Search for: All records

We consider the problem of learning a realization of a partially observed bilinear dynamical system (BLDS) from noisy input-output data. Given a single trajectory of input-output samples, we provide an algorithm and a finite time analysis for learning the system’s Markov-like parameters, from which a balanced realization of the bilinear system can be obtained. The stability of BLDS depends on the sequence of inputs used to excite the system. Moreover, our identification algorithm regresses the outputs to highly correlated, nonlinear, and heavy-tailed covariates. These properties, unique to partially observed bilinear dynamical systems, pose significant challenges to the analysis of our algorithm for learning the unknown dynamics. We address these challenges and provide high probability error bounds on our identification algorithm under a uniform stability assumption. Our analysis provides insights into system theoretic quantities that affect learning accuracy and sample complexity. Lastly, we perform numerical experiments with synthetic data to reinforce these insights. 

Bilinear dynamical systems are ubiquitous in many different domains and they can also be used to approximate more general control-affine systems. This motivates the problem of learning bilinear systems from a single trajectory of the system’s states and inputs. Under a mild marginal meansquare stability assumption, we identify how much data is needed to estimate the unknown bilinear system up to a desired accuracy with high probability. Our sample complexity and statistical error rates are optimal in terms of the trajectory length, the dimensionality of the system and the input size. Our proof technique relies on an application of martingale small-ball condition. This enables us to correctly capture the properties of the problem, specifically our error rates do not deteriorate with increasing instability. Finally, we show that numerical experiments are well-aligned with our theoretical results.