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Cristian R. Rojas

Publications and source records attributed to Cristian R. Rojas.

At least 19 recordsLinked to original sources
arXiv2026

Universal Estimation of the Fisher Information for Processes with Memory

The Fisher information matrix (FIM) determines the accuracy attainable in an estimation problem. For a parametric process with memory, it has a closed form only for narrow classes of models, and it cannot be computed when the model is available only as a simulator. This paper estimates the Fisher information rate of such a process, the per-observation limit of its FIM, from simulator output alone and without knowledge of the memory length. The construction uses the identity between the FIM and the local curvature of the Kullback--Leibler (KL) divergence. Directional divergence rates are estimated by context-tree weighting (CTW), and the matrix is recovered from them by least squares. We establish strong consistency in an iterated limit and a finite-sample bound, uniform over every working depth at least as large as the true memory length, which gives a mean error of order $n^{-1/3}$. The analysis also delivers a finite-sample rate for CTW-based estimation of the KL divergence rate. Experiments confirm the predicted exponents, show that the accuracy does not degrade as the working depth grows, and use the estimate to plan a sampling budget that attains a prescribed precision. The estimator stays accurate on a hidden-state source that has no finite memory length.

cs.IT↗
arXiv2026

Computationally lightweight classifiers with frequentist bounds on predictions

While both classical and neural network classifiers can achieve high accuracy, they fall short on offering uncertainty bounds on their predictions, making them unfit for safety-critical applications. Existing kernel-based classifiers that provide such bounds scale with $\mathcal O (n^{\sim3})$ in time, making them computationally intractable for large datasets. To address this, we propose a novel, computationally efficient classification algorithm based on the Nadaraya-Watson estimator, for whose estimates we derive frequentist uncertainty intervals. We evaluate our classifier on synthetically generated data and on electrocardiographic heartbeat signals from the MIT-BIH Arrhythmia database. We show that the method achieves competitive accuracy $>$\SI{96}{\percent} at $\mathcal O(n)$ and $\mathcal O(\log n)$ operations, while providing actionable uncertainty bounds. These bounds can, e.g., aid in flagging low-confidence predictions, making them suitable for real-time settings with resource constraints, such as diagnostic monitoring or implantable devices.

cs.LG↗
arXiv2026

Data-Driven Estimation of Vinnicombe metric

Quantifying model mismatch in a control-relevant manner is fundamental in robust control. A well-known metric for this purpose is the $ν$-gap, or Vinnicombe metric, which measures the discrepancy between a nominal model and the real system from a closed-loop viewpoint. However, its computation typically requires explicit knowledge of the true system. In this letter, we propose an identification-free, data-driven method to estimate the $ν$-gap between discrete-time SISO systems directly from input-output experiments. The method is complemented by a data-driven winding-number test, based on Welch-type averaging, to verify a required topological condition for the computation of the metric. Numerical simulations on heavy-duty gas-turbine models and a textbook example show that the proposed estimate closely matches MATLAB$^©$ \texttt{gapmetric}, while correctly detecting cases in which the admissibility conditions fail.

math.OC↗
arXiv2026

Fine Tuning a Simulation-Driven Estimator

Many industries now deploy high-fidelity simulators (digital twins) to represent physical systems, yet their parameters must be calibrated to match the true system. This motivated the construction of simulation-driven parameter estimators, built by generating synthetic observations for sampled parameter values and learning a supervised mapping from observations to parameters. However, when the true parameters lie outside the sampled range, predictions suffer from an out-of-distribution (OOD) error. This paper introduces a fine-tuning approach for the Two-Stage estimator that mitigates OOD effects and improves accuracy. The effectiveness of the proposed method is verified through numerical simulations.

eess.SY↗
arXiv2025

Sample-Efficient Counterfactual Tuning for Compressor Pressure Control

In controlled industrial environments, ensuring safety and performance during controller tuning is a challenging and critical task. In particular, control loops in compressor-plenum-throttle systems cannot tolerate costly interruptions, and aggressive excitation may lead to unsafe operating regimes. Given the wide availability of historical data, this paper introduces a counterfactual explainability approach for sample-efficient retuning of compressor control loops. The proposed data-driven algorithm determines, without an explicit plant model or previous control law, the smallest controller adjustment required to achieve predefined performance specifications while guaranteeing stability. The effectiveness of the method is demonstrated through an extensive Monte Carlo simulation study.

math.OC↗
arXiv2025

Finite Sample MIMO System Identification with Multisine Excitation: Nonparametric, Direct, and Two-step Parametric Estimators

