Achieving $\widetilde{O}(1/ε)$ Sample Complexity for Bilinear Systems Identification under Bounded Noises

There has been remarkable progress over the past decade in establishing finite-sample, non-asymptotic bounds on recovering unknown system parameters from observed system behavior. Surprisingly, however, we show that the current state-of-the-art bounds do not accurately capture the statistical complexity of system identification, even in the most fundamental setting of estimating a discrete-time linear dynamical system (LDS) via ordinary least-squares regression (OLS). Specifically, we utilize asymptotic normality to identify classes of problem instances for which current bounds overstate the squared parameter error, in both spectral and Frobenius norm, by a factor of the state-dimension of the system. Informed by this discrepancy, we then sharpen the OLS parameter error bounds via a novel second-order decomposition of the parameter error, where crucially the lower-order term is a matrix-valued martingale that we show correctly captures the CLT scaling. From our analysis we obtain finite-sample bounds for both (i) stable systems and (ii) the many-trajectories setting that match the instance-specific optimal rates up to constant factors in Frobenius norm, and polylogarithmic state-dimension factors in spectral norm.

We present a physics-informed framework for system identification based on randomized stable atomic features. Impulse responses are represented as random superpositions of stable atoms, namely damped complex exponentials associated with poles sampled inside a prescribed disk. Identification is then cast as a convex regularized least-squares problem with optional linear, second-order-cone, and KYP constraints. The approach generalizes random Fourier and random Laplace features to the damped, nonstationary regime relevant to engineering systems while retaining modal interpretability and scalable finite-dimensional computation. The main analytic point is an operator-theoretic Disk-Bochner viewpoint: positive measures over stable poles generate positive-definite kernels with a radius-dependent shift defect, while a converse scalar disk moment representation for an arbitrary kernel is characterized by subnormality of the canonical shift. We prove this statement, establish an RKHS-to-l1 embedding, show that sampled poles induce a valid finite atomic gauge, discuss random-feature convergence, and state sparse-recovery guarantees conditionally on the restricted-eigenvalue properties of the realized disk-Vandermonde or input-output design matrix. We also connect the normalized transfer function problem to Nevanlinna-Pick interpolation and LFT set-membership. The framework directly encodes stability margins, modal localization, DC-gain bounds, monotonicity, passivity, relative degree, settling-time targets, and time/frequency-domain error bounds. Numerical comparisons illustrate how physically meaningful priors can compensate for poor excitation and improve constrained impulse-response recovery in an under-informative data setting.

In this paper we derive a Probably Approximately Correct (PAC)-Bayesian error bound for partially observed linear time-invariant (LTI) stochastic dynamical systems in state-space form with inputs and sub-Gaussian noise. Such bounds are widespread in machine learning, and they are useful for characterizing the predictive power of models learned from finitely many data points. The bound derived in this paper relates the expectation of prediction errors with the prediction error generated by the model on the data used for learning. In addition, we show that it can also be used to derive bounds for the parameter estimation error. In turn, this allows us to provide finite-sample error bounds for the prediction error and parameter estimation error for a wide class of system identification algorithms. Furthermore, as LTI systems are a sub-class of recurrent neural networks (RNNs), these error bounds could be a first step towards PAC-Bayesian bounds for RNNs.