Optimal input signals for nonlinear-system identification

G. C. Goodwin, B.Sc, Ph.D.

Indexing terms: Identification, Nonlinear systems

Abstract
The choice of input signal in an identification experiment has a significant bearing on the final result. At
one extreme, an input can result in violent system disturbances and the subsequent loss of product or damage
to the system. At the other extreme, an input can be so conservative as to yield little or no information
about the system's dynamic behaviour. The optimal input signal achieves a compromise between these
extremes. This paper describes a design procedure for synthetising optimal input signals. A state-space
description of the system is used, and the optimal input is chosen to minimise the variance of the parameter
and state estimates. The method applies to both linear and nonlinear systems and the case of both white and
coloured output noise has been considered. The optimal input signals are shown to result in a significant
improvement in the identification accuracy.

List of principal symbols

E = expected-value operator
f = n x \ vector function appearing in state equations
Fx = n X n matrix with ij component 'bfi/'dxj
Fp = n X (n -f- m) matrix with ij component 'bfil'bflj
g = q X 1 gradient vector
H = r x n matrix relating states to outputs
/ = identity matrix
/ = performance index used for input synthesis
k = dummy time variable
L = (n + m) x (n + m) linear matrix operator
r l
~ = in + m) x (n + m) parameter and state covariance
matrix
p = m x 1 parameter vector
R = r X r noise covariance matrix
u = q X \ input vector
V scalar loss function in performance index
W = r X r weighting matrix
x = n X 1 state vector
Xp = n X in + m) matrix of parameter influence coefficients with ij component 7>xJ/'b^j
r
x
1 system output vector
z=
n
X
\ initial state vector
a=
of initial states and parameters
P = n(n X+ {nm)+ xm)1 vector
matrix of adjoint variables
trace operator
e = n x 1 vector of adjoint variables
x = r X 1 output noise vector
v = variance of noise

r=

(X2

Introduction

If the form of the equations describing a nonlinear

system is known, in the absence of any random effects, the
parameters and states appearing in the equations can be
exactly found1 from input-output data. However, in practice,
the output of the system is corrupted by noise and disturbances, and this leads to errors in the parameter and state
estimates. The error can, in principle, be reduced to zero by
observing the system for an infinitely long period of time or
by using infinitely large input disturbances, but neither of
these alternatives is feasible in practice. The system-observation time is usually fixed by the availability of the system or
by the requirements of the subsequent data analysis. Furthermore, the allowable set of input signals is restricted by the
physical construction of the input actuator and by the safety
and economic limits on the system operation. Within these
limits, however, there is a wide range of possible input
signals, and the particular input used has a direct bearing on
the accuracy of the parameter and state estimates. This paper
describes a design procedure for synthetising the input which
minimises the parameter and state variances within the bounds
imposed by the physical, economic and safety constraints.

Several previous authors2"8 have realised the possibility of

selecting the input so as to maximise the estimation accuracy.
However, most2"7 of these authors considered only the
special case of white output noise, and all but one7 ignored the
effect of imprecisely known initial states. Levadi,8 in 1966,
considered coloured noise, but his analysis was restricted to a
linear system described by a weighting-function model, and a
total-energy constraint was used to limit the input signal.
The design procedure described in this paper is a new
approach to the input-synthesis problem. The method is
considerably more general than any previously described. A
state-space formulation of the model equations is used, and
the analysis applies to combined parameter and state estimation. Both linear and nonlinear systems are included, and the
case of both white and coloured noise is considered. Also, the
set of input signals is restricted by inequality constraints on
both the inputs and states of the system. These constraints can
be made to correspond exactly to the physical, economic and
safety limits on the system operation. The input-synthesis
procedure requires an initial estimate of the parameters and
initial states, but this estimate can be obtained from any
nonoptimal input-output record of the system.

x(k

922

= f{x(k), u(k),p, k)

k=

...,N-l

*(D=a

(1)
(2)

where x is an n x 1 state vector, a is an n x 1 vector of

initial states, u is a q x 1 input vector and p is an m x 1
parameter vector.
The output of the system z is assumed to be a linear function of the state vector plus additive noise; i.e.
z(k) = H(k) x(k) + v(A:)

k=l,2,...,N

(3)

where z is the r X 1 output vector and His&n r X n matrix.

