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Feb, 2018
学习无需混合: 追求线性系统识别的尖锐分析
Learning Without Mixing: Towards A Sharp Analysis of Linear System Identification
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Max Simchowitz, Horia Mania, Stephen Tu, Michael I. Jordan, Benjamin Recht
TL;DR
该研究证明了最小二乘（OLS）估算器在从单个观察轨迹中识别线性动态系统方面达到了几乎最小化最优性能。
Abstract
We prove that the ordinary least-squares (OLS) estimator attains nearly minimax optimal performance for the identification of
linear dynamical systems
from a single observed trajectory. Our upper bound relies on a generalization of
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