Identification of an object by input and output spectral characteristics
The problem is discussed of identification of a linear object of known structure, the movement of which is described by a system of differential equations of the type y = Ay + Bu, where y is an n-dimensional output vector, u is an m-dimensional vector of stationary, random disturbances (inputs), A and B are matrices of unknown parameters of the dimension, n x n and n x m, respectively. The spectral and reciprocal spectral densities of the inputs and outputs are used as the initial information on the object.