Towards Scalable Kernel-Based Regularized System Identification

This paper proposes a methodology for scalable kernel-based regularized system identification based on indirect methods. It leverages stochastic trace estimation methods and an iterative solver such as LSQR for the efficient evaluation of hyperparameter selection criteria. It also uses a derivative-free optimization approach to hyperparameter estimation, which avoids the need for computing gradients or Hessians of the objective function. Moreover, the method is matrix-free, which means it only relies on a matrix-vector oracle and exploits fast routines for various structured matrix-vector products. Our preliminary numerical experiments indicate that the methodologygy scales significantly better than direct methods, especially when dealing with large datasets and slowly decaying impulse responses.