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An adaptive control algorithm for open-loop stable, constrained, linear, multiple input multiple output systems is presented. The proposed approach can deal with both input and output constraints, as well as measurement noise and output disturbances. The adaptive controller consists of an iterative set membership identification algorithm, that provides a set of candidate plant models at each time step, and a model predictive controller, that enforces input and output constraints for all the plants inside the model set. The algorithm relies only on the solution of standard convex optimization problems that are guaranteed to be recursively feasible. The experimental results obtained by applying the proposed controller to a quad-tank testbed are presented. [ABSTRACT FROM AUTHOR]