Paper:
Learning Linear Dynamical Systems via Spectral Filtering
We present an efficient and practical algorithm for the online prediction of discrete-time linear dynamical systems with a symmetric transition matrix. We circumvent the non-convex optimization problem using improper learning: carefully overparameterize the class of LDSs by a polylogarithmic factor, in exchange for convexity of the loss functions. From this arises a polynomial-time algorithm with a near-optimal regret guarantee, with an analogous sample complexity bound for agnostic learning. Our algorithm is based on a novel filtering technique, which may be of independent interest: we convolve the time series with the eigenvectors of a certain Hankel matrix.

Review:
Linear dynamical systems are a mainstay of control theory. Unlike the empirical morass of work that underlies much of machine learning work, e.g. deep learning, where there is little theory, and an attempt to produce general solutions of unknown reliability and quality, control theorists wisely have chosen an alternative course of action, where they focused on a simple but highly effective linear model of dynamics, which can be analyzed extremely deeply. This led to the breakthrough work many decades ago of Kalman filters, without which the moon landing would have been impossible. 
This paper explores the problem of online learning (in the regret model) of dynamical systems, and improves upon previous work in this setting that was restricted to the single input single output (SISO) case [HMR 16]. Unlike that paper, the present work shows that regret bounded learning of an LDS is possible without making assumptions on the spectral structure (polynomially bounded eigengap), and signal source limitations. 
The key new idea is a convex relation of the original non-convex problem, which as the paper shows, is "the central driver" of their approach. The basic algorithm is a variant of the original projected gradient method of Zinkevich from 2003, The method is viewed as a online wave filtered regression method (Algorithm 1), where pieces of the dynamical system are learned over time and stitched together into an overall model. The paper shows that optimization over linear maps is appropriate convex relaxation of the original objective function,. 
The paper is well written and has an extensive theoretical analysis. It represents  a solid step forward in the learning of dynamical systems models, and should spur further work on more difficult cases. The convex relaxation trick might be useful in other settings as well. 
Some questions: 
1. Predictive state representations (PSRs) are widely used in reinforcement learning to model learning from partially observed states. Does your work have any bearing on the learnability of PSRs, a longstanding challenge in the field. 
2. There is quite a bit of work on kernelizing Kalman filters in various ways to obtain nonlinear dynamical systems. Does your approach extend to any of these extended models?
The approach is largely based on the simple projected gradient descent approach, but one wonders whether proximal gradient tricks that are so successful elsewhere (e.g, ADAGRAD, mirror prox etc.) would also be helpful here. In other words, can one exploit the geometry of the space to accelerate convergence?