The most cost-effective method to damp low frequency oscillation is installing power system stabilizer（PSS） to control generator excitation system，and the good damping effect mainly depends on suitable PSS parameters. Traditional methods to set PSS parameters are all based on measuring the phase lag characteristic of the excitation system when making PSS out of service， but the stability of the power system is decreased at the same time. To overcome the shortcoming of traditional methods， a small signal excitation based online closed-loop method is proposed to set parameters of multi-PSS. Firstly， probing signals are exerted to the power system online， and the multi-signal Prony technique is used to identify output signals of system to obtain transfer functions and residue matrices. Then， the residue phase compensation method is utilized to calculate parameters of multi-PSS at a time. The main advantage of the method proposed is that parameters of multi-PSS can be set online without the out of service of PSS. This method can be practically used and the feasibility and validity of it is demonstrated by simulations on a 2-area 4-machine power system and Guizhou Power Grid.