An “Indefinite Realization” Algorithm via Riccati Difference Equation

This paper studies a realization algorithm for modeling dynamical systems subject to a bounded error. An iterative algorithm is developed based on “indefinite realization”, which is a generalization of stochastic realization. A Riccati difference equation for indefinite realization is derived, and it is shown that the Riccati recursion converges to the stabilizing solution to the steady state Riccati equation under certain assumptions. Numerical simulation results are also included.