论文标题
来自单个嘈杂轨迹的有限时间模型推断
Finite-Time Model Inference From A Single Noisy Trajectory
论文作者
论文摘要
本文提出了一种新型的模型推理程序,以在有限的时间间隔内从单个嘈杂轨迹中识别系统矩阵。提出的推理过程包括一个观察数据处理器,冗余数据处理器和一个普通的最小二乘估计器,其中数据处理器减轻了观察噪声对推理误差的影响。我们首先系统地研究了与基于最小最小二乘重新回归的天真的比较推断,并发现1)相同的观察数据对拟议和幼稚模型推论的可行性具有相同的影响,2)幼稚模型推理使用所有冗余数据,而建议的模型推荐最佳地使用了基础和冗余数据。然后,我们在存在观察噪声的情况下研究了所提出的模型推断的样品复杂性,这导致了所观察到的系统轨迹对时间和坐标的依赖性。特别是,我们得出样本复杂性上限(对足以推断具有规定准确性和置信度水平的模型的观测值的数量)和样品复杂性下限(高概率下限在模型误差上)。最后,对所提出的模型推断进行了数值验证和分析。
This paper proposes a novel model inference procedure to identify system matrix from a single noisy trajectory over a finite-time interval. The proposed inference procedure comprises an observation data processor, a redundant data processor and an ordinary least-square estimator, wherein the data processors mitigate the influence of observation noise on inference error. We first systematically investigate the comparisons with naive least-square-regression based model inference and uncover that 1) the same observation data has identical influence on the feasibility of the proposed and the naive model inferences, 2) the naive model inference uses all of the redundant data, while the proposed model inference optimally uses the basis and the redundant data. We then study the sample complexity of the proposed model inference in the presence of observation noise, which leads to the dependence of the processed bias in the observed system trajectory on time and coordinates. Particularly, we derive the sample-complexity upper bound (on the number of observations sufficient to infer a model with prescribed levels of accuracy and confidence) and the sample-complexity lower bound (high-probability lower bound on model error). Finally, the proposed model inference is numerically validated and analyzed.