Minimal covariance realization and system identification algorithm for a class of stochastic linear switched systems with i.i.d. switching

2024/03/21 by Elie Rouphael, Rouphael, Elie, Manas Mejari +5
Engineering · #Control Systems and Identification #FOS: Mathematics #Fault Detection and Control Systems #Optimization and Control (math.OC) #Stability and Control of Uncertain Systems

paper · pdf · doi:10.48550/arxiv.2403.14259

openalex publication_date 2024/03/21 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper, we consider stochastic realization theory of Linear Switched Systems (LSS) with i.i.d. switching. We characterize minimality of stochastic LSSs and show existence and uniqueness (up to isomorphism) of minimal LSSs in innovation form. We present a realization algorithm to compute a minimal LSS in innovation form from output and input covariances. Finally, based on this realization algorithm, by replacing true covariances with empirical ones, we propose a statistically consistent system identification algorithm.

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