Minimal Order Recovery through Rank-adaptive Identification

Abstract: This paper addresses the problem of identifying linear systems from noisy input-output trajectories. We introduce Thresholded Ho-Kalman, an algorithm that leverages a rank-adaptive procedure to estimate a Hankel-like matrix associated with the system. This approach optimally balances the trade-off between accurately inferring key singular values and minimizing approximation errors for the rest. We establish finite-sample Frobenius norm error bounds for the estimated Hankel matrix. Our algorithm further recovers both the system order and its Markov parameters, and we provide upper bounds for the sample complexity required to identify the system order and finite-time error bounds for estimating the Markov parameters. Interestingly, these bounds match those achieved by state-of-the-art algorithms that assume prior knowledge of the system order.