Learning and Concentration for High Dimensional Linear Gaussians: an Invariant Subspace Approach

In this work, we study non-asymptotic bounds on correlation between two time realizations of stable linear systems with isotropic Gaussian noise. Consequently, via sampling from a sub-trajectory and using Talagrands' inequality, we show that empirical averages of reward concentrate around steady state (dynamical system mixes to when closed loop system is stable under linear feedback policy ) reward , with high-probability. As opposed to common belief of larger the spectral radius stronger the correlation between samples, large discrepancy between algebraic and geometric multiplicity of system eigenvalues leads to large invariant subspaces related to system-transition matrix; once the system enters the large invariant subspace it will travel away from origin for a while before coming close to a unit ball centered at origin where an isotropic Gaussian noise can with high probability allow it to escape the current invariant subspace it resides in, leading to bottlenecks between different invariant subspaces that span ℝn, to be precise : system initiated in a large invariant subspace will be stuck there for a long-time: log-linear in dimension of the invariant subspace and inversely to log of inverse of magnitude of the eigenvalue. In the problem of Ordinary Least Squares estimate of system transition matrix via a single trajectory, this phenomenon is even more evident if spectrum of transition matrix associated to large invariant subspace is explosive and small invariant subspaces correspond to stable eigenvalues. Our analysis provide first interpretable and geometric explanation into intricacies of learning and concentration for random dynamical systems on continuous, high dimensional state space; exposing us to surprises in high dimensions