Mihaly Petreczky

PAC-Bayesian Error Bound, via Rényi Divergence, for a Class of Linear Time-Invariant State-Space Models

In this paper we derive a PAC-Bayesian error bound for a class of stochastic dynamical systems with inputs, namely, for linear time-invariant stochastic state-space models (stochastic LTI systems for short). This class of systems is widely used in control engineering and econometrics, in particular,…