Generation of signals with specified second‐order properties for constrained systems

Abstract

SummaryThis contribution considers the problem of realizing an input signal with a desired autocorrelation sequence satisfying both input and output constraints for the system it is to be applied to. This is an important problem in system identification, firstly, because the quality and accuracy of the identified model are highly dependent on the excitation signal used during the experiment and secondly, because on real processes, it is often important to constrain the input and output of the process because of actuator saturation and safety considerations. The signal generation is formulated as a model predictive controller with probabilistic constraints to make the algorithm robust to model uncertainties and process noise. The corresponding optimization problem is then solved with tools from scenario‐based stochastic optimization. To reduce the model uncertainties, the method is made adaptive where a new model of the system and its uncertainties are reidentified. The algorithm is successfully applied to a simulation example and in a practical experiment for the identification of a quadruple tank lab process. Copyright © 2015 John Wiley & Sons, Ltd.