Online Learning for Nonlinear Dynamical Systems without the I.I.D. Condition

Abstract: This paper investigates online identification and prediction for nonlinear stochastic dynamical systems. In contrast to offline learning methods, we develop online algorithms that learn unknown parameters from a single trajectory. A key challenge in this setting is handling the non-independent data generated by the closed-loop system. Existing theoretical guarantees for such systems are mostly restricted to the assumption that inputs are independently and identically distributed (i.i.d.), or that the closed-loop data satisfy a persistent excitation (PE) condition. However, these assumptions are often violated in applications such as adaptive feedback control. In this paper, we propose an online projected Newton-type algorithm for parameter estimation in nonlinear stochastic dynamical systems, and develop an online predictor for system outputs based on online parameter estimates. By using both the stochastic Lyapunov function and martingale estimation methods, we demonstrate that the average regret converges to zero without requiring traditional persistent excitation (PE) conditions. Furthermore, we establish a novel excitation condition that ensures global convergence of the online parameter estimates. The proposed excitation condition is applicable to a broader class of system trajectories, including those violating the PE condition.