### Optimization and Systems Theory Seminar

April 16, 1999, 11.00-12.00

** Jorge Marí**

Adtranz

Västerås, Sweden

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Identification of multivariable stochastic systems in polynomial time

A parameter estimation method for finite-dimensional multivariate
linear stochastic systems is presented which is guaranteed to produce
valid models close enough to the true underlying system, in a
computational time of a polynomial order in the system dimension. 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.

Calendar of seminars

*Last update: March 30, 1999 by
Anders Forsgren,
anders.forsgren@math.kth.se.
*