The noise component v in eqn. 3 is assumed to have zero
mean and known covariance:
t

k2)

k2=

3
Paper 6445 C, received 11th January 1971
Dr. Goodwin is with the Department of Computing & Control,
Imperial College, Exhibition Road, London SW7, England

Model equations

The design procedure discussed in this paper applies

equally well to continuous and discrete models. However, a
discrete model has the advantage of compatibility with
digital-computing techniques, and thus only the discrete case
will be described here. The equivalent continuous results
follow by analogy.
Let us consider a nonlinear system whose dynamic behaviour can be described by a set of nonlinear state equations
of the form

1,2,..., N

(4)

Minimum-variance estimation

Given the form of the model, i.e. eqns. 1, 2 and 3, the

system-identification problem reduces to the problem of
PROC. IEE, Vol. 118, No. 7, JULY 1971

estimating the initial state vector a and the parameter vector

p. Here we shall use the symbol P for the vector of unknowns;
i.e.
(5)
The vector (5 may be estimated from input-output records of
the system. In general, iterative estimation procedures 1 are
required, since the state of the system is a nonlinear function
of the vector (5. However, for small changes in (5, the state may
be approximated to by a linear expansion as

x(k) ~ x(k) +

- P] k = 1, 2 , . . . , N

k=l,2,...,N

(7)
(8)

The linear expansion in eqn. 6 allows us to apply the results of

linear-estimation theory 9 to the estimation of the vector p . It
is readily shown 9 that a minimum-variance linear unbiased
estimate of P is

P=P

(9)

k=\

{ 2 Xj(.kx)H^{.kx)W{kx, k)\

(10)

In order that the estimate p have minimum variance, the r x r

weighting matrix Win eqn. 10 must be chosen 9 as the inverse
of the noise covariance; i.e.

2
where / is an r x r identity matrix and is a Kronecker delta
function.
It is well known 9 that the covariance of the estimate p is
given by

covP == M~l

(12)

where M is an (n + m) X (n + m) matrix given by

N

. . . .

(14)

The function 6 is the trace operator. The second term in eqn. 14

is a scalar loss function. This function has been included so
that penalty-function constraints may be imposed on the state
variables. There are other possible methods of handling statevariable-inequality constraints, for example the recent method
proposed by Jacobson and Lele. 11 However, at present the
penalty-function method appears to be the simplest and most
convenient method for handling the general situation when
the number of constraints exceeds the number of inputs. Thus
the penalty-function method has been used here, but it is a
straightforward matter to incorporate any other method for
handling state constraints.
Section 5 describes the design algorithm which can be
used to minimise the performance index given in eqn. 14.
5

Iterative design algorithm

It is shown in Appendix 12 that the first variation of

the performance index is given by

A/ = 2 gr(k)&u(k)
-s - 1

V{x{k), u{k), k)

J=

where L is a linear matrix operator given by

We) = { S

Performance index

To obtain a meaningful optimisation problem with

respect to input variations, we shall require a scalar measure of
the parameter and state covariance matrix. Various measures
are possible, but it has recently been pointed put 7 that it is
important that the measure be directly related to the estimation accuracy. Here we shall use the trace of the covariance
matrix, since this is equal to the sum of the parameter and
state variances. The optimal input will be chosen to minimise
the following performance index:

(6)

where p is a given estimate of p . X$ is a matrix of partial

derivates evaluated at p and having its ij component ~dxil'dfij.
x is the state evaluated at p .
The partial-derivative matrix X$ is known as the matrix of
parameter influence coefficients,10 and it satisfies the following equation obtained by differentiating the state equation at

