Non-Asymptotic Bounds for Closed-Loop Identification of Unstable
Nonlinear Stochastic Systems
Non-Asymptotic Bounds for Closed-Loop Identification of Unstable
Nonlinear Stochastic Systems
We consider the problem of least squares parameter estimation from single-trajectory data for discrete-time, unstable, closed-loop nonlinear stochastic systems, with linearly parameterised uncertainty. Assuming a region of the state space produces informative data, and the system is sub-exponentially unstable, we establish non-asymptotic guarantees on the estimation error at times where …