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Paper detail

PAC-Bayesian-Like Error Bound for a Class of Linear Time-Invariant Stochastic State-Space Models

In this paper we derive a PAC-Bayesian-Like error bound for a class of stochastic dynamical systems with inputs, namely, for linear time-invariant stochastic state-space models (stochastic LTI systems for short). This class of systems is widely used in control engineering and econometrics, in particular, they represent a special case of recurrent neural networks. In this paper we 1) formalize the learning problem for stochastic LTI systems with inputs, 2) derive a PAC-Bayesian-Like error bound for such systems, 3) discuss various consequences of this error bound.

preprint2022arXivOpen access
Deividas EringisJohn LethZheng-Hua TanRafal WisniewskiMihaly Petreczky
Machine Learningmath.DSmath.STStatistics Theory
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Deividas EringisJohn LethZheng-Hua TanRafal WisniewskiMihaly Petreczky

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