Optimal Centered Active Excitation in Linear System Identification

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.

This paper studies finite-sample set-membership identification for discrete-time bilinear systems under bounded symmetric log-concave disturbances. Our analysis considers trajectory-dependent regressors and allows marginally stable dynamics with polynomial mean-square state growth. We prove that the diameter of the feasible parameter set shrinks with sample complexity $\widetilde{\mathcal O}(1/ε)$ where $ε$ is the estimation error. Simulation supports the theory and illustrates the advantage of the proposed estimator for uncertainty quantification.

We establish non-asymptotic sample complexity bounds for the least-squares estimation of vector autoregressive models for exponentially stable systems with heavy-tailed noise based on a single observed trajectory. By assuming i.i.d. noise, bounded noise covariance, and persistent excitation, we show that the estimation error is $\widetilde{\mathcal{O}}(r^{1/2}T^{-1/2+1/p})$ under bounded $p$th moment for $p > 2$, where $T$ is the number of samples, $r$ is the noise dimension, and $\widetilde{\mathcal{O}}(\cdot)$ hides logarithmic terms. We also introduce a unifying approach to sample complexity analysis applicable to broad classes of noise distributions and showcase this by deriving error bounds for sub-exponential and sub-Gaussian noise distributions. Finally, we specialize our analysis to autoregressive models with exogenous inputs and show that the dimension factor of the error bound is independent of the model order.