PAC-Bayesian theory for stochastic LTI systems

Deividas Eringis, John Leth, Zheng-Hua Tan, Rafal Wisniewski, Alireza Fakhrizadeh Esfahani, Mihály Petreczky

Abstract: In this paper we derive a PAC-Bayesian error bound for autonomous stochastic LTI state-space models. The motivation for deriving such error bounds is that they will allow deriving similar error bounds for more general dynamical systems, including recurrent neural networks. In turn, PACBayesian error bounds are known to be useful for analyzing machine learning algorithms and for deriving new ones.