An Identication Method for Multiple-Input Multiple-Output Linear Systems with Estimation of Variance of Input-Output Noises

Abstract

A new algorithm is proposed to estimate parameters of MIMO (Multiple-Input Multiple-Output) system. The algorithm is an expansion of the previously proposed algorithm by the author for SISO (Single-Input Single-Output) system and MISO (Multiple-Input Single-Output) system. Those algorithms use an iterative calculation and they consist of two parts. One part is the estimation of the system parameters using the variances of errors. The other part is the estimation of the variances of errors using the system parameters. The estimation of the system parameters is one of the least squares identification algorithms using eigenvector. The variances of errors are estimated by solving linear simultaneous equations derived from the transfer functions of the system. Some simulations show the effectiveness of the proposed method.