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In this paper, we consider the identification of matrix state-space models (MSSM) of the following form: X(k + 1) = A2X(k)A1T + B2U(k)B1T Y(k) = C2X(k)C1T + E(k) for all time dependent quantities and matrices of appropriate dimensions. Due to the large size of these matrices, vectorization does not allow the use of standard multivariable subspace methods such as N4SID or MOESP. In this paper, the ...

K4SID: Large-Scale Subspace Identification With Kronecker Modeling