[2207.01062] Distributed Online System Identification for LTI Systems Using Reverse Experience Replay
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Computer Science > Machine Learning

arXiv:2207.01062 (cs)
[Submitted on 3 Jul 2022 (v1), last revised 15 Sep 2022 (this version, v2)]

Title:Distributed Online System Identification for LTI Systems Using Reverse Experience Replay

Authors:Ting-Jui Chang, Shahin Shahrampour
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Abstract:Identification of linear time-invariant (LTI) systems plays an important role in control and reinforcement learning. Both asymptotic and finite-time offline system identification are well-studied in the literature. For online system identification, the idea of stochastic-gradient descent with reverse experience replay (SGD-RER) was recently proposed, where the data sequence is stored in several buffers and the stochastic-gradient descent (SGD) update performs backward in each buffer to break the time dependency between data points. Inspired by this work, we study distributed online system identification of LTI systems over a multi-agent network. We consider agents as identical LTI systems, and the network goal is to jointly estimate the system parameters by leveraging the communication between agents. We propose DSGD-RER, a distributed variant of the SGD-RER algorithm, and theoretically characterize the improvement of the estimation error with respect to the network size. Our numerical experiments certify the reduction of estimation error as the network size grows.
Subjects: Machine Learning (cs.LG); Systems and Control (eess.SY); Optimization and Control (math.OC); Machine Learning (stat.ML)
Cite as: arXiv:2207.01062 [cs.LG]
  (or arXiv:2207.01062v2 [cs.LG] for this version)
  https://doi.org/10.48550/arXiv.2207.01062

Submission history

From: Ting-Jui Chang [view email]
[v1] Sun, 3 Jul 2022 15:03:38 UTC (972 KB)
[v2] Thu, 15 Sep 2022 14:16:42 UTC (974 KB)
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