Learning linear dynamical systems under convex constraints

We consider the problem of finite-time identification of linear dynamical systems from $T$ samples of a single trajectory.

Recent results have predominantly focused on the setup where either no structural assumption is made on the system matrix $A^* \in \mathbb{R}^{n \times n}$, or specific structural assumptions (e.g. sparsity) are made on $A^*$.

We assume prior structural information on $A^*$ is available, which can be captured in the form of a convex set $\mathcal{K}$ containing $A^*$.

For the solution of the ensuing constrained least squares estimator, we derive non-asymptotic error bounds in the Frobenius norm that depend on the local size of $\mathcal{K}$ at $A^*$.

To illustrate the usefulness of these results, we instantiate them for four examples, namely when (i) $A^*$ is sparse and $\mathcal{K}$ is a suitably scaled $\ell_1$ ball; (ii) $\mathcal{K}$ is a subspace; (iii) $\mathcal{K}$ consists of matrices each of which is formed by sampling a bivariate convex function on a uniform $n \times n$ grid (convex regression); (iv) $\mathcal{K}$ consists of matrices each row of which is formed by uniform sampling (with step size $1/T$) of a univariate Lipschitz function.

In all these situations, we show that $A^*$ can be reliably estimated for values of $T$ much smaller than what is needed for the unconstrained setting.