A parameter estimation method for finite-dimensional multivariate linear stochastic systems, which is guaranteed to produce valid models approximating the true underlying system in a computational time of a polynomial order in the system dimension, is presented. This is achieved by combining the main features of certain stochastic subspace identification techniques with sound matrix Schur restabilizing procedures and multivariate covariance fitting, both of which are formulated as linear matrix inequality problems. All aspects of the identification method are discussed, with an emphasis on the two issues mentioned above, and examples of the overall performance are provided for two different systems.
展开▼
