The shortest experiment for linear system identification

Abstract

In this paper we study the following problem: given an upper bound of the state-space dimension and lag on a linear time-invariant system, design a sequence of inputs so that the system dynamics can be recovered from the resulting input–output data. As our main result we propose a new online experiment design method, meaning that the selection of the inputs is iterative and guided by past data samples. We show that this approach leads to the shortest possible experiments for linear system identification. In terms of sample complexity, the proposed method outperforms offline methods based on persistency of excitation as well as existing online experiment design methods.