Non-asymptotic Identification of LTI Systems from a Single Trajectory
Non-asymptotic Identification of LTI Systems from a Single Trajectory
We consider the problem of learning a realization for a linear time-invariant (LTI) dynamical system from input/output data. Given a single input/output trajectory, we provide finite time analysis for learning the system's Markov parameters, from which a balanced realization is obtained using the classical Ho-Kalman algorithm. By proving a stability …