High Dimensional Geometry and Limitations in System Identification (2305.12083v1)

Abstract: We study the problem of identification of linear dynamical system from a single trajectory, via excitations of isotropic Gaussian. In stark contrast with previously reported results, Ordinary Least Squares (OLS) estimator for even \emph{stable} dynamical system contains non-vanishing error in \emph{high dimensions}; which stems from the fact that realizations of non-diagonalizable dynamics can have strong \emph{spatial correlations} and a variance, of order $O(e^{n})$, where $n$ is the dimension of the underlying state space. Employing \emph{concentration of measure phenomenon}, in particular tensorization of \emph{Talagrands inequality} for random dynamical systems we show that observed trajectory of dynamical system of length-$N$ can have a variance of order $O(e^{nN})$. Consequently, showing some or most of the $n$ distances between an $N-$ dimensional random vector and an $(n-1)$ dimensional hyperplane in $\mathbb{R}^{N}$ can be close to zero with positive probability and these estimates become stronger in high dimensions and more iterations via \emph{Isoperimetry}. \emph{Negative second moment identity}, along with distance estimates give a control on all the singular values of \emph{Random matrix} of data, revealing limitations of OLS for stable non-diagonalizable and explosive diagonalizable systems.