A Tutorial on the Non-Asymptotic Theory of System Identification
- Resource Type
- Conference
- Authors
- Ziemann, Ingvar; Tsiamis, Anastasios; Lee, Bruce; Jedra, Yassir; Matni, Nikolai; Pappas, George J.
- Source
- 2023 62nd IEEE Conference on Decision and Control (CDC) Decision and Control (CDC), 2023 62nd IEEE Conference on. :8921-8939 Dec, 2023
- Subject
- Computing and Processing
Power, Energy and Industry Applications
Robotics and Control Systems
Tutorials
Aerospace electronics
System identification
- Language
- ISSN
- 2576-2370
This tutorial serves as an introduction to recently developed non-asymptotic methods in the theory of-mainly linear-system identification. We emphasize tools we deem particularly useful for a range of problems in this domain, such as the covering technique, the Hanson-Wright Inequality and the method of self-normalized martingales. We then employ these tools to give streamlined proofs of the performance of various least-squares based estimators for identifying the parameters in autoregressive models. We conclude by sketching out how the ideas presented herein can be extended to certain nonlinear identification problems. Note: For reasons of space, proofs have been omitted in this version and are available in an online version: https://arxiv.org/abs/2309.03873.