A Tutorial on Concentration Bounds for System Identification

Nikolai Matni; Stephen Tu

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arXiv · 1906.11395

A Tutorial on Concentration Bounds for System Identification

Nikolai Matni·Stephen Tu

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Abstract

We provide a brief tutorial on the use of concentration inequalities as they apply to system identification of state-space parameters of linear time invariant systems, with a focus on the fully observed setting. We draw upon tools from the theories of large-deviations and self-normalized martingales, and provide both data-dependent and independent bounds on the learning rate.

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Nikolai Matni, Stephen Tu. 2019-06-27. A Tutorial on Concentration Bounds for System Identification. https://arxiv.org/abs/1906.11395

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