy, D. M. and R. Sridhar (1965). On the experimental determination of the dynamical characteristics of physical systems. Proc. nat Electron. Conf. 21, 575. Deutsch, R. (1965). Estimanon Theory. Prentice-Hall, Englewood Cliffs, N.J. Dvoretzky, A. (1965). On stochastic approximation. In J. Neyman (Ed.), Proc. Third Berkeley Syrup. Math. Statist. and Prob. University of Califorma Press. Berkeley, pp. 3945.

6. CONCLUSIONS

In conclusion, the last question can be answered. It is hardly possible to expect some new identification approaches differing essentially from the previous methods and presenting outstanding quality of identification. The quality of identification is defined here to mean the quality of system output prediction required for adaptive control or decision making. The model structure, the number of model parameters and the exactness of these estimates are irrelevant. It is most probable that all future achievements will improve the methods known at the present time or will introduce some new modifications and extensions. The improvements may concern reduction of computational operations, reduction of the required computer memory, diminishing of the computer word length, increase of the predicted estimate accuracy, solution of dual control, etc. New modifications and extensions

20

VLADIMiR STREJC Lampard, D. G. 11955~. ~ new method of determining correlation function of stationary time series. Proc. IEL 102C, 35. Lee, R. C. K. tl964}. Optimal Estimation, Identification and Control. M.I.T. Press, Cambridge, MA. Levm, M. J. (1959). Estimation of the characteristics of linear systems m the presence of noise. Sc.D. Thesis, E.E. Dept. Columbia University, New York. Levm, M. J. (19601. Optimum estimation of tmpulse response m the presence of noise. IRE Trans. Circuit Theory CT-7, 50 Ljung, L: {1977). The Extended Kalman Filter as a Parameter Estimator for Linear Systems. Lmk6ping Umverslty Report ISY-1-0154. L lung, L. 11978). Convergence analysis of parametric identification methods. IEEE Trans. Automatic Control AC23, 770. Mar~ik, J. 11966). Experiments with a self-adjusting model for automatic parameter estimation of control loops (m German). Z. Messen, Steuern, Regeln 9, 210. Mar~ik, J. (1967), Quick-response adaptwe identification. IFAC Symposium. Identification in Automatic Control Systems, Prague, paper 5.5. Mehra, R. K. and D. G. Lainiotls, Eds. 11976). System Identification: Advances and Case Studies. Academic Press, New York. Mendel, J. M (1973}. D,screte Techniques oJ Parameter Estimation Marcel Dekker, New York. Morf, M., G. S. Stdhu and T. Kadath t1974}. Some new algorithms for recurs~ve esnmation m constant, linear, discrete-time systems. IEEE Trans. Automatic Control AC19, 315. Mort', M. ~1974). Fast algorithms for multlvanable systems. Ph.D. dissertation, Department of Electrical Engineering, Stanford University, CA. Morf, M. and T. Kailath 11974). Square-root algorithms for least-squares estimatton and control. Proc. Eighth Princeton Syrup. Information and System Scl. Princeton, N.J. Panuska, V. t1968). A stochastic approximation method for identification of linear systems using adaptive filtering. In preprmts JACC, Umverslty of Michigan, 1014. Payne, H. J. and L. M. Sdverman I19731. Matrix Riccati equations and systems structure. Proc. IEEE Conf. Decision and Control. San Diego, CA, 558. Peterka, V and A. Halouskova. 11970). Tally estimate of Astr6m model for stochastic systems. IFAC Symposmm. Identificatton alld Process Parameter Esttmatton. Prague, paper 2 3 Peterka, V. (19751. A square root filter for real ttme multivariate regression. Kybernetlka 1 !, 53. Peterka, V 11976). SubJective probability approach to realtime identification. IFAC Symposium. Identificatzon and System Parameter Estimation. TbilisL paper 14.1. Peterka, V. 11978). Experience accumulation for decision making m multivariate time series. Problems CoJnrol Information Theory 7, 143. Polyak, B. T. and Ya. Z. Tsypkm {1976). Robust identlficauon tin Russian). IFAC Symposium. Identification and System Parameter Estimation, Tbthsi, paper S-9. Rajbman, N. S. 11970). What is System Identification? [m Russmn) Nauka, Moscow. Rajbman, N. S. 11973). The application of identification methods. IFAC Symposium. ldentlficatzon and System Parameter Estimatwn. The Hague/Delft, paper S-1 Richalet, J., A. Rault and R. Pouliquen (19711. Identification des Processus par la m~thode du modMe. Gordon & Breach, Paris. Robbms, H and S. Monro 11951). A stochastic approximation method. Ann. Math. Statist. 22, 400. Sage, A. P. and R. W. Burr t1965). Optimum design and error analysis of digital integrators for discrete system simulatton. A.F.I.P S Proc. FJCC 27 Las Vegas, Nevada, pp. 903-914. Sage. A. P and S. L. Smith 11966). Real-time digital simulation for systems control. Proc. IEEE 54, 1802-1812. Sage, A. P. 119681. Optimum Systems Control. Prentice-Hall, Englewood Cliffs.

Eykhoff, P. (1964). Process-parameter esnmauon. In R. H Macmillan lEd.), Progress m Control Engineering, Vol. 2. Heywood. London. Eykhoff, P.. P M. E. M. Van der Grmten, H. Kwakernaak and B. P Th. Veltman 11966). Systems modelling and identification, IFAC Congr. London, survey paper. Eykhoff, P. (1967). Process parameter and state estimation, IFAC Sympostum. Identification in 4utomatlc Control Systems. Prague, paper 2, also in Automatwa 4, 205 11968). Eykhoff, P. 11974). System Identification. Wdey, London. Eykhoff, P.. Ed. 11980). Trends and Progress in System Identification. Pergamon Press. Oxford. Friedlander, B., M. Morf, T. Kadath and L. Ljung ~1977). New reversion formulas for matrtces classtfied m terms of their distance from Toephtz matrices. Internal report, Information systems laboratory, Stanford University, Stanford, CA, submitted for publicanon. Golub, G. H. and C. Reinsch (1970). Singular value decomposmon and least squares solutions. Numer. Math 14, 403. Goodwin, G. C. and R. L. Payne ~1977). Dynamic System Identification; Experiment Design and Data Analysts. Academic Press, New York. Graupe, D. 11972). Identification of Systems. Van Nostrand, New York. Second revised edition 11976), Krieger Publ. Co., Huntington, New York. Hastings-James, R. and M. W. Sage (1969). Recursive generahzed least squares procedure for on-line identification of process parameters. Proc. lEE, 2057-2062. Henncl, P. 11962). Discrete Varmble Method m Ordinary Differential Equations. Wtley, New York. Ho, Y. C. and R. C. K. Lee 11964). A Bayesian approach to problems m stochastic estimation and control, JACC, Preprmt, paper XIV-2. Huber, P. J. 11964). Robust estimatton of a location parameter. Ann. Math. Star. 35, 73. Isermann, R. (197l). Experimental Analysis oJ Control System Dynamics and Theoretical Analysts (in Germanl. Bibliographisches Inst., Mannheim. Isermann, R. (1974). Prozessidentifikation {in Germanb. Sprmger, Berlin. Jazwmski, A. H. 11970). Stochastic Processes and Filtering Theory. Academic Press, New York. Kalman, R. E. (19601. A new approach to linear filtering and predtctlon problems. Trans. ASME. J. Basic Eng. 82D, 35. Kalman, R. E. and R. S. Bucy (1961). New results in linear filtering and prediction theory. Trans. ASME. J. Basic Eng. 83D, 95. Kammskx, P. G., A E. Bryson and S. F. Schmidt (1971). Dl~zrete square root filtering. A survey of current techmques. IEEE Trans. Aurora. Control AC-16, 727. K~trn~, M. 11976~. Probabilistic identification and selfreproducmg forms of &stnbution functions--with order estimation of the dynamic system 1in Czech). Ph.D. Thesis, Insntute of Information Theory and Automation of the Czechoslovak Academy of Sciences. Prague Kendal, M. G. and A. Stuart 11961). The Advanced Theory of Statistics, Vol. 2. Griffin, London, pp. 398-408. Kiefer, J. and J. Wolfowitz (1952). Statistical estimation of the maximum of a regressaon function. Ann. Math. Statist. 23, 462. K~tamorL T. ~1960). Applicatton of orthogonal functions to the determination of process dynamic characteristics and to the construction of self-optimizing control systems. Proc IFAC Congr., Moscow, pp. 613-618. Kovamc, P. 11972). Mimmum penalty estimate. Kybernetzka 8, 367. Kovanic, P. (1974). Generalized linear estimate of functions of random matrix arguments. Kybernetika 10, 303. Kovamc, P. (1979). Classification of linear estimators. Kybernettka 15, 194. Kumar, K. S. P. and R. Sndhar (1964). On the identification of control systems by the quasdmearization method. IEEE Trans. Automatw Control AC-9, 151. Lamlotls. D. G. (1974). Estimat~on Theory. Elsevier, New York

Trends in identification
Sage, A. P. and J. L. Melsa (1971a). Estimation Theory with Applications to Communicatxons and Control. McGraw-Hill. New York. Sage, A. P. and J. L. Melsa (1971b). System Identification. Academic Press, New York. Saknson, D. J. (1966). Stochastic approximation. Adr. Commun. Syst. 2, 51. Strejc, V. (1957). Approximation of monotonous step responses (in Czech). Slaboproud~, obzor 18, 565. Strejc, V. (1958al. Approximauon of monotonous step responses (in German). Acta Techmca 3, 1. Strejc, V. (1958b). New method of controlled system differential equations approximation forced by a signal of a general form (in German). Acta Technica 3, 241. Strejc, V. (1961). Evaluation of general signals with non-zero initial conditions. Acta Technica 6, 378. Stre.lc, V. (1977). Least squares in identification theory. Kybernetika 13, 83. Strejc, V. (19801. Least squares parameter estimation. Automatica, Special Section of the 1980 September issue.

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Strobel, H. (1968). System Analysis Using Determinist.ic Test Signals (in German). V.E.B. Verlag Technik, Berhn. Young, P. C. (1968). Process parameter estimation. Control 12, 931. Young, P C. (1970a). An Extension to the Instrumental Variable Method for Identification of a Noisy Dynamw Process. Department of Engineering, University of Cambridge. Technical Note CN/70/1. Young, P. C. (1970b). An instrumental variable method for real time identificauon of a noisy process. Automatica 6, 271. Young, P. C. and R. Hastings-James (1970c). Identificatmn and control of discrete dynamic systems subject to disturbances with rational spectral density. Proc. Ninth IEEE Symposium, Adaptwe Processes. Young, P. C. (1972). Comments on "On-line identificatmn of hnear dynamic systems with applicauons to Kalman filtering'. IEEE Trans. Autom. Control AC-17, 269.

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