Power systems are non-linear: the structure and parameters of a network are time varying and cannot be represented accurately by a linear model under all operating conditions. In addition power system disturbances are random in nature, therefore self-tuning controllers are more suitable for power system control than constant parameter linear controllers. The non-minimum phase nature of power systems prohibits the use of simple minimum-variance self-tuning controllers. Generalized minimum variance control can be used to overcome this difficulty. Using multi-input multi-output (MIMO) control, the control efforts of both the excitation and governor systems can be coordinated to improve dynamic stability. The objective of this paper is to present the results obtained from simulation studies in which the MIMO generalized minimum variance control, with square-root least-squares identification and variable forgetting factor, is used to improve the damping of the power system oscillations.