Abstract:We consider the problem of finite-time identification of linear dynamical systems from $T$ samples of a single trajectory. Recent results have predominantly focused on the setup where either no structural assumption is made on the system matrix $A^* \in \mathbb{R}^{n \times n}$, or specific structural assumptions (e.g. sparsity) are made on $A^*$. We assume prior structural information on $A^*$ is available, which can be captured in the form of a convex set $\mathcal{K}$ containing $A^*$. For the solution of the ensuing constrained least squares estimator, we derive non-asymptotic error bounds in the Frobenius norm that depend on the local size of $\mathcal{K}$ at $A^*$. To illustrate the usefulness of these results, we instantiate them for four examples, namely when (i) $A^*$ is sparse and $\mathcal{K}$ is a suitably scaled $\ell_1$ ball; (ii) $\mathcal{K}$ is a subspace; (iii) $\mathcal{K}$ consists of matrices each of which is formed by sampling a bivariate convex function on a uniform $n \times n$ grid (convex regression); (iv) $\mathcal{K}$ consists of matrices each row of which is formed by uniform sampling (with step size $1/T$) of a univariate Lipschitz function. In all these situations, we show that $A^*$ can be reliably estimated for values of $T$ much smaller than what is needed for the unconstrained setting.
From: Hemant Tyagi [view email]
[v1]
Mon, 27 Mar 2023 11:49:40 UTC (27 KB)
[v2]
Tue, 1 Aug 2023 10:43:48 UTC (35 KB)
[v3]
Thu, 2 May 2024 16:23:48 UTC (46 KB)
[v4]
Wed, 1 Oct 2025 05:51:06 UTC (46 KB)
[v5]
Sun, 5 Jul 2026 07:06:25 UTC (46 KB)
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