Model approximation is very important in many areas of engineering sciences, especially in model-based control and optimization. The problem of model approximation can be briefly described as follows: Given a high-order model, find a reduced-order approximation which is optimal in some sense. Over the last several decades, model approximation problems have received considerable attention [1, 2]; numerous approaches have been proposed, and may be grouped into two major categories, the performance-oriented and the non-performance-oriented approaches [3]. In using a model reduction method that is non-performance-oriented, the original model is first transformed into a canonical form, e.g., the balanced state-space representation, upon which a direct truncation procedure is performed in order to obtain an order-reduced model [3]. Examples of this category include the classical Padé approximation method [4], the Routh approximation method [5], the balanced truncation method [6], and many of their variants. For a performance-oriented model reduction approach, reduced-order models are obtained by minimizing certain performance criterion, such as the H 2 -norm, the L 2 -norm, and the L -norm [2, 3,7-9]. The above mentioned model approximation techniques were originally propose for stable systems. However, there are many situations where the system is inherently unstable, nonminimum-phase and of relatively high dynamic Abstract: A simple performance-oriented method is proposed for approximation the unstable and nonminimum-phase systems. The performance index is taken to be a frequency-domain L 2 -norm of the error between the step responses of the original and the reduced model. A frequency-domain weighted recursive least squares (RLS) algorithm is deduced and adopted to search for the optimal parameters of the approximation model. A numerical example is used to show the effectiveness of the proposed scheme. It is shown that the approximation models obtained by the proposed scheme yield zero steady-state gain errors and have the same RHP pole and RHP zero as the original system, resulting in well-matched dynamic behavior.