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Spectral Filtering for General Linear Dynamical Systems

Elad Hazan
Holden Lee
Karan Singh
Cyril Zhang
Yi Zhang
NeurIPS (2018)


We give a polynomial-time algorithm for learning latent-state linear dynamical systems without system identification, and without assumptions on the spectral radius of the system's transition matrix. The algorithm extends the recently introduced technique of spectral filtering, previously applied only to systems with a symmetric transition matrix, using a novel convex relaxation to allow for the efficient identification of phases.

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