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arXiv · 2412.04157

Non-Asymptotic Bounds for Closed-Loop Identification of Sub-Exponentially Growing Nonlinear Stochastic Systems

Seth Siriya·Jingge Zhu·Dragan Nešić·Ye Pu
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Abstract

We investigate the problem of least squares parameter estimation from single-trajectory data for discrete-time, unstable, closed-loop nonlinear stochastic systems. Specifically, we consider nonlinear systems with linearly parametrised uncertainty and additive i.i.d. process noise, in feedback with a control policy that is intentionally perturbed by an exploratory input. Assuming the open-loop dynamics satisfy a particular sub-exponential input-to-state growth property, and a region of the state space produces informative data, we establish non-asymptotic guarantees on the estimation error at times when the state trajectory evolves in this region. If the whole state space is informative, high-probability guarantees on the error hold for all times. Examples are provided where our results are useful for analysis beyond existing works.

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Seth Siriya, Jingge Zhu, Dragan Nešić, Ye Pu. 2024-12-05. Non-Asymptotic Bounds for Closed-Loop Identification of Sub-Exponentially Growing Nonlinear Stochastic Systems. https://arxiv.org/abs/2412.04157

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