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Learning dynamical systems in a stationary environment

✍ Scribed by M.C. Campi; P.R. Kumar


Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
119 KB
Volume
34
Category
Article
ISSN
0167-6911

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✦ Synopsis


We consider the problem of learning the input-output relation of a dynamical system from noisy data. Our method rests on the use of a smooth simultaneous estimator which generalizes the standard empirical estimator. In a stationary environment, our algorithm is shown to select a model which exhibits the Probably Approximately Correct (PAC) property under very mild conditions. This contribution should be thought of as a ΓΏrst attempt to extend concepts developed in learning theory to the ΓΏeld of system identiΓΏcation where, due to the presence of the system dynamics, the typical i.i.d. assumption on the data made in learning theory is not satisΓΏed.


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