# Minimal covariance realization and system identification algorithm for a class of stochastic linear switched systems with i.i.d. switching

arXiv: https://arxiv.org/abs/2403.14259 · HTML: https://mlsanity.com/paper/2403.14259/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 21 Mar 2024.

## Built on by (most cited first, 1 of 1)

- [A finite-sample bound for identifying partially observed linear switched systems from a single trajectory](https://mlsanity.com/paper/2503.13766/) (2025)

## Abstract (arXiv)

In this paper, we consider stochastic realization theory of Linear Switched Systems (LSS) with i.i.d. switching. We characterize minimality of stochastic LSSs and show existence and uniqueness (up to isomorphism) of minimal LSSs in innovation form. We present a realization algorithm to compute a minimal LSS in innovation form from output and input covariances. Finally, based on this realization algorithm, by replacing true covariances with empirical ones, we propose a statistically consistent system identification algorithm.