Automatica, Vol. 6, pp. 271-287. Pergamon Press, 1970. Printed in Great Britain.

An Instrumental Variable Method for Real-time

Identification of a Noisy Process*
Une m6thode de la variable op6ratoire pour l'identification en temps
r6el d'un proc6d6 contenant du bruit
Eine Hilfsvariablenmethode zur Kennwertermittlung an einem stochastisch
gest6rten Procel3 im Echtzeitbetrieb
MeTo~ orIepaTrmno~ nepeMeHUO~ )~.~ oHo3Hasann~ B ~e~CTBI,ITeYI~,HOM
BpeMei-iH o5~,erTa c myMOM
P. C. Y O U N G ~

A practical real-time process identification scheme must be relatively simple yet have a
reasonable basis in statistical estimation theory. The Instrumental Variable EquationError Method represents one attempt to satisfy these requirements.
Summary--The problem of identifying a dynamic process
from its normal operating data has received considerable
attention in recent years. The various techniques developed
range from largely deterministic procedures to sophisticated
statistical methods based on the results of optimal estimation
theory. The instrumental variable (IV) technique outlined
in this paper is intended as a compromise between these two
extremes; it has a basis in classical statistical estimation
theory, but does not require a priori information on the
signal and noise statistics.
The paper describes an IV approach to the problem of
identifying a linear process described by a differential
equation model and outlines the development of a simple
digital recursive estimation algorithm. It also discusses
briefly how the choice of input signal and the form of the
mathematical model can affect the identifiability of a process.
Finally, a number of representative experimental results are
included both to demonstrate the practical feasibility of this
particular approach to process identification, and to show
that it can be used to estimate either time invariant or
slowly variable process parameters.

these two extremes; it has a basis in classical statistical estimation theory, but does not require a priori
information on the signal and noise statistics.
The IV a p p r o a c h to least squares parameter
estimation has its foundations in classical statistical
estimation theory, where it represents one a p p r o a c h
to the problem of estimating structural model parameters [4, 5]. Probably the first application o f the
IV m e t h o d in the field o f process identification
was by P. JOSEPH, J. LEWIS and J. Tot; [6]. Although
they did not refer to it by name, Joseph et al.
suggested an IV procedure for identifying the
parameters of a process described by a difference
equation model. Subsequently, R. E. ANDEEN and
P. P. SHIPLEY [7] proposed an improved version of
the Joseph et al. method and applied it to the
theoretical design o f a digital adaptive flight control
system for an aero-space vehicle. Shortly afterwards
V. S. LEVADI [8] described the mechanisation o f a
purely analog IV method for identifying a linear
dynamic process described by a differential equation
model.
The identification scheme described in the present
paper is mechanised in a hybrid (analog-digital)
form. Here, the measured signals obtained f r o m
an u n k n o w n single-input, single-output process are
passed through analog "state variable filters"* and
then sampled to provide the input data to a simple
digital estimation algorithm. This special recursive
least squares algorithm was first suggested in an
unpublished research note [10]. The overall
estimation procedure can be considered as a

INTRODUCTION
THE PROBLEMo f identifying a dynamic process f r o m
its normal operating data has received considerable
attention in recent years [1]. The various techniques
developed range from largely deterministic procedures [2] to elegant statistical methods based on
the results o f optimal estimation theory [3]. The
instrumental variable (IV) technique outlined in
this paper is intended as a compromise between

* Received 17 March 1969; revised July 14, 1969. The

original version of this paper was presented at the 4th IFAC
Congress which was held in Warsaw, Poland during June
1969. It was recommended for publication in revised form
by associate editor A. Sage.
Control Group, Department of Engineering, University
of Cambridge, England.

* A term first used in Ref. [9].

271

272

P . C . YOUNG

hybrid development of Levadi's purely analog

approach and it also represents a logical extension
of earlier differential equation-error estimation
schemes described by the author [11-13].
The IV identification procedure is intended
primarily as a general method for identifying the
time-invariant or slowly variable parameters of
a continuous single-input, single-output dynamic
process. However, it can be extended directly for
use with both difference equation models and multiinput, single-output processes. In addition certain
multivariable problems can be handled in a similar
manner provided they possess a suitable structural
form.
THE GENERAL PROBLEM
Consider a single-input dynamic process that can
be described by a linear differential equation model
u

d"x

~t

dmu

n~=oan-~:U"~m~=lbm'~

(1)

where u=u(t) is the input command signal and

x = x ( t ) is the process output response to u(t). The
parameters a, and bm are a set of M + N + 1 unknown coefficients which may have time variations
that are slow in comparison with the response time
of the process. If x,, n = O ~ N and u,,, m=O--*M
are used to denote d"x]dt" and dmu/dt m, respectively, then Eq. (1) can be written

M
anXn=UO-k Z bmum
n=O
m=l

(2)

which can be converted into the alternative vector

equation

(3)

where

x =Exoxl..,

uM]

aT=[aoal ... aN-bl-b2

. . . --bM].

GENERALIZED EQUATION ERROR METHOD

Equations (3), (5), and (6) represent a fairly

general model for a single-input linear dynamic
process with unmeasurable input disturbances and
measurement noise. The nature of the observation
matrix H, and therefore the observed vector y is
dependent upon the particular process under
investigation. In this paper only the classical singleinput, single-output process is considered in detail,
and so it is assumed that H is of the special form,

H=[100...0]

x~a=uo

vector, x a. The symbol ~ is a j random vectol

denoting the noise present on the observations.
By the principle of superposition for linear systems,
it can be assumed that ~ represents the combined
effects of all unmeasurable disturbances and
measurement noise affecting the process.
For
generality, the observed input signal, v, is contaminated by measurement noise, n, which does
not enter the process.
The overall signal topology of the system as described by Eqs. (3), (5) and (6) is shown in Fig. l(a).
Identifying this process during normal operation
is a problem of statistical parameter estimation.
To solve such a problem, it is necessary to choose
a method for utilizing the observed data, y and v,
to derive an estimate ~ of a, whereby the resulting
estimated model will adequately describe the
dynamic characteristics of the process.

