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arXiv · 2212.14838

PAC-Bayesian-Like Error Bound for a Class of Linear Time-Invariant Stochastic State-Space Models

Deividas Eringis·John Leth·Zheng-Hua Tan·Rafal Wisniewski·Mihaly Petreczky
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Abstract

In this paper we derive a PAC-Bayesian-Like error bound for a class of stochastic dynamical systems with inputs, namely, for linear time-invariant stochastic state-space models (stochastic LTI systems for short). This class of systems is widely used in control engineering and econometrics, in particular, they represent a special case of recurrent neural networks. In this paper we 1) formalize the learning problem for stochastic LTI systems with inputs, 2) derive a PAC-Bayesian-Like error bound for such systems, 3) discuss various consequences of this error bound.

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Deividas Eringis, John Leth, Zheng-Hua Tan, Rafal Wisniewski, Mihaly Petreczky. 2022-12-30. PAC-Bayesian-Like Error Bound for a Class of Linear Time-Invariant Stochastic State-Space Models. https://arxiv.org/abs/2212.14838

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