Multisine excitations are widely used for identifying multi-input multi-output systems due to their periodicity, data compression properties, and control over the input spectrum. Despite their popularity, the finite sample statistical properties of frequency-domain estimators under multisine excitation, for both nonparametric and parametric settings, remain insufficiently understood. This paper develops a finite-sample statistical framework for least-squares estimation of the frequency response function (FRF) and its implications for parametric modeling. First, we derive exact distributional and covariance properties of the FRF estimator, explicitly accounting for aliasing effects under slow sampling regimes, and establish conditions for unbiasedness, uncorrelatedness, and consistency across multiple experiments. Second, we show that the FRF estimate is a sufficient statistic for any parametric model under Gaussian noise, leading to an exact equivalence between optimal two stage frequency-domain methods and time-domain prediction error and maximum likelihood estimation. This equivalence is shown to yield finite-sample concentration bounds for parametric maximum likelihood estimators, enabling rigorous uncertainty quantification, and closed-form prediction error method estimators without iterative optimization. The theoretical results are demonstrated in a representative case study.

stat.ME↗
arXiv2025

ACE: Adapting sampling for Counterfactual Explanations

Counterfactual Explanations (CFEs) interpret machine learning models by identifying the smallest change to input features needed to change the model's prediction to a desired output. For classification tasks, CFEs determine how close a given sample is to the decision boundary of a trained classifier. Existing methods are often sample-inefficient, requiring numerous evaluations of a black-box model -- an approach that is both costly and impractical when access to the model is limited. We propose Adaptive sampling for Counterfactual Explanations (ACE), a sample-efficient algorithm combining Bayesian estimation and stochastic optimization to approximate the decision boundary with fewer queries. By prioritizing informative points, ACE minimizes evaluations while generating accurate and feasible CFEs. Extensive empirical results show that ACE achieves superior evaluation efficiency compared to state-of-the-art methods, while maintaining effectiveness in identifying minimal and actionable changes.

cs.LG↗
arXiv2025

Gain-Scheduled Data-Enabled Predictive Control: A DeePC Approach for Nonlinear Systems

Model predictive control is a well established control technology for trajectory tracking. Its use requires the availability of an accurate model of the plant, but obtaining such a model is often time consuming and costly. Data-Enabled Predictive Control (DeePC) addresses this shortcoming in the linear time-invariant setting, by skipping the model building step and instead relying directly on input-output data. Unfortunately, many real systems are nonlinear and exhibit strong operating-point dependence. Building on classical linear parameter-varying control, we introduce DeePC-GS, a gain-scheduled extension of DeePC for unknown, regime-varying systems. The key idea is to allow DeePC to switch between different local Hankel matrices -- selected online via a measurable scheduling variable -- thereby uniting classical gain scheduling tools with identification-free, data-driven MPC. We test the effectiveness of our DeePC-GS formulation on a nonlinear ship-steering benchmark, demonstrating that it outperforms state-of-the-art data-driven MPC while maintaining tractable computation.

math.OC↗
arXiv2025

Data-Driven Estimation of Structured Singular Values

Estimating the size of the modeling error is crucial for robust control. Over the years, numerous metrics have been developed to quantify the model error in a control relevant manner. One of the most important such metrics is the structured singular value, as it leads to necessary and sufficient conditions for ensuring stability and robustness in feedback control under structured model uncertainty. Although the computation of the structured singular value is often intractable, lower and upper bounds for it can often be obtained if a model of the system is known. In this paper, we introduce a fully data-driven method to estimate a lower bound for the structured singular value, by conducting experiments on the system and applying power iterations to the collected data. Our numerical simulations demonstrate that this method effectively lower bounds the structured singular value, yielding results comparable to the MATLAB$^©$ Robust Control Toolbox.

eess.SY↗
arXiv2025

Finite Sample Analysis of Open-loop Subspace Identification Methods

Subspace identification methods (SIMs) are known for their simple parameterization for MIMO systems and robust numerical properties. However, a comprehensive statistical analysis of SIMs remains an open problem. Following a three-step procedure generally used in SIMs, this work presents a finite sample analysis for open-loop SIMs. In Step 1 we begin with a parsimonious SIM. Leveraging a recent analysis of an individual ARX model, we obtain a union error bound for a Hankel-like matrix constructed from a bank of ARX models. Step 2 involves model reduction via weighted singular value decomposition (SVD), where we use robustness results for SVD to obtain error bounds on extended controllability and observability matrices, respectively. The final Step 3 focuses on deriving error bounds for system matrices, where two different realization algorithms, the MOESP type and the CVA type, are studied. Our results not only agree with classical asymptotic results, but also show how much data is needed to guarantee a desired error bound with high probability. The proposed method generalizes related finite sample analyses and applies broadly to many variants of SIMs.

eess.SY↗
arXiv2025

On Word-of-Mouth and Private-Prior Sequential Social Learning

Social learning constitutes a fundamental framework for studying interactions among rational agents who observe each other's actions but lack direct access to individual beliefs. This paper investigates a specific social learning paradigm known as Word-of-Mouth (WoM), where a series of agents seeks to estimate the state of a dynamical system. The first agent receives noisy measurements of the state, while each subsequent agent relies solely on a degraded version of her predecessor's estimate. A defining feature of WoM is that the final agent's belief is publicly broadcast and subsequently adopted by all agents, in place of their own. We analyze this setting theoretically and through numerical simulations, noting that some agents benefit from using the belief of the last agent, while others experience performance deterioration.