(4)

Equation (3) does not supply details of any

unmeasurable disturbances or measurement noise
that may affect the process, nor does it provide a
picture of the process as seen by an external observer. It will be assumed here that these details can
be included by adjoining the observation equations.
y = Hx A+ ~

(5)

v = Uo+ 11.

(6)

Here, H is a j x ( M + N + I )
observation matrix
relating the observed ./ vector,
Y=[YoYJ-..35"-1] T, with the augmented state

and y is reduced to a scalar observation Yo as

defined by,
Yo = Xo + ~o.

(7)

Although this model is a special case, it is of

particular interest since many practical single-input
processes are of this type. The identification procedure can be extended to handle other forms of
mathematical model, however, and this is discussed briefly in a subsequent section.
Previous publications by the author describe a
fairly restricted approach to the problem of identifying a process described by Eqs. (3), (6) and (7) which
can be used with either continuous [l l, 12] or
discrete [11, 13] data. This approach is based on
the definition of an "estimation model" that obeys
a similar differential equation law to that of the
basic process, but which does not include pure
time derivatives of the process input and output
signals. This estimation model is obtained by
operating on each of the terms appearing in the
differential Eq. (1) with a linear time invariant filter,
Di, where in general

(j<M+N+I)

Di(s) = P~(s)/Qi(s)

(8)

An instrumental variable method for real-time identification of a noisy process

- I

273

PROCESS

-I

M+N+

= Uo

V_. = H x A +

I
i

V = Uo+

(a)

I
U0

_]

STATE
VARIABLE
FILTERS

PROCESS

I
=

VARIABLE

FILTERS

z = XAD + ~D

Ill

uo

--

+ no

D i Is)

I
(b)
FIG. 1. Signal topology of (a) a general single input process; (b) single-input, single-output process with
state variable filters.

and Pi(s); Qi(s) are constant coefficient polynomials

in the Laplace operator, s, with orders I and J
respectively. The subscript i in (8) merely emphasises the fact that the filter is not unique, but merely
a single member of a whole class of filters. If a,
and bm are assumed constant, then it is possible
to write the following identities:
Di{a . x.(t)} =

a.D,{x.(t)} = a.[(x.)]o,

D,{bm " Urn(t)} = bmDi{Um(O}

= bm[(Um)]D ,

(9)

where the terms [(x.)]o, and [(Um)]O , represent the

response of the filter to inputs x. and Urn, respectively.
Equation (9) states that because the process is
linear and the parameters a. and b m are time invariant, then the operator, D~, commutes with the
functions a . . x n and bin.urn. If this is the case, then
it has been shown [11, 13] that the parameters
a. and bm can be related by the estimation model
N
n=0

a.[(x.)]o,=[(Uo)]o,+

~ bm[(U..)]o,.

m=l

(I0)

This relationship is valid subsequent to an initial

small interval of time, e, following the initiation of
the filtration at t = t o provided that: (1) the form
of Di(s ) is such that any initial conditions on the
process variables at t = t o have insignificant effect
on the filter outputs [(x,)]o, and [(Um)]O , for all
time, t > t o + e; (2) the frequency bandwidth of the
filter Di(s) approximately encompasses the frequency band covered by the differential equation
model of the process--in other words, the frequency
band of interest in the identification. Condition 1
is required so that the deleterious effects of any
initial condition on the measured state are removed
as soon as possible. It simply implies that the
filter should have well damped transient response
characteristics and a frequency bandwidth which
is as high as possible consistent with condition
#2.
The significance of Eq. (10) is that it provides a
relationship between the unknown parameters
an and bm that is capable of replacing the original
differential Eq. (2) for identification purposes. The
practical utility of the estimation model becomes

274

P . C . YOUNG

clearer if the commutation carried out in Eq. (9)

is taken one step further, i.e.
[(x,)]D,

[(Xo)]D,.

[(u m)] o ,

[(u o)] D,.

~, a,[(yo)]o, =[(v)]D,o+ ~', bm[(v)]o,.,..

(12)

m= [

n=O

This can be written in the alternative vector form

and
zTa = w

where D,,(s)=s"Di(s); Di,,(s)=s"Di(s ). It is now

clear that the estimation model can be written in
the alternative form
N

n=O

where
zT=

[[(Yo)]o,o[(Yo)]o,

. . . [(Yo)]o,N[(v)]o,,

...

[(O]o,M]

a.[(Xo)]D,.=[(Uo)]D,o+

(13)

[(Uo)]D,.,

(11)

m=l

in which the variables [(X0)]D,, and [(Uo)]D,m

represent the response of the state variable filters
D~, and Dim to the process output Xo, and input
Uo, respectively. The filters can be made physically
realisable provided the order J of Qi(s) is selected
so pure differentiation, with all its attendant
practical limitations, is not specified. This requires
that J should be made greater than or equal to the
total sum of the order I of P~(s) and the order of
the maximum differential coefficient appearing in
the model of the process, since for most physical
processes N>_M, this condition is usually of the
form J > I + N.
The high-pass or D.C. blocking filter is the
simplest example of a physical realisable single
dimensional state variable filter [12]. Other related
but more subtle multi-dimensional state variable
filter mechanisations are the method of KOHR [14]
and the method of multiple filters [l l, 13]. A more
detailed discussion regarding the choice of particular state variable filter configurations and the
general philosophy of the state variable filter
approach is given in Ref. [15].
The reader may detect a superficial similarity
between the function of the state variable filter
and that of the state observer suggested by D. G.
LUENBERGER [16, 17]. However, the state variable
filter described here is a much cruder device than
the observer; its purpose is merely to avoid direct
differentiation of the measured signals and not to
reproduce the unmeasurable state variables of the
process. As a result, state variable filter synthesis
uses only a minimum of a priori information,
namely the approximate process bandwidth and the
order of the differential equation model; it does
not require detailed knowledge of the process
dynamics as in the case of the observer.
In any practical situation, the process output,
Xo, and input, Uo, are not directly measurable and
must be replaced by their observed values, Yo and v,
respectively. The signal topology of the system
obtained in this manner is shown in Fig. l(b). The
estimation model Eq. (11) must now be modified
as shown in Eq. (12).

w=[(v)]o,o.
Note that by the principle of superposition, the
following relationships are also true [see Fig. l(b)]:
z T = xSo + ~ = [ [ ( X o ) ] o , o
+ [[(~o)],,o.

