arXiv:2504.18791eess.SYcs.LG2025-04中稿 · the 7th Annual Con…被引 3

提出两种非凸方法,高效求解低阶线性系统辨识问题。

Nonconvex Linear System Identification with Minimal State Representation

  • 用非凸分解替代传统奇异值分解,减少计算开销。
  • 直接优化系统参数,样本复杂度不随轨迹长度线性增长。
  • 理论保证多项式时间内达到全局最优,适合大规模系统建模。

低阶线性系统辨识(SysID)旨在从有限观测和控制输入数据中估计线性动态系统的参数,并实现最小状态表示。传统方法常依赖于核范数的凸松弛,需多次昂贵的奇异值分解(SVD)进行优化。本文提出两种非凸重构方法:(i) 利用Burer-Monterio(BM)因子化汉克尔矩阵以高效实现核范数最小化;(ii) 直接对可对角化系统的系统参数进行优化,采用类似原子范数的分解形式。这两种方法避免了重复的高成本SVD运算,显著提升计算效率。此外,我们证明直接优化系统参数可获得更低的统计误差率和更优的样本复杂度——其不随轨迹长度线性增长,优于汉克尔核范数最小化方法。尽管所提公式为非凸,但理论证明可在多项式时间内达到全局最优。最后,我们设计了求解算法,并在合成数据上验证了理论结论。

原文摘要 · Abstract (English)

Low-order linear System IDentification (SysID) addresses the challenge of estimating the parameters of a linear dynamical system from finite samples of observations and control inputs with minimal state representation. Traditional approaches often utilize Hankel-rank minimization, which relies on convex relaxations that can require numerous, costly singular value decompositions (SVDs) to optimize. In this work, we propose two nonconvex reformulations to tackle low-order SysID (i) Burer-Monterio (BM) factorization of the Hankel matrix for efficient nuclear norm minimization, and (ii) optimizing directly over system parameters for real, diagonalizable systems with an atomic norm style decomposition. These reformulations circumvent the need for repeated heavy SVD computations, significantly improving computational efficiency. Moreover, we prove that optimizing directly over the system parameters yields lower statistical error rates, and lower sample complexities that do not scale linearly with trajectory length like in Hankel-nuclear norm minimization. Additionally, while our proposed formulations are nonconvex, we provide theoretical guarantees of achieving global optimality in polynomial time. Finally, we demonstrate algorithms that solve these nonconvex programs and validate our theoretical claims on synthetic data.

系统辨识非凸优化高效计算

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