Consistency and Rate of Convergence of Switched Least Squares System Identification for Autonomous Markov Jump Linear Systems
Published in 2022 IEEE 61st Conference on Decision and Control (CDC), 2022
In this paper, we investigate the problem of system identification for autonomous Markov jump linear systems (MJS) with complete state observations. We propose switched least squares method for identification of MJS, show that this method is strongly consistent, and derive data-dependent and data-independent rates of convergence. In particular, our data-dependent rate of convergence shows that, almost surely, the system identification error is O(\sqrt(log(T)/T)) where T is the time horizon. These results show that switched least squares method for MJS has the same rate of convergence as least squares method for autonomous linear systems. We compare our results with those in the literature and present numerical examples to illustrate the performance of the proposed system identification method. (pdf)
Recommended citation: B. Sayedana, M. Afshari, P. E. Caines and A. Mahajan, "Consistency and Rate of Convergence of Switched Least Squares System Identification for Autonomous Markov Jump Linear Systems," 2022 IEEE 61st Conference on Decision and Control (CDC), Cancun, Mexico, 2022, pp. 6678-6685, doi: 10.1109/CDC51059.2022.9993169. https://ieeexplore.ieee.org/document/9993169