[(Uo)]o,~,]

[(n)],,,]

w = u~ + n~ = [(Uo) ]~,o + [ ( n ) ] o , o

(14)

Referring to Eq. (13), it is now possible to define

a generalised equation error function, ei, at an
arbitrary ith instant of time by the relationship

ei=azf~- wi.

(15)

Here, fi represents an estimate of the parameter

vector, a, and the suffix, i, denotes values applying
at the ith instant. The estimate, fi, can be obtained
by minimising some positive definite-criterion function in the generalised equation error.
If the parameters are assumed time invariant,
a useful criterion ftmction is the sum of the squares
over the observation interval, J2. For a set of k
observations, J2 takes the form
k

J2 = ~ [-ZT~--Wi]2.

(16)

i=1

The estimate, ak, that minimises this function can

be obtained by differentiating with respect to ~ and
equating to zero; i.e.

The solution of these M + N + 1 linear simultaneous

algebraic equations is given by

?lk= Ck 1Bk = PkBg

where
k

P~-~ = C~ = Z zizY
i=1

and
k
Bk =

E
i=1

ZiWi "

(17)

An instrumental variable method for real-time identification of a noisy process

The similarity in form between these equations
and the 'normal equations' of multivariable linear
regression analysis [4] is important and should be
noted.
In Eq. (17), h can be obtained by direct matrix
inversion, or by using a gradient technique, such
as the method of conjugate gradients [15, 18].
However, an alternative approach is available,
which also avoids matrix inversion and is more
suitable for real-time applications. This technique
uses a particular recursive solution of linear least
squares problems of this type, where the parameter
estimate is updated as new information is received.
The derivation of this algorithm is straightforward;
it is merely a stepwise solution of the fixed sample
length problem [15, 19, 20]. In the recursive algorithm, Eq. (17) is replaced by
1] -1

ak=ak_l--ek-lz~[zrPk-lzk+

{zrt~k- 1 --Wk}

(Ia)

degree which is dependent upon the noise/signal

ratio. This unfortunate characteristic arises because
the vector, z, is composed of elements subjected to
noise contamination. Therefore, Eq. (13) is an
example of a "structural" rather than a "regression" model [4].
The reason for the estimation bias becomes
apparent if stationary statistical properties are
assumed and the expected value of the matrix zz r
is examined. The following is obtained from Eq.
(14):
E[zz T]= E[(XAO+ ~D)(xAO+ ~ D)T].
Suppose that any D.C. bias levels are removed from
the signals by the inclusion of suitable D.C.
blocking elements in each of the state variable
filter channels as described subsequently under
Experimental Results. Then, since xao and ~o are
uncorrelated,

or

E[zz r] =E[xAoxro] + E[~o~ r]

ak = a k - 1 - P ~ { z k z r a k - 1 - zkw~}.

Here, the matrix, Pk is given by a second recursive

relationship,
G " 1 = G - 2 ~ + zkz r

which can be put in the following more useful form

by application of a well known matrix inversion
lemma [21],

Pk=Pk-, --Pk- ~ZR[Z[Pk-:Zk+ 1]- 'zrek_~. (Ib)

Using this approach, the estimate at the kth instant
is obtained by the repeated application of (I)
from assumed initial conditions ao and Po.
Fortunately, the choice of go and Po does not
present any real problem; the unimodal nature
of the criterion function-parameter hypersurface
means that an aribtrary finite g0 coupled with a
diagonal Po having large positive elements will
yield performance comensurate with the stagewise
solution of the same problem. If a priori information on a is available then it can be used and should
be coupled with an associated reduction of the Po
elements. In this connection, it should be noted
that algorithm (I) only performs a least squares fit
to the measured data. Consequently, the P matrix
is simply a time variable weighting matrix without
statistical significance; it cannot be interpreted as
an error covariance matrix as in the analogous but
limited regression approach to parameter estimation
[201.
NOISE CONSIDERATIONS--THE
INSTRUMENTAL
VARIABLE ALGORITHM

If there is noise present on the observed signals,

the generalized equation error estimate discussed in
the previous section is asymptotically biased to a

275

(18)

where the noise-induced term E[~/9~T] is identically zero only when there is no noise on the
observed data. It can be shown [13, 15] that the
presence of this noise-induced term introduces the
asymptotic bias on the parameter estimates.
One approach to the above problem that does
not require a priori knowledge of the noise statistics
has its foundation in statistical estimation theory
where it has been termed the "instrumental variable
method" [5]. The asymptotic bias is removed by
modifying the solution given by Eq. (17) in the
following manner
a=

PkBk

(19)

where
k

i=1

and
k

B k = Y, ~tiw i .

(20)

i=1

Here, ~t is an instrumental variable (IV) vector

composed of elements chosen to be highly correlated
with the unobservable noise-free process variables,
xAo, but totally uncorrelated with the various
additive noise components that corrupt these
signals. As a result, the matrix [~zr], which now
replaces the matrix [zzr], of the uncompensated
algorithm, has the expected value

E[ zT] = E[ xlo] # 0.
Furthermore, it is clear that

E[~xro]~E[xaoxrao] as Jt~Xao.

(21)

276

P.C. YOUNG

In the long term, therefore, the inclusion of the IV

vector, ~, eliminates the troublesome noise term,
E[~o~or], while preserving the basic structure and
existence of the solution. In this way, the asymptotic bias is removed from the estimates, ensuring
only small bias for finite sample lengths.
Unfortunately, the elimination of bias in the
above manner is usually accompanied by a certain
loss of efficiency in the statistical sense [5]. However, as might be expected from Eq. (21), the greater
the correlation between ~ and the noise-free signals,
the smaller the estimation variance. In fact, a
simple theoretical analysis shows that the asymptotic variance should approach zero if ~ can be
made equal to xao [15].
The major problem with the IV approach is
the generation of the instrumental variables, themselves. The method suggested in Ref. [15] is a development of the analog technique used by V. S.
LEVADI [8]. The procedure for the more general
case, where the process is contained within a noisy
feedback loop, is shown in Fig. 2. The basic philosophy of this approach is that by prefiltering the
deterministic input command, u*, by an "auxiliary
model" of the process, it is possible to generate an

