On Sample Complexity Bounds for Frequency-Domain System Identification

Overview & Synopsis

We study the sample complexity of frequency-domain system identification with bounded measurement noise. We focus on interpolatory identification algorithms, which return models consistent with both the data and a priori constraints. For equally spaced samples, we sharpen previous worst-case bounds on the consistency-set radius. Its excess above the noise level decays as $N^{-2}$, where $N$ is the number of samples, and a matching lower bound shows that this rate is tight. We then examine whether bounded stochastic noise allows identification below the noise level. We show that high-probability error bounds can converge to zero. Their convergence rate depends on how strongly the noise distribution is concentrated near the boundary of the noise set. For example, noise uniformly distributed on a disk gives an upper bound of order $(\log N/N)^{2/3}$. Numerical experiments examine these convergence rates and the effect of the noise distribution on the identification error.