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Learning Without Mixing: Towards A Sharp Analysis of Linear System Identification
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We prove that the ordinary least-squares (OLS) estimator attains nearly minimax optimal performance for the identification of linear dynamical systems from a single observed trajectory. Our upper bound relies on a generalization of Mendelson's small-ball method to dependent data, eschewing the use of standard mixing-time arguments. Our lower bounds reveal that these upper bounds match up to logarithmic factors. In particular, we capture the correct signal-to-noise behavior of the problem, showing that more unstable linear systems are easier to estimate. This behavior is qualitatively different from arguments which rely on mixing-time calculations that suggest that unstable systems are more difficult to estimate. We generalize our technique to provide bounds for a more general class of linear response time-series.
Forward citations
Cited by 2 Pith papers
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Non-asymptotic Closed-Loop System Identification using Autoregressive Processes and Hankel Model Reduction
For closed-loop data, the REDAR algorithm (VARX fit plus balanced reduction) has one-step-ahead prediction error bounded by the optimal error plus terms that decay with model order p and with sample size T as O(1/√T).
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Linear Dynamics: Clustering without identification
The eigenvalues of an unknown linear dynamical system's state-transition matrix can be consistently estimated from output time series by fitting the autoregressive parameters of an ARMA model, at a root-T convergence rate.
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