IV vector, ~, which is highly correlated with the

noise-free process vector, xao. In addition, the
elements of ~ will be uncorrelated with any other
noise in the system provided the input command is
noise-free. In practice, low levels ( < 5 ~) of noise
on u* can be tolerated without introducing noticeable bias.
Two approaches to the problem of selecting the
auxiliary model parameters are suggested in ref. [15].
The first approach is an off-line iterative routine.
The model parameters are initially selected on the
basis of either a priori information, or previous
uncompensated (i.e. biased) estimates of the process
parameters which are then updated by a series of
IV runs. The second approach, initially outlined
by the author in Ref. [10], is based on a recursive
solution to the problem and can be used in realtime. The method of deriving this recursive
algorithm is similar to that used in the uncompensated case. The constituent equations are as follows

([la)

v_l VARIABLE ~I
STATE

?
NOISE
INPUTS

PROCESS
T
x A a = uo

FILTERS

STATE
VARIABLE
FILTERS I

w J
v

z
-

I'~

A-D
U"

45
ll^

STATE
VARIABLE
FILTERS

A
x
-

*""

DIGITAL
COMPUTER
ESTIMATION
ALOGRITHM

oo6,I VARIABLE
s,,TE ]
q

FILTERS

II
II

FIG. 2. Instrumental variable method for identifying a process within a closed l o o p - - t h e auxiliary model
approach where F and K are k n o w n control system elements.

An instrumental variable method for real-time identification of a noisy process

With the help of this algorithm, it is possible to
develop a fully adaptive approach: the estimates
are first low-pass filtered to avoid significant
correlation between ~ and ~a; then they are used
to update the auxiliary model on a continuous
basis. In both of the above cases, convergence can
be argued [15]. However, because of equipment
problems, practical verification has been possible
only for the iterative method.
1DENTIFIABILITY
It has been noted that the equation error approach is closely related to the procedures of linear
regression analysis. One important and often overlooked feature of regression analysis is that the
regressors should be linearly independent if accurate
low-variance estimation is to be possible [4]. In the
equation error procedures described here, the place
of the regressors is taken by the elements of the
vector, z. Since these elements are dependent upon
both the process input signals and the nature of
the assumed model, it is clear that both factors
have an important bearing on the identifiability
of the process. Here a process is said to be identifiable from the observed data if the estimates obtained from II are statistically consistent; i.e. if they
are asymptotically unbiased and possess a variance
which decreases with increasing observation interval.

The choice of input signals

There are certain cases in which the process is
not identifiable because the input signal does not
activate the process sufficiently to allow for complete identification. Since this subject has been
discussed by several authors [8, 14], it will not be
considered in detail here. However, it will be noted
that if the process is controllable* [22], it should also
be identifiable if the input is sufficiently exciting
to allow sensible parameter estimation. This
requires:

277

necessary; any method of statistical inference can

produce consistent estimates only if sufficient data is
available. The second condition is necessary to
ensure that the elements of xa are not completely
linearly dependent.
Conditions (a) and (b) are only a guide to
selecting input signals and should be considered
merely as minimum requirements in this respect.
Practical experiments suggest that a random-noisetype signal usually gives excellent results if input
excitation can be specified [9, 14, 15].

Nature of the mathematical model

Unfortunately, the choice of a sufficiently exciting input signal does not guarantee low-variance
estimation. There usually will be some measure
of partial linear dependence [15, 23] between the
elements of the augmented state vector arising
because of the model structure. In the present
differential equation case, problems of this sort
arise when the assumed model has input derivative
terms. A simple but interesting example demonstrating the kind of results obtained in such situations is discussed later.
One method of checking the results of a pure
regression experiment to test for linear dependence
is "multiple correlation analysis" [24]. The same
approach can be used to good effect in the lownoise, uncompensated equation error case; however,
it must be used with caution since it is well known
that correlation coefficients can be biased by errors
in observations [24]. The special properties of the
adaptive IV method are rather useful in this respect
since they enable the development of a pseudo
multiple correlation analysis [15, 23] that appears to
give good qualitative results and may have quantitative significance.

blput noise effects

The first of the above conditions is obviously

As pointed out earlier, a statistical analysis of

the IV estimation scheme shows that the estimate
will be asymptotically biased by input signal measurement noise. In most servomechanisms this
will not cause too much difficulty since there will
often be a deterministic input command signal,
u*, available somewhere in the system as indicated
in Fig. 2. If this is not the case, then other methods
of removing the estimation bias must be found.
When the statistics of the noise and signals are
known, for instance, it is possible to use an approach similar to that ofM. J. LEVlN [25]. However,
such a technique is highly susceptible to incorrect
assumptions about the noise and signal statistics,
and must be used with care.

* Experimental results [23] confirm that if the process is

not controllable because of exact pole-zero cancellation then
identification is particularly poor. As such a situation rarely
occurs in the real world, it should not normally cause
problems.

DETECTING PARAMETER VARIATION

Since the accumulated square-type criterion
function weights all data equally over the observation interval, it contains an implicit assumption

(a) the input signal to be persistently exciting

in the sense that it continues to activate the process
throughout the observation interval. If this is not
the case and the process becomes inactive except
for noise effects, then the estimates will cease to be
consistent.
(b) the number of distinct frequency components
present in any purely periodic input signal to be
equal to or exceed d where

~(M+N+I)/2;
d=[(M+N+2)/2;

M+N+I
M+N+I

even
odd.

278

P . C . YOUNG

that the parameters are constant over this period.

