On-line identification of parameters of a linear multivariable discrete-time system and their convergence characteristics

A recursive algorithm for on-line identification of the parameters of linear, discrete-time, multi-input, multi-output nondynamical, and dynamical systems using noisy input and output measurements is presented in detail. Necessary and sufficient conditions for the convergence of the recursive algorithm, under certain restrictive assumptions, for arbitrary choice of initial values of the matrices described in the sequel are explicitly derived, which is one of the new results of this paper.