Dimensionality reduction in multivariable stochastic systems

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Abstract
The transfer function matrix of a large multi-input/multi-output linear stochastic time-invariant control system may be computationally difficult to estimate and, further, may not provide a good interpretation of the underlying structure of the system. Priestley, Rao and Tong (1073) have suggested a method, using information theoretic and statistical criteria, for reducing the dimensions of such a system, and thus, to some extent, overcoming these difficulties. The authors have undertaken a computational study of the application of this theory, illuminating the problems encountered, and demonstrating the feasibility of the method in practice.

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