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cs.LG2025
Logarithmic Regret and Polynomial Scaling in Online Multi-step-ahead Prediction
Jiachen Qian, Yang Zheng
This letter studies the problem of online multi-step-ahead prediction for unknown linear stochastic systems. Using conditional distribution theory, we derive an optimal parameteriz…
cs.LG2025
Model-free Online Learning for the Kalman Filter: Forgetting Factor and Logarithmic Regret
Jiachen Qian, Yang Zheng
We consider the problem of online prediction for an unknown, non-explosive linear stochastic system. With a known system model, the optimal predictor is the celebrated Kalman filte…