cs.MA↗
arXiv2025

A Metropolis-Adjusted Langevin Algorithm for Sampling Jeffreys Prior

Inference and estimation are fundamental in statistics, system identification, and machine learning. When prior knowledge about the system is available, Bayesian analysis provides a natural framework for encoding it through a prior distribution. In practice, such knowledge is often too vague to specify a full prior distribution, motivating the use of default 'uninformative' priors that minimize subjective bias. Jeffreys prior is an appealing uninformative prior because: (i) it is invariant under any re-parameterization of the model, (ii) it encodes the intrinsic geometric structure of the parameter space through the Fisher information matrix, which in turn enhances the diversity of parameter samples. Despite these benefits, drawing samples from Jeffreys prior is challenging. In this paper, we develop a general sampling scheme using the Metropolis-Adjusted Langevin Algorithm that enables sampling of parameter values from Jeffreys prior; the method extends naturally to nonlinear state-space models. The resulting samples can be directly used in sampling-based system identification methods and Bayesian experiment design, providing an objective, information-geometric description of parameter uncertainty. Several numerical examples demonstrate the efficiency and accuracy of the proposed scheme.

eess.SY↗
arXiv2025

On Asymptotic Analysis of the Two-Stage Approach: Towards Data-Driven Parameter Estimation

In this paper, we analyze the asymptotic properties of the Two-Stage (TS) estimator -- a simulation-based parameter estimation method that constructs estimators offline from synthetic data. While TS offers significant computational advantages compared to standard approaches to estimation, its statistical properties have not been previously analyzed in the literature. Under simple assumptions, we establish that the TS estimator is strongly consistent and asymptotically normal, providing the first theoretical guarantees for this class of estimators.

eess.SY↗
arXiv2025

Range Space or Null Space: Least-Squares Methods for the Realization Problem

This contribution revisits the classical approximate realization problem, which involves determining matrices of a state-space model based on estimates of a truncated series of Markov parameters. A Hankel matrix built up by these Markov parameters plays a fundamental role in this problem, leveraging the fact that both its range space and left null space encode critical information about the state-space model. We examine two prototype realization algorithms based on the Hankel matrix: the classical range-space-based (SVD-based) method and the more recent null-space-based method. It is demonstrated that the range-space-based method corresponds to a total least-squares solution, whereas the null-space-based method corresponds to an ordinary least-squares solution. By analyzing the differences in sensitivity of the two algorithms, we determine the conditions when one or the other realization algorithm is to be preferred, and identify factors that contribute to an ill-conditioned realization problem. Furthermore, recognizing that both methods are suboptimal, we argue that the optimal realization is obtained through a weighted least-squares approach. A statistical analysis of these methods, including their consistency and asymptotic normality is also provided.

eess.SY↗
arXiv2025

Safety and optimality in learning-based control at low computational cost

Applying machine learning methods to physical systems that are supposed to act in the real world requires providing safety guarantees. However, methods that include such guarantees often come at a high computational cost, making them inapplicable to large datasets and embedded devices with low computational power. In this paper, we propose CoLSafe, a computationally lightweight safe learning algorithm whose computational complexity grows sublinearly with the number of data points. We derive both safety and optimality guarantees and showcase the effectiveness of our algorithm on a seven-degrees-of-freedom robot arm.

eess.SY↗
arXiv2025

Efficient Simulation of Singularly Perturbed Systems Using a Stabilized Multirate Explicit Scheme

Singularly perturbed systems (SPSs) are prevalent in engineering applications, where numerically solving their initial value problems (IVPs) is challenging due to stiffness arising from multiple time scales. Classical explicit methods require impractically small time steps for stability, while implicit methods developed for SPSs are computationally intensive and less efficient for strongly nonlinear systems. This paper introduces a Stabilized Multirate Explicit Scheme (SMES) that stabilizes classical explicit methods without the need for small time steps or implicit formulations. By employing a multirate approach with variable time steps, SMES allows the fast dynamics to rapidly converge to their equilibrium manifold while slow dynamics evolve with larger steps. Analysis shows that SMES achieves numerical stability with significantly reduced computational effort and controlled error. Its effectiveness is illustrated with a numerical example.

math.NA↗
arXiv2024

Sampling in Parametric and Nonparametric System Identification: Aliasing, Input Conditions, and Consistency

The sampling rate of input and output signals is known to play a critical role in the identification and control of dynamical systems. For slow-sampled continuous-time systems that do not satisfy the Nyquist-Shannon sampling condition for perfect signal reconstructability, careful consideration is required when identifying parametric and nonparametric models. In this letter, a comprehensive statistical analysis of estimators under slow sampling is performed. Necessary and sufficient conditions are obtained for unbiased estimates of the frequency response function beyond the Nyquist frequency, and it is shown that consistency of parametric estimators can be achieved even if input frequencies overlap after aliasing. Monte Carlo simulations confirm the theoretical properties.

eess.SY↗