Collaborative research: Leveraging low-dimensional structure for time series analysis and prediction

合作研究：利用低维结构进行时间序列分析和预测

• 批准号: 0830456
• 负责人: Christopher Rozell
• 金额: $ 20.82万
• 依托单位: Georgia Tech Research Corporation
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2008
• 资助国家: 美国
• 起止时间: 2008-09-01 至 2013-08-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0830456&HistoricalAwards=false
• 关键词: Collaborative; research; Leveraging; low; dimensional

Title: Collaborative Research: Leveraging Low-dimensional Structure for Time Series Analysis and PredictionPI: Christopher J. Rozell, Georgia Institute of Technologyco-PI: Michael B. Wakin, University of Michigan, Ann ArborPredicting the behavior of complex systems is central to many tasks of great scientific and national importance, including arenas such as meteorology, financial markets and global conflict. Modern science is ingrained with the premise that repeated observations of a dynamic phenomenon can help in understanding its driving mechanisms and predicting its future behavior. The investigators study methods for improving our ability to characterize and predict such systems even when they are very large (i.e., with many interacting factors) or appear highly unordered (i.e., chaotic systems). This research leverages new mathematical results that enable analysts to efficiently capture the simple structure that is often present even in systems that appear very complex. These results lead to improvements and performance guarantees for heuristic prediction methods based on artificial neural networks, which are often used in practice but can sometimes fail inexplicably.Time series prediction is often approached by postulating a structured model for a hidden system driving data generation. This project borrