A SUBSPACE ALGORITHM FOR THE IDENTIFICATION OF DISCRETE-TIME FREQUENCY-DOMAIN POWER SPECTRA

In this paper we present a new subspace algorithm for the identificati on of multi-input multi-output linear discrete time systems from measu red power spectrum data. We show how the state space system matrices c an be determined by taking the inverse discrete Fourier transform of t he given data and applying the result to a new realization algorithm. Special attention is paid to ensure the positive realness of the ident ified power spectrum. The computational speed is improved by applying a Lanczos algorithm. The algorithm is illustrated with two practical e xamples. (C) 1997 Elsevier Science Ltd.