Consistency and Rate of Convergence of Switched Least Squares System Identification for Autonomous Switched Linear Systems
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In this paper, we investigate the problem of system identification for autonomous switched linear systems with complete state observations. We propose switched least squares method for the identification for switched linear systems, show that this method is strongly consistent, and derive data-dependent and data-independent rates of convergence. In particular, our data-dependent rate of convergence shows that, almost surely, the system identification error is 𝒪(√(log(T)/T)) where T is the time horizon. These results show that our method for switched linear systems has the same rate of convergence as least squares method for non-switched linear systems. We compare our results with those in the literature. We present numerical examples to illustrate the performance of the proposed system identification method.
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