+ 1) =

(15)

The gradient g depends on two adjoint variables, i.e. X and

F as described by eqn. 36. The gradient may be used iteratively
to evaluate the optimal input u*(k) for k = \,2,. . ., N, using
the following steps:
(i) Start with any initial estimate of the input.
(ii) Solve the state equation (eqn. 1) from the boundary
condition given in eqn. 2 using p .
(iii) Solve the sensitivity equations (eqn. 7) from the boundary conditions given in eqn. 8 using p .
(iv) Evaluate the parameter and state covariance matrix
(eqn. 12) and determine the performance index (eqn. 14).
(v) Solve the adjoint equations for T (eqn. 33) in reverse
time from the boundary condition given in eqn. 34.
(vi) Solve the adjoint equations for X (eqn. 31) in reverse
time from the boundary condition given in eqn. 32.
(vii) Evaluate the gradient using eqn. 36.
(viii) Change the input using the steepest-descent or conjugate-gradients 12 methods, so as to reduce the performance index.
(ix) Return to (ii) and iterate.
Note that input-inequality constraints are readily included in
the above algorithm by projecting12 the gradient onto the
constraint surface.

(13)

Strictly speaking, the covariance expression given in eqn. 12

is true only for linear estimation. However, statistical tests
have been reported 15 which indicate that the expression gives
an accurate estimate of the covariance in the nonlinearestimation problem. The only requirement is that a reasonably
good a priori estimate P be available. The most straightforward method of obtaining P is to apply an iterative estimation method 1 to any nonoptimal input-output record of
the system.
Section 4 shows how the rough estimate p may be used to
synthetise an input which minimises the variance of the
parameter and state estimates. This input may be subsequently
applied to the system and a new estimate ( obtained. The new
estimate will have a significantly improved accuracy corresponding to the reduction in variances.
PROC. IEE, Vol. 118, No. 7, JULY 1971

Examples

The following simple example will be used to illustrate

the procedure described above.
The continuous state equation of the system is
dt x = pxx + p2u

(16)

and the corresponding discrete state equation is

x(k + 1) = exp (pxr)x(k) +p2{\ - txp(pxr)}u(k) (17)
*(1) = a

(18)

The system output equation is

z(k) = x(k) + v(*)

(19)
923

where v is a noise component. Initial estimates of the initial

state and parameters are
d
Pi

.Pi.

' 0"
1

(20)

1_

In each of the following cases, a sampling rate T of 0 1 s was

used, and the total system observation time was set at 10s,
i.e. N= 101.
6.1

i.e. (3, the state constraints should be made slightly more

restrictive than actually required to allow for a safety factor.
6.3

Coloured noise
To illustrate the dependence of the optimal input on
the nature of the noise, a final example is presented for which
the noise is assumed to have the autocorrelation shown in
Fig. 3. The input constraint \u\ < 1 was imposed and Fig. 4

White noise

Here the noise on the system output was assumed to be

white with variance a2. The input constraint \u\ < 1 was
imposed. Fig. 1 shows the resultant optimal input signal and

u 0

Fig. 2
Optimal input and model response for lst-order system with white
noise and both state and input constraints
a Optimal input
b Model response

x 0

-1 Fig. 1
Optimal input and model response for lst-order system with white
noise and input constraint
a Optimal input
b Model response

Fig. 3
Coloured-noise autocorrelation function

the corresponding model response. The optimal input was

found using the steepest-descent method from an initial guess
of u equal to 1. Only ten iterations of the algorithm described
in Section 5 were required. The improvement in the sum of the
parameter and state variances was from 2-231CT2 with the
step input to 0-334CT2 with the optimal input. The result is
relatively simple for this simple example. However, the
simplicity is deceptive. The subsequent examples will show
that the detailed structure of the input is intimately related to
the nature of the noise and the system constraints.
6.2

State constraint
This example is similar to that in Section 6.1, save that
the additional state constraint |x| < 0-5 is imposed. This
constraint may be added to the performance index as follows:
k^

64

The optimal input and model response are shown in Fig. 2.