If slow parameter variation is possible, precautions
must be taken to ensure that outdated estimates
are not obtained. A particularly simple approach
to this problem is obtained by weighting the data
exponentially into the past to gradually remove
information as it becomes obsolete. An analog
method of exponential weighting by low-pass
averaging filters is described in Ref. [12]. A discrete
data equivalent of this procedure can be developed
quite easily [15], and has been used to detect the
nonstationary characteristics of both simulated
[15] and practical [26] processes.
A more attractive general approach to the problem of parameter variation can be developed by
referring to the equivalent pure regression situation
[15, 19, 20]. Here, a nonstationary version of the
recursive least-squares equations is obtained by
considering a stochastic interpretation of the
problem, then introducing the following statistical
model of the parameter variations.
ak = ~ ( k , k - 1)ak_ 1 + r(k, k - 1)qk-

1"

(22)

Here, @(k, k - 1 ) is an assumed known ( M + N + 1)

x ( M + N + I ) transition matrix, F(k, k - 1 ) is an
assumed known ( M + N + 1) x ( M + N + 1) input
matrix included for generality, and qk-~ is a ( M + N
+1) random disturbance vector with zero mean
value and covariance matrix E[qrqsT] =Q6,s where
6 is the Kronecker delta function. In equation (22),
the transition matrix @ allows for any deterministic
variations in the parameters while the vector q
provides the statistical degree of freedom required
to model any random parameter variations between
samples. It is interesting to note that the predictioncorrection algorithm obtained in this manner is a
particular example of the optimal discrete filterestimation equations suggested by R. E. KALMAN
[27].
By using a purely heuristic argument based on
the similarity between the equation error method
and linear regression analysis, it is possible to
construct a dynamic equation error algorithm.
The algorithm is of very limited practical utility
as it stands because it requires knowledge of the
matrices, and F. Fortunately, it is a straightforward matter to simplify the algorithm by letting
each of these matrices equal the identity matrix,
I, for all k; implying that any parameter variation
is due to small random perturbations between
samples (a random walk process). In this case, the
IV algorithm can be written
^

ak = ak- 1 -- Pk/k- l~tk[ZkPk/g-- l~k + 1] - 1

(z~_,

- w~}

(H~a)

Pk/k- 1 = ~ k - 1 + D

( [ I lb)

P~ = P~I~- ~ - P~/~- ~~k [ z~ P~/~_ ~~k + 1 ] - '

z~P~/k-1.

( I i lc)

The only difference between this procedure and

the stationary parameter procedure given by
algorithm II is the inclusion of Eq. (IIIb). According to tile heuristic argument, D in this equation
is analogous to the covariance matrix of the parameter variations, Q, in the pure regression case.
As a result, the choice of D proves to be fairly
straightforward, since it can be selected initially
by reference to the expected relative rates of
parameter variation between samples, and then
adjusted by experimentation.
The physical effect of introducing the D matrix
is to limit the lower bound on the P matrix elements,
preventing the elements from becoming too small
and allowing for continuous correction of the
parameter est:mates as time progresses. Since D is a
matrix, it is possible to limit individual elements to
different degrees. In this way, different expected
rates of parameter variation can be specified on the
elements of a as described later under Experimental Results.
The major disadvantage of algorithm Ill is its
inability to differentiate between actual parameter
variations and indicated parameter variations,
caused by noise on the data. As a result, the
approach only proves satisfactory for the estimation of parameter variations larger than the
residual estimation variance due to noise.
In general, the dynamic equation error algorithm
--although not optimal in any sense--is to be
preferred to the alternative data weighting approach. The inclusion of the parameter variation
model means that the algorithm has much greater
inherent flexibility. For instance, the choice of a
random walk model for the parameter variations is
arbitrary; in certain situations it may be more
realistic to specify other statistical models, and this
is mentioned in ref. [21], p. 320, et seq. The virtue
of the model approach is that it allows this type of
a priori information to be used directly in the
estimation algorithm if it is available.
By including a model of the parameter variations,
it is possible to conceive of more sophisticated
procedures in which the parameter variation model
is updated by either a secondary "learning" scheme,
or by additional measured data obtained from the
process. As a practical example of the latter
approach, consider the problem of identifying the
longitudinal dynamic characteristics of an aircraft
or missile [28]. Here the variations in the unknown
parameters result from in-flight changes in environmental factors such as the dynamic pressure, qo,
and mass, m. Bearing this in mind, it is reasonable

An instrumental variable method for real-time identification of a noisy process

to assume [29] that the time variable parameter
vector a k can be decomposed into the product of a
known, non-singular, time variable transformation
(or modulation) matrix Tk and an unknown but
fixed or only slowly variable basis parameter
vector a*. Thus,
ak = Tka * .

(23)

Here Tk will be a function of those known or

measurable variables such as qo or m, that are
associated with the changing environment.
a* in Eq. (23) is constrained to be only slowly
variable. Consequently, it should be possible to
model its behaviour fairly adequately by a random
walk model, i.e.
* +qk- ~
ak* =ak--~

(24)

Substituting (24) in (23) and noting that a*_~

=Tk_XXak_l then yields the following vectormatrix equation for ak variations.
a, = [TkTk_~]ak_ 1 + Tkqk_ 1 .

(25)

Since this equation is of the same form as (22), it

can be used to develop a special dynamic equationerror algorithm [28]. If Tk provides a suitable decomposition, then much of the rapid variation in
a k will be accounted for deterministically by the
transition matrix, O = T k T k _ l l ;
in effect the
algorithm has only to estimate and track the
unknown but slow residual variations of the basis
vector a~'.
EXTENSIONS
For simplicity, the discussion up to this point
has been restricted to continuous single-input,
single-output processes. However, the estimation
procedure described here can be extended to handle
other, less specific, identification problems. For
instance, it can be generalised immediately for use
with difference equation models by replacing the
state variable filters by appropriate delay lines and
then redefining z, ~ and w accordingly. Two similar
recursive schemes of this type have been described
recently by D. Q. MAYNE [30] and K. Y. WONG and
E. POLAK [31]. Both papers discuss only time invariant parameter estimation (see algorithm II).
The extension to multiple command inputs is
trivial; the algorithm can be generalised in this way
simply by enlarging the augmented state vector
to include the additional input terms. The extension
to general multivariable problems is less straightforward. However, provided all of the principal
inputs and outputs can be observed directly, it is
quite often possible to find a model structure which
allows the overall identification problem to be
decomposed into a number of smaller separate
estimation problems. Examples of this kind of

