  In this paper, we derive a PAC-Bayes bound on the generalisation gap, in a
supervised time-series setting for a special class of discrete-time non-linear
dynamical systems. This class includes stable recurrent neural networks (RNN),
and the motivation for this work was its application to RNNs. In order to
achieve the results, we impose some stability constraints, on the allowed
models. Here, stability is understood in the sense of dynamical systems. For
RNNs, these stability conditions can be expressed in terms of conditions on the
weights. We assume the processes involved are essentially bounded and the loss
functions are Lipschitz. The proposed bound on the generalisation gap depends
on the mixing coefficient of the data distribution, and the essential supremum
of the data. Furthermore, the bound converges to zero as the dataset size
increases. In this paper, we 1) formalize the learning problem, 2) derive a
PAC-Bayesian error bound for such systems, 3) discuss various consequences of
this error bound, and 4) show an illustrative example, with discussions on
computing the proposed bound. Unlike other available bounds the derived bound
holds for non i.i.d. data (time-series) and it does not grow with the number of
steps of the RNN.