The optimal value of the trace of the parameter and statecovariance matrix was found to be 0-621CT2. It is interesting
to compare this result with that obtained by approximating to
the state constraint by using the input constraint || < 0-5.
Naturally, the optimal input in this latter case has the form
shown in Fig. 1, save that the limits are at 0-5. The trace
of the convariance matrix, using the input constrained at
0-5, is 1-336C72. This is more than twice the value of
0-621 a2 obtained with the true constraints \u\ < 1 and
|*| < 0-5. A final point on state constraints is that, since the
input design is made with a rough estimate of the parameters,
924

O0

10

-1

Fig. 4
Optimal input when the output noise of the system has the autocorrelation shown in Fig. 3

shows the resultant optimal input. The minimum sum of the

parameter and state variances was found to be 0-987CT2. The
fact that the optimal input is intimately related to the nature
of the noise can be seen by comparing Fig. 4 with the whitenoise optimal input previously shown in Fig. 1. The difference
is borne out by the observation that the white-noise optimal
input leads to a trace of the covariance matrix of 1 746a2
when used with coloured noise. This is nearly twice the
optimal value.
7

Application to model of steam generator

The input-synthesis procedure has been applied to a
model of a 3000 lb/h Lamont steam generator. After some
preliminary studies,13 an approximate model of the plant was
found to be
PROC. IEE, Vol. 118, No. 7, JULY 1971

x{(k + 1) = xx(k) + {/?, + p2ux{k) + p2u2{k)

used to apply the inputs and record the subsequent response

of the system. The last method offers the greatest flexibility,
but naturally requires a computer to be available.

+ p4u3(k)+ p5x3(k)}
x2(k + 1) = x2(k) + {p6

1-2

x3(k
0-8 -

= x4(k)

{/16 +

pxlxx(k)

+ pl9u2(k)+

where xv =
x2 =
x3 =
x4 =
, =
u2 =
w3 =

0-4

P2QX3(k) + />2i*4(*)} (22)

steam pressure, lb/in2

drum water level, in
output steam temperature, degF
superheater metal temperature, degF
fuel mass-flow rate, lb/s
steam mass-flow rate, lb/s
feedwater mass-flow rate, lb/s

0-42 h

0-34 h

To obtain initial estimates of the parameters in the model, the

variables listed above were data-logged over a 20min period.
During the data-logging, an effort was made to drive the plant
manually over a wide operating range. Subsequently, the
information was analysed offline, and estimates were made of
the parameters and the nature of the noise. A rough approximation to the noise covariance was found to be

R{kuk2) =

49
0
0
0

0
0
1 0
0 36
0
0

0'
0
hkxk2
0
256

0-26 r-

0-18

(23)

0-8

The estimated parameter values were found to have magnitudes differing by factors of 104. Thus, to make a comparison
between their variances meaningful, the parameters were
rescaled to unity. The sum of the variances of the scaled parameters was calculated from the data-logging record, and was
found to be 7-9.
In anticipation of the design of an optimal input signal, a
study was made of the restrictions on the system operation.
The important constraints were found to be
(i)
(ii)
(iii)
(iv)
(v)

_l_

a limit on fuel
flow
0-4 < ! < 1 -2 *J input
a limit on steam flow 0-2 < u2 < 0-42 > cona limit on feedwater flow 0 < u3 < 1 -4 J straints
a safety limit on steam pressure 110 < x, < 210\
a safety limit on drum water level 3 < x2 < 3 /
state constraints

In view of the above constraints, the optimal input was

synthetised by minimising the performance index

0-4

200

400

600
t,s

800

1000

Fig. 5
Optimal input for model of steam generator
a Fuel mass-flow rate
b Steam mass-flow rate
c Feedwater mass-flow rate

