Learning nonlinear dynamical systems from a single trajectory

Dylan J. Foster, Alexander Rakhlin, Tuhin Sarkar

We introduce algorithms for learning nonlinear dynamical systems of the form $x_{t+1}=\sigma ({\Theta }^{\star }{x}_t)+{\epsilon }_t$, where ${\Theta }^{\star }$ is a weight matrix, $\sigma$ is a nonlinear link…