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arXiv · 2409.16499

Learning Linear Dynamics from Bilinear Observations

Yahya Sattar·Yassir Jedra·Sarah Dean
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Abstract

We consider the problem of learning a realization of a partially observed dynamical system with linear state transitions and bilinear observations. Under very mild assumptions on the process and measurement noises, we provide a finite time analysis for learning the unknown dynamics matrices (up to a similarity transform). Our analysis involves a regression problem with heavy-tailed and dependent data. Moreover, each row of our design matrix contains a Kronecker product of current input with a history of inputs, making it difficult to guarantee persistence of excitation. We overcome these challenges, first providing a data-dependent high probability error bound for arbitrary but fixed inputs. Then, we derive a data-independent error bound for inputs chosen according to a simple random design. Our main results provide an upper bound on the statistical error rates and sample complexity of learning the unknown dynamics matrices from a single finite trajectory of bilinear observations.

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Yahya Sattar, Yassir Jedra, Sarah Dean. 2024-09-24. Learning Linear Dynamics from Bilinear Observations. https://arxiv.org/abs/2409.16499

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