A Tutorial on Concentration Bounds for System Identification

06/27/2019

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by   Nikolai Matni, et al.

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We provide a brief tutorial on the use of concentration inequalities as they apply to system identification of state-space parameters of linear time invariant systems, with a focus on the fully observed setting. We draw upon tools from the theories of large-deviations and self-normalized martingales, and provide both data-dependent and independent bounds on the learning rate.