279

decomposition are given in refs. [15, 32, 33] for

continuous systems and in [30] for discrete systems.
Finally, it should be noted that the general
nature of the state variable filters allows them to
handle processes where only higher order derivatives
of the basic signal can be observed. In a similar
way, if higher order derivatives are available in
addition to the basic output, they can be used to
reduce the mechanisational requirements of the
state variable filters.
EXPERIMENTAL RESULTS
A number of experiments designed to test the
practical utility of the techniques discussed in this
paper were made with the experimental equipment
shown in Fig. 3. The process and the auxiliary
model were simulated on an analog computer,
which also was used to synthesise the track-store
devices and state variable filters required by the
method of multiple filters. It will be noted from
Fig. 3, that all filtering channels contain identical
high-pass or D.C. blocking filters, S/l+s, which
effectively remove any D.C. bias levels from the
process signals. Such a procedure is quite in order
because the high-pass elements merely modify
the overall transfer characteristics of the state
varaible filter set. This ability to remove bias levels
in such a simple manner is an added advantage of
the state variable filter concept.
When the parameter, a3, of the second-order
process shown in Fig. 3 is known, the process is
clearly identifiable. In this situation the estimation
results obtained with the above equipment were
excellent [34]. However, when all four parameters
were assumed unknown, the results were not so
satisfactory--with particularly high variance on the
estimates dl and d 3. The following table illustrates
this phenomenon for various additive noise levels.
TABLE 1

Estimated parameter values

Noise/signal
ratio, 6
0"269
0.359
0"538
0.897

d0
0-955
1"055
0-964
1-104

dl
1.056
2-038
1"091
1-800

d2
0-677
1"600
0"748
1"212

d3
1"069
2"233
1-099
1'515

Actual parameter values

1.000

1.400

1.000

1.500

These results were obtained after 170 samples using

algorithm II. The process was activated by a
pseudo-random step input and the measurement
noise was generated by low-pass filtering a white
noise disturbance shown in Fig. 4. Although they
look rather poor at first sight, these estimates tend

280

P.C. YOUN(;
[(%)1 c ~

l+s

l+s I

STATE V A R I A B L E FILTERS I

-I MOOELI
uo'

'

'NP~ I,

SIGNAL

~-I'q-I'+'iT-I'+'IT-I"II
I

GENERATOR J

---t

'

"x"'~' I-Zl_

'

{(xo)lL~

--

PAPER

I [

? <~

OFF-LINE
DIGITAL
COMPUTER

i-~ TAPE I
OUTPUT

--

PAPER
TAPE
PUNCH

PUNCH
ENCODER

DIE- T A L
V( LT
ME FER

FIG. 3. Equipment used in the experimental investigations. The method of multiple filters provides the
following type of relationship:

j!(n--j+l)[(yo)]L~-i...I"

[(Yo)]o,.=(-1)" [(Y0)]L --n[(yo)]ce- 1 + ...+(--1) ~n(n-1)''"

1'0

0'5

8= ,897

o.
FO

(a)
-1,0

50

100

150

TIME, SEC

-0"I
50

100

150

TIME, SEC

FIG. 4. Typical signals used in the estimation experiments. Process output for: (a) pseudo random input

and random noise disturbance; (b) without noise disturbance.

to be misleading since the step, initial condition,
and frequency responses for the estimated model,
as given in Fig. 5 and 6, show good agreement with
the actual process responses. Thus, if the object

of the identification experiment is merely to predict

process output response to input activation, the
results may be considered satisfactory.
The poor parameter identification shown in Table

An instrumental variable method for real-time identification of a noisy process

INITIAL CONDITION RESPONSE

281

STEP RESPONSE

+ 1"0

2-0
~

ACTUAL
ESTIMATED

f"----

-~'0

10

1,0

o
15

10

TIME, sec

15

TIME, sec

+ 1"0

2.0

1.0

~3

o
<
r.-J

(3

5
z

1.0

10

0
15

10

TIME, sec

+I'O

2,0

1-0

co

-x0
0

10
TIME, sec

FIG. 5.

15

TIME, sec

0
15

....
I

10

15

TIME, sec

Comparison of actual and estimated time responses obtained when there is partial linear
dependence between the elements composing the augmented state vector.

1 can be explained by the high degree of partial

linear dependence existing between the elements of
the vector xAo due to the presence of the input
derivative term. This fact becomes apparent if a
multiple correlation analysis, which was discussed
in the section on Identifiability, is performed on the
measurement data: with a a assumed known, the
multiple correlation coefficients are small compared
with the total correlation coefficient; with a 3
unknown, they assume much higher values, indicating strong linear relationships between certain

of the elements of Xan [23]. A physical explanation

of this peculiar phenomenon is that the sensitivity
of the process response to changes in certain parameters is small. Consequently, the criterion function does not possess a clearly defined minimum
and the estimates tend to "drift", thus producing
high variance.
Figure 7 shows the results obtained when algorithm III was used to identify a process in which the
parameters, al, a2, and a 3 were time-invariant, while
an was varied sinusoidally. It should be stressed

282

P. C, YOUNG

2o[
0

0
--20

z
0
Q

o
--40

6--269
6 = .538
~-.3.59

~2 6 - .s97

ACTUAL
O C} ~ ~

40

ESTIMATED

(.)

--80

I-0

0-!

I0'0

FREQUENCY, r~/tec

-20

-40

I
t~ 6-.3s9 I

0
<

~t[:)
t~

6 = .269

-60

0 r'l A ~

ESTIMATED

-80

(b)
-100

I I 1 Ill
0.1

1 I I 111
1.0

I I I1
10-0

FREQUENCY, rm:l/141

FIG. 6. Comparison of actual and estimated frequency response obtained when there is partial linear
dependence between the elements composing the augmented state vector.
that Fig. 7 illustrates optimum performance in
the sense that the auxiliary model parameter was
varied in accordance with the actual process parameter variation. This approach proved necessary
because equipment delays prevented full hybrid
operation. Figure 8 is a similar example in which
both ao and ax were varied simultaneously. The

results shown in Figs. 7 and 8 were obtained with

a 3 assumed known; in other words, with the process
dearly identifiable.
Fortunately, the instrumental variable estimation
algorithm does not appear to be particularly
sensitive to the choice of the auxiliary model parameters, even in the time variable parameter case.

