Frequency Response Identification of Low-Order Systems: Finite-Sample Analysis

Abstract

This paper proposes a frequency-domain estimator for low-order systems from repeated noisy measurements. The estimator minimizes a quadratic data-fitting term regularized by the nuclear norm of a Loewner matrix, subject to a convex stability constraint enforced via a semidefinite program. We prove a finite-sample error bound at the sampled frequencies and extend it to all frequencies through rational interpolation. The bound characterizes the dependence on the number of repeated experiments, number of frequency points, system order, and noise level. Numerical experiments on SISO and MIMO systems demonstrate the low-order-promoting effect of the method and validate the predicted scaling laws.