We here describe an exercise system and control method thereof to obtain exercise protocols relating to the individual user's optimal exercise intensity. The system and method comprise the monitoring of the transition between the aerobic and anaerobic training zones and an estimate of the maximal lactate steady state, which is an important physiological indicator of the user's cardio respiratory fitness. Together with individual models of how the user's heart rate responds to exercise intensity, it is possible to predict the needed exercise intensity that should be performed to obtain the wanted exercise goal. The analysis can (preferably) be performed in real-time during exercise.