An instrumental variable method for real-time identification of a noisy process

283

15

0
O0

.0
0
1.0 -

O0

co

o
~u

<

n-

a "l" = [ a 0 1.4 1.0-1"5]

0'5

~_T 200

= [ ~ 0 1,37 0.93 -1'5]

= 0.359

ACTUAL VARIATION, a 0

O
0-0

ESTIMATED VARIATION, ~ 0

50

100

150

200

SAMPLES

FIG. 7. E s t i m a t i o n results for a single variable p a r a m e t e r :

o o -1.5];
10-4

10
P0 =

10

D=
10

0
0

An illustration of this is shown in Fig. 9. In this

experiment, reasonable parameter tracking performance was achieved despite the fact that the
auxiliary model had a fixed parameter vector
a r = [ 1 . 0 , 0"42, 0.11, 0], while the process had a
parameter vector a r = [ao, al, 0" 11, - 0"2], in which
ao and al were varied as shown.
CONCLUSIONS

The paper describes a relatively simple yet widely

applicable method for identifying a noisy process
described by a linear differential equation model.
This generalised equation-error method is mechanised in a hybrid (analog-digital) form in which the
signals obtained from the process during its normal
operation are passed through special analog state
variable filters and then sampled for use in a digital
recursive estimation algorithm. The state variable
filters not only overcome the time derivative
measurement problem associated with the basic

equation-error method but also remove D.C. bias

levels or high frequency noise outside the process
bandpass.
The most attractive feature of the recursive
least squares algorithm is its use of an instrumental
variable procedure which enables it to obtain
asymptotically unbiased estimates of the process
parameters even when the measured data from the
output of the process are contaminated with high
levels of noise with unknown statistical properties.
Although theoretically limited to the estimation
of time-invariant process parameters, the basic
estimation algorithm can be modified in a heuristic
manner to detect parameter variation. As a result
it is in an ideal form for certain on-line applications
such as systems performance assessment and selfadaptive process control. In such applications, its
rugged nature and ability to function satisfactorily
with a minimum of a priori statistical information
are added advantages.

284

P.C. YOUNG
1"5
0

1,0

=:LU
t,LU

~E
C

eL.
aT

0.5

[ a0

a I

1"0 - 1,5]

[a" 0 a* 1 1 . 0 5 - 1 5 ]
-aT190
6 = o.359
=

ACTUAL VARIATION
O

ESTIMATED VARIATION
(a)

5O

100

150

200

SAMPL ES
2~0

/2

aT = [ a 0 a 1 1.0-1.5]

IV190
-

(J

~)f~.a~

( go ~1 1.os - 1.5)

.359

1"5

Lid
I'-tll
~E
O~

1.0

_2/0
OO

ACTUAL VARIATION
O

ESTIMATED VARIATION

(b)

0'5

100

150

SAMPLES
FIG. 8. Estimation results for two variable parameters,

200

(a) ao, and (b) al:

rior = [ 0 0 0 - 1 . 5 ] ;
10-4

10

Po'=

10

D=

10-4
0

10
0

An instrumental variable m e t h o d for real-time identification o f a noisy process

285

1"5

oooo

1.0

d"

I T " [1011 0"11-0-2l

~TI~S " t';O'l 0.118-o~l

</</,

6 - 0-369

[
<
a-

\
0'

o to I
~ ~12J ESTIMATEDVAR|ATION

~.zx

aa~t:baaaaaaaoaaa#aaaa:a~..~a~
I
50

I
100

I
150

SAMPLES
FIG. 9. Estimation results for two variable parameters, a0 and at; time invariant, approximate auxiliary model:

~or = [0 0 0 - 0-2"] ;

10-4

10
P0 =

10

D=

10

10-*
0

Acknowledgements--This paper provides a brief r&um6 of

research carried out between 1965 and 1967 in the Department of Engin~ring, University of Cambridge, England.
The research was supported by the Whitworth Foundation.
The author is indebted to Professor J. F. Coales, Head of
the Control Group at Cambridge and to his supervisor at
Cambridge, Dr. J. D. Roberts for their valuable advice and
guidance throughout the undertaking of this research.

REFERENCES
[1] P. C. YOUNG: Process parameter estimation. Control
and Automation Progress 12, 931-937 (1968).
[2] P. M . LION: Rapid identification of linear and nonlinear systems. Proc. J A C C 605-615 (1966).
[3] R. E. KoPP and R. J. ORtORD: Linear regression
applied to system identification for adaptive control
systems. A I A A Journal 1, 2300-2306 (1963).

