Related papers: Finite Sample Analysis of Stochastic System Identi…

Subspace identification methods (SIMs) are known for their simple parameterization for MIMO systems and robust numerical properties. However, a comprehensive statistical analysis of SIMs remains an open problem. Following a three-step…

Prediction via deterministic continuous-time models will always be subject to model error, for example due to unexplainable phenomena, uncertainties in any data driving the model, or discretisation/resolution issues. In this paper, we build…

This work explores the trade-off between the number of samples required to accurately build models of dynamical systems and the degradation of performance in various control objectives due to a coarse approximation. In particular, we show…

In this paper, we consider discrete-time non-linear stochastic dynamical systems with additive process noise in which both the initial state and noise distributions are uncertain. Our goal is to quantify how the uncertainty in these…

Focusing on identification, this paper develops techniques to reconstruct zero and nonzero elements of a sparse parameter vector of a stochastic dynamic system under feedback control, for which the current input may depend on the past…

Systems equipped with modern sensing modalities such as vision and lidar gain access to increasingly high-dimensional measurements with which to enact estimation and control schemes. In this article, we examine the continuum limit of…

In this paper we study the reachability problem for discrete-time nonlinear stochastic systems. Our goal is to present a unified framework for calculating the probabilistic reachable set of discrete-time systems in the presence of both…

This paper examines learning the optimal filtering policy, known as the Kalman gain, for a linear system with unknown noise covariance matrices using noisy output data. The learning problem is formulated as a stochastic policy optimization…

We address the problem of learning the parameters of a stable linear time invariant (LTI) system or linear dynamical system (LDS) with unknown latent space dimension, or order, from a single time--series of noisy input-output data. We focus…

This paper details how to parameterize the posterior distribution of state-space systems to generate improved optimization problems for system identification using variational inference. Three different parameterizations of the assumed…

This paper presents a discrete-time nonlinear system identification method while satisfying the stability and safety properties of the system with high probability. An Extreme Learning Machine (ELM) is used with a Gaussian assumption on the…

We consider the problem of estimating unknown parameters in stochastic differential equations driven by colored noise, which we model as a sequence of Gaussian stationary processes with decreasing correlation time. We aim to infer…

In this paper, we study non-asymptotic deviation bounds of the least squares estimator in Gaussian AR($n$) processes. By relying on martingale concentration inequalities and a tail-bound for $\chi^2$ distributed variables, we provide a…

Modeling real-world systems requires accounting for noise - whether it arises from unpredictable fluctuations in financial markets, irregular rhythms in biological systems, or environmental variability in ecosystems. While the behavior of…

We study the problem of learning general (i.e., not necessarily homogeneous) halfspaces with Random Classification Noise under the Gaussian distribution. We establish nearly-matching algorithmic and Statistical Query (SQ) lower bound…

This paper considers a single-trajectory system identification problem for linear systems under general nonlinear and/or time-varying policies with i.i.d. random excitation noises. The problem is motivated by safe learning-based control for…

Standard maximum likelihood or Bayesian approaches to parameter estimation for stochastic differential equations are not robust to perturbations in the continuous-in-time data. In this paper, we give a rather elementary explanation of this…

We analyze the finite sample regret of a decreasing step size stochastic gradient algorithm. We assume correlated noise and use a perturbed Lyapunov function as a systematic approach for the analysis. Finally we analyze the escape time of…

This paper addresses identification of sparse linear and noise-driven continuous-time state-space systems, i.e., the right-hand sides in the dynamical equations depend only on a subset of the states. The key assumption in this study, is…

We introduce a new scalable approximation for Gaussian processes with provable guarantees which hold simultaneously over its entire parameter space. Our approximation is obtained from an improved sample complexity analysis for sparse…