On-Line Learning of Linear Dynamical Systems: Exponential Forgetting in Kalman Filters

@article{Kozdoba2019OnLineLO,
  title={On-Line Learning of Linear Dynamical Systems: Exponential Forgetting in Kalman Filters},
  author={Mark Kozdoba and Jakub Marecek and Tigran T. Tchrakian and Shie Mannor},
  journal={ArXiv},
  year={2019},
  volume={abs/1809.05870}
}
The Kalman filter is a key tool for time-series forecasting and analysis. [] Key MethodBased on this insight, we devise an on-line algorithm for improper learning of a linear dynamical system (LDS), which considers only a few most recent observations. We use our decay results to provide the first regret bounds w.r.t. to Kalman filters within learning an LDS. That is, we compare the results of our algorithm to the best, in hindsight, Kalman filter for a given signal. Also, the algorithm is practical: its per…
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