286

P . C . YOUNG

[4] M. G. KENDALLand A. STUART: The Advanced Theory

o f Statistics, Vol. 2. Griffin, London (1961).
[5] J. DURBIN: Errors in variables. Rev. Int. Statist. Inst.
22, 23-32 (1954).
[6] P. JOSEPH,J. LEWIS and J. Tou: Plant identification in
the presence of disturbances and application to digital
adaptive systems. A I E E Trans March (1961).
[7] R. E. ANDEEN and P. P. SHIPLEY: Digital adaptive
flight control system for aerospace vehicles. A1AA Journal 1, 1105-1110 (1963).
[8] V. S. LEVADI: Parameter Estimation of Linear Systems
in the Presence of Noise. Presented at the 1964 International Conference on Microwaves, Circuit Theory,
and Information Theory, September 7-11, Tokyo,
Japan.
[9] L. G. HOFMANN,P. M. LION and J. J. BEST: Theoretical
and Experimental Research on Parameter Tracking
Systems. NASA Contractor Report No. CR-452, April
(1966).
[10] P. C. YOUNG: On a Weighted Steepest Descent Method
of Process Parameter Estimation. Engineering Laboratory, Cambridge University, England, Internal Report,
December 1965 (available from author).
[11] P. C. YOUNG: In flight dynamic checkout. 1EEE Trans,
Aerospace AS-2, 1106-1111 (1964).
[12] The determination of the parameters of a dynamic
process. Radio Electron. Engnr J. 1ERE 29, 345-362
(1965).
[13] Process parameter estimation and self adaptive control.
Proc. 1965 IFAC (Teddington) Conf. In Theory o f Self
Adaptive Control System (Ed. P. H. HAMMOND), pp.
118-139. Plenum Press, New York (1966).
[14] L. L. HOBEROCK and R. H. KOF1R: An experimental
determination of differential equations to describe
simple non-linear systems. Proc. J A C C 616-623 (1966).
[15] P. C. YOUNG: Doctoral Thesis to be submitted to
Department of Engineering, University of Cambridge,
England, 1969 (unpublished).
[16] D. G. LUENBERGER" Observing the state of a linear
system. IEEE Trans Mil. Elect. MIL-8, 74-80 (1964).
[17] P. C. YOUNG: Adaptive Pitch Autostabilisation of an
Air-Surface Missile. Presented at Southwestern 1EEL
Conf., San Antonio, Texas, April (1969), (available
from author).
[18] P. C. YOUNG: Parameter estimation and the method
of conjugate gradients. Proc. IEEE 54, 1965 (1966).
[19] R. C. K. LEE: Optimal Estimation Identification and
Control. MIT Press, Research Monograph 28 (1964).
[20] P. C. YOUNG: Recursive methods of parameter estimation and their application to process identification.
Parts I & II ControlEngineering 16, Nos. 10 & 11 (1969).
[21] A. E. BRYSONand Y. C. Ho: Opt:re:sat:on Estimation
and Control, p. 320 et seq. Blaisdell Publishing Co.
(1969).
[22] P. M. DE"USSO, R. J. RoY and C. M. CLOSE: State
Variables for Engineers. John Wiley, New York (1965).
[23] P. C. YOUNG: Identification Problems Associated with
the Equation Error Approach to Process Parameter
Estimation. Proceedings of the Second Asilomar Conference on Circuits and Systems, pp. 416-422, October
(1968).
[24] K. A. BROWNLEE: Statistical Theory and Methodology
in Science and Engineering. John Wiley, New York
(1965).
[25] M. J. LEVIN: Estimation of system pulse transfer function in the presence of noise. Proc. JACC, 452-458
(1963).
[26] J. M. BRAYet al. : On line model making for a chemical
plant. Trans. Soc. Instrum. Technol. 17, No. 8 (1965).
[27] R. E. KALMAN: A new approach to linear filtering and
prediction theory. A S M E Trans. J. Basic Engng 82-D,
35-45 (1960).
[28] P. C. YOUNG: On The Use of a priori Parameter
Variation Information to Enhance the Performance of
a Recursive Least Squares Estimator. Tech. Note
404-90, Code 4041, Naval Weapons Center, China Lake,
California, May (1969).

[29] J. M. MENDEL: A priori and a posteriori Identification

of Time Varying Parameters. Presented at Second
Hawaii hit. Conf. of System Sciences, January (1969).
[30] D. Q. MAYNE: A Method for Estimating Discrete Time
Transfer Functions. Proceedings of Second UKAC
Control Convention, Advances in Computer Control,
University of Bristol, England, pp. C2.1-C2.9, April
(1967).
[31] K. Y. WONG and E. POLAK: Identification of linear
discrete time systems using an instrumental variable
method. IEEE Trans. Aut. Control AC-12, 707-719
(1967).
[32] A. I. RUBIN, S. DRIBAN and W. W. MEISSNER: Regression analysis and parameter identification. Simulation 9, 39-47 (t967).
[33] J. HOWARD: The determination of lateral stability and
control derivatives from flight data. Can. Aeronaut.
Space J. 13, 127-135 (1967).
[34] P. C. YOUNG: Regression analysis and process parameter estimation--a cautionary message. Simulation
10, 125-128 (1968).
R 6 s u m 6 - - L e probl6me d'identification d'un proc6d6 dy-

namique /~ partir de son information en fonctionnement

normal a 6t6 objet de beaucoup d'attention durant les
r6centes ann6es. Les diverses techniques mises au point vont
de m6thodes largement deterministes /t des methodes
statistiques complexes bas6es sur les r6sultats de la th6orie
de l'estimation optimale. La technique de la variable
op6ratoire (V.O.) d6crite darts cet article a pour but un
compromis entre ces deux extr6mes; elle est bas6e sur la
th6orie classique d'estimation statistique mais ne n6c6ssite
pas d'information a priori sur les statistiques du signal et du
bruit.
L'atticle d6crit une approche V.O. au probl6me d'identification d'une proc6d6 lin6aire d6crit par un mod61e fi
6quation diff6rentielle et met en 6vidence la cr6ation d'un
algorithme d'estimation r6cursif num6rique simple. I1
discute 6galement, d'une mani~re br~ve, de l'influence du
choix du signal d'entr6e et de la forme du mod~le math6matique sur l'aptitude ~ identifier un proc6d6. I1 comprend
finalement un certain hombre de r6sultats exp6rimentaux
repr6sentatifs,/t la fois pour montrer la possibilit6 de r6aliser
pratiquement cette approche/t l'identification des proc6d6s
et pour montrer qu'elle peut 6tre employ6e pour l'estimation de paramStres de proc6d6s suit invariables dans le
temps, suit variant lentement.
Z u s a m m e n f a s s u n g - - D e m Problem der Kennwertermittlung

im Echt-Zeit-Verfahren dutch Auswertung von Betriebsdaten wurde in den letzten Jahren starke Aufmerksamkeit
geschenkt. Die verschiedenen cntwickeltcn Techniken
reichcn von deterministischen Prozeduren bis zu statistischen
Methodcn, die auf den Ergebnissen der Theorie der optimalen Sch/itzung beruhen.
Die Benutzung von Hilfsvariablen soll einen Kompromig
zwischcn den beiden Extrema darstcllcn. Sic griindet sich
auf die klassische statistische Sch~itzungstheorie, ohne eine a
priori-Information tiber das Signal und das Rauschen zu
benStigcn.
Die Arbeit beschreibt die Ausarbeitung eines einfachcn
durch tin Differcntialgleichungsmodell beschriebcnen digitalen rekursivcn Sch/itzungsalgorithmus zur LSsung des
Problems. Es wird diskuticrt, wie die Wahl des Eingangssignals und die Form des mathematischen Modells die
ldentifizierbarkeit eines Prozesses beeinflussen k6nnen.
SehlieBlich werden repr/isentative experimentelle Ergebnisse
angeftihrt, um die praktische Durchf'tihrbarkeit dieses
slaeziellen Verfahrens zur Kennwertermittlung zu veranschaulichen und seine Anwendung zur Sch~itzung von
zeitinvarianten oder langsam veriinderlichen ProzeBparametern zu zeigen.
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