PAC-Bayesian Bounds for Learning Partially Observed Stochastic Linear Time-Invariant State-Space Systems with Inputs and Sub-Gaussian Noise

Mihaly Petreczky, Mohamad Al Ahdab, John Leth

In this paper we derive a Probably Approximately Correct (PAC)-Bayesian error bound for partially observed linear time-invariant (LTI) stochastic dynamical systems in state-space f…