This code accompanies the paper Improved rates for prediction and identification for partially observed linear dynamical systems.
The code runs with Julia v1.5.3.
To reproduce the graphs in the paper and see a printout of the errors, either run sys-id.jl
include("sys-id.jl")
or the iJulia notebook sys-id.ipynb.
Dependencies will be automatically installed. Dependencies are Plots, Distributions, and RandomMatrices.