Suboptimal inputs, based on the true optimal inputs discussed in this paper, may lead to even simpler methods of
implementation, but this possibility has not yet been fully
explored.
9

>
where ^[M"" 1 ] is the trace of the 21 x 21 parameter covariance matrix, and the second term has been included to
account for the state constraints.
The optimal input is illustrated in Fig. 5, and the optimal
trace of the parameter covariance matrix was found to be
1-3. The optimal value of 1-3 is one-sixth of the sum of
variances obtained with the data-logging input. The improvement is especially significant, as the data-logging input had
been carefully selected (manually) to excite fully the plant
dynamics.

Methods of implementation

There are several methods available for implementing

optimal input signals. The simplest method is to apply the
inputs manually, but this approach is restricted to systems
with long settling times and few inputs. A more sophisticated
method is to use a multichannel tape recorder to apply the
inputs. Alternatively, a small online digital computer may be
PROC. IEE, Vol. 118, No. 7, JULY 1971

Conclusions
A design procedure has been described for the synthesis of the input signal which leads to minimum variance
estimates of the parameters and states in models of nonlinear
dynamic systems. The allowable set of input signals has been
restricted by amplitude constraints on the inputs and states of
the system. The case of both white and coloured noise has
been considered, and several examples have been used to
illustrate the resultant optimal input signals. The examples
have shown that an order-of-magnitude improvement in the
parameter and state variances can result from the use of the
optimal input signal. The design procedure has been shown
to be tractable for large-scale systems by an application to the
model of an industrial-scale steam generator.
10

Acknowledgments

The author gratefully acknowledges the support and

encouragement given to him by Prof. C. B. Speedy and R. F.
Brown, his cosupervisors at the University of New South
Wales, NSW, Australia. Thanks are also due to D. Q. Mayne
of Imperial College, London, England, for his helpful
suggestions during the preparation of the paper.
925

11

References

1 GOODWIN, c c.: 'Application of curvature methods to parameter

and state estimation', Proc. IEE, 1969, 116, (6), pp. 1107-1110
2 LEVIN, M. J.: 'Optimum estimation of impulse response in the
presence of noise', IRE Trans., 1960, CT-7, pp. 50-56
3 LITMAN, s., and HUGGINS, W. H.: 'Growing exponentials as probing
signals for system identification', Proc. Inst. Elect. Electron.
Engrs., 1963, 51, pp. 917-923
4 GAGLIARDI, R. M. : 'Input selection for parameter identification in
discrete systems', IEEE Trans., 1967, AC-12, pp. 597-599
5 AOKI, M., and STALEY, R. M. : 'On input signal synthesis in parameter identification', Automatlca, 1970, 6, pp. 431-440
6 NAHI, N. E., and WALLIS, D. E. : 'Optimal inputs for parameter
estimation in dynamic systems with white observation noise'.
Proceedings of the Joint Automatic Control Conference, University of Colorado, USA, 1969, paper IV-A5
7 GOODWIN, G. c.: 'Input synthesis for minimum covariance state
and parameter estimation', Electron. Lett., 1969, 5, pp. 539-540
8 LEVADI, v. s.: 'Design of input signals for parameter estimation',
IEEE Trans., 1966, AC-11, pp. 205-211
9

GRENANDER, u., and ROSENBLATT, M. : 'Statistical analysis of

stationary time series' (Wiley, 1957)

10 MEISSINGER, H. F. : 'The use of parameter influence coefficients in
computer analysis of dynamic systems'. Proceedings of the Western
Joint Computer Conference, San Francisco, USA, 1960, pp. 181
192
11

SPEEDY, c. B., BELL, R. D., and GOODWIN, G. c.: 'Dynamic model-

ling of a steam generator using least squares analysis'. Paper

presented at Joint Automatic Control Conference, Ga., USA, 1970
14 ATHENS, M. : 'The matrix minimum principle', Informat. Control,
1968, 11, pp. 592-606
15

2
k=\

2 vj
k=l

2
A:=l

. . . .

