Spectral Filtering for General Linear Dynamical Systems

Part of Advances in Neural Information Processing Systems 31 (NeurIPS 2018)

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Authors

Elad Hazan, Holden Lee, Karan Singh, Cyril Zhang, Yi Zhang

Abstract

<p>We give a polynomial-time algorithm for learning latent-state linear dynamical systems without system identification, and without assumptions on the spectral radius of the system's transition matrix. The algorithm extends the recently introduced technique of spectral filtering, previously applied only to systems with a symmetric transition matrix, using a novel convex relaxation to allow for the efficient identification of phases.</p>