System Identification via Nuclear Norm Regularization

@article{Sun2022SystemIV,
  title={System Identification via Nuclear Norm Regularization},
  author={Yue Sun and Samet Oymak and Maryam Fazel},
  journal={ArXiv},
  year={2022},
  volume={abs/2203.16673}
}
This paper studies the problem of identifying low-order linear systems via Hankel nuclear norm regularization. Hankel regularization encourages the low-rankness of the Hankel matrix, which maps to the low-orderness of the system. We provide novel statistical analysis for this regularization and carefully contrast it with the unregularized ordinary least-squares (OLS) estimator.Ouranalysis leads to new bounds on estimating the impulse response and the Hankel matrix associated with the linear… 

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