SCHALOW, R. D., and EVELEIGH, V. w.: 'Limits on identification

accuracy using the quasilinerarisation method'. Department of

Electrical Engineering, Syracuse University, New York, USA,
technical report TR-68-15, 1967

(27)

We can now use 'summation by parts' to remove the dependence of eqn. 27 on Ax(k + 1) and AX$(k + 1). The appropriate summation formulas are
k=i

+ 7J(N)Ax(N + 1) - AT(0)Ax(l) (28)

JACOBSON, D. H., and LELE, M. M. : 'A transformation technique for

optimal control problems with a state variable inequality constraint', IEEE Trans., 1969, AC-14, pp. 457-464
12 PAGUREK, B., and WOODSIDE, c. M. : 'The conjugate gradient method
for optimal control problems with bounded control variables',
Automatica, 1968, 4, pp. 337-349
13

Fu(k)Au(k) - Ax(k + 1)}

k=\

1 = 2
+ <r(A0, AXpiN + l)> - <r(0), AAp(l)> (29)
Note in eqns. 28 and 29 that the initial conditions Ax(l) and
AXg(l) are both zero, since the boundary conditions given in
eqns. 2 and 8 are fixed. Using this result and substituting
eqns. 28 and 29 into eqn. 27, leads to

- 2 2 { S <HHkW(k,k2)H(k2)X&(k2)M-2,AX&(k)y\
Appendix

12

Derivation of first variation of performance index

From eqn. 14, the performance index may be written as

+ 2{

2 {V
k=l

2^
+ V{x(k), u{k), k)

(25)

) + Fu(k)Au(k)}

k=l

k=\

The variables x, u and X$ appearing in the performance index

are related by the state equations, eqn. 1, and the parameterinfluence equations (eqn. 7). Therefore let us adjoin these
equations to the performance index by using Lagrange multipliers. The state equations are most conveniently expressed in
vector form, while the parameter-influence equations are most
conveniently expressed in matrix form. Consequently, the
following expression contains both vector and matrix14
Lagrange multipliers:

), Fx(k)X&(k) +

- 2

2 <Fj(k)T(k),
k=l

- 1),

k=l

(30)

One of the conditions of optimality is that the terms in eqn. 30

which depend on Ax and AX$ must vanish identically. Hence
we must equate the coefficients of Ax and AX$ to zero. This
leads to the following adjoint equations:

, Fx(k) X&(k)

. . . .

(26)

where T symbolises transposition and the brackets <, >

indicate matrix inner product.14 The vector X is an n x 1 set
of adjoint variables and the matrix T is an n x (n + m) set
of adjoint variables. Note that, when eqns. 1 and 7 are satisfied, the constrained performance index given in eqn. 26 is
identically equal to the original performance index given in
eqn. 25.
It is a well known result14 that the derivative of ^(Af-1),
with respect to the matrix M, is equal to M~2. Using this
result, and after some nontrivial algebraic manipulation, it
can be shown that the first variation of eqn. 26 is given by
AJ =

+ F&(k)>Au(k)

k=l

- <rT(A0,

k=\

l)Ax(k)

+ V{x(k), u(k), k}

Jc =

- 1) = Fj(k)Xk) + VxV(k)
\ Fx(k)X0)
k = N, N

(31)
(32)

2 =i

k = N,N- 1, . . . , 2 (33)

T(N) = 0

. (34)

Finally, substituting eqns. 31-34 into eqn. 30 yields the

following result for the first variation of the performance
index:
AJ = j? gT(k)Au(k)

-22 { 2
k=\ ^2=1

2{
926

k=l

(35)

k=\

where the gradient vector g is given by

g(k) = VuV(k) + Vu<r(A:), Fx(k)X&(k) + F3(*)>
+ Fj(k)X(k)
(36)
PROC. IEE, Vol. 118, No. 7, JULY 1971