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Non-Asymptotic Identification of Linear Dynamical Systems Using Multiple Trajectories | IEEE Journals & Magazine | IEEE Xplore

Non-Asymptotic Identification of Linear Dynamical Systems Using Multiple Trajectories


Abstract:

This letter considers the problem of linear time-invariant (LTI) system identification using input/output data. Recent work has provided non-asymptotic results on partial...Show More

Abstract:

This letter considers the problem of linear time-invariant (LTI) system identification using input/output data. Recent work has provided non-asymptotic results on partially observed LTI system identification using a single trajectory but is only suitable for stable systems. We provide finite-time analysis for learning Markov parameters based on the ordinary least-squares (OLS) estimator using multiple trajectories, which covers both stable and unstable systems. For unstable systems, our results suggest that the Markov parameters are harder to estimate in the presence of process noise. Without process noise, our upper bound on the estimation error is independent of the spectral radius of system dynamics with high probability. These two features are different from fully observed LTI systems for which recent work has shown that unstable systems with a bigger spectral radius are easier to estimate. Extensive numerical experiments demonstrate the performance of our OLS estimator.
Published in: IEEE Control Systems Letters ( Volume: 5, Issue: 5, November 2021)
Page(s): 1693 - 1698
Date of Publication: 07 December 2020
Electronic ISSN: 2475-1456

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