On the Convergence Rates of Set Membership Estimation of Linear Systems with Disturbances Bounded by General Convex Sets

Abstract: This paper studies the uncertainty set estimation of system parameters of linear dynamical systems with bounded disturbances, which is motivated by robust (adaptive) constrained control. Departing from the confidence bounds of least square estimation from the machine-learning literature, this paper focuses on a method commonly used in (robust constrained) control literature: set membership estimation (SME). SME tends to enjoy better empirical performance than LSE's confidence bounds when the system disturbances are bounded. However, the theoretical guarantees of SME are not fully addressed even for i.i.d. bounded disturbances. In the literature, SME's convergence has been proved for general convex supports of the disturbances, but SME's convergence rate assumes a special type of disturbance support: $ \ell_\infty $ ball. The main contribution of this paper is relaxing the assumption on the disturbance support and establishing the convergence rates of SME for general convex supports, which closes the gap on the applicability of the convergence and convergence rates results. Numerical experiments on SME and LSE's confidence bounds are also provided for different disturbance supports.