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Title: Learning Linear Models Using Distributed Iterative Hessian Sketching
This work considers the problem of learning the Markov parameters of a linear system from ob- served data. Recent non-asymptotic system identification results have characterized the sample complexity of this problem in the single and multi-rollout setting. In both instances, the number of samples required in order to obtain acceptable estimates can produce optimization problems with an intractably large number of decision variables for a second-order algorithm. We show that a randomized and distributed Newton algorithm based on Hessian-sketching can produce ε-optimal solutions and converges geometrically. Moreover, the algorithm is trivially parallelizable. Our re- sults hold for a variety of sketching matrices and we illustrate the theory with numerical examples.  more » « less
Award ID(s):
2144634
NSF-PAR ID:
10390333
Author(s) / Creator(s):
;
Editor(s):
Firoozi, R.; Mehr, N.; Yel, E.; Antonova, R; Bohg, J.; Schwager, M.; Kochenderfer, M.
Date Published:
Journal Name:
Proceedings of Machine Learning Research
Volume:
168
ISSN:
2640-3498
Page Range / eLocation ID:
1-14
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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