On Adaptive Boosting for System Identification

In the field of machine learning, the algorithm Adaptive Boosting has been successfully applied to a wide range of regression and classification problems. However, to the best of the authors' knowledge, the use of this algorithm to estimate dynamical systems has not been exploited. In this brief, we explore the connection between Adaptive Boosting and system identification, and give examples of an identification method that makes use of this connection. We prove that the resulting estimate converges to the true underlying system for an output-error model structure under reasonable assumptions in the large sample limit and derive a bound of the model mismatch for the noise-free case.