Minimal covariance realization and system identification algorithm for a class of stochastic linear switched systems with i.i.d. switching
arxiv(2024)
摘要
In this paper, we work with Linear Switched Systems (LSS). We show the
existence of minimality in innovation form for such systems. We also present a
realization algorithm to compute a minimal LSS in innovation form, by
calculating the covariances of the state-pace matrices. Finally, a system
identification algorithm statically consistent is presented. The later, based
on the realization algorithm, uses the collected data in order to compute the
covariances of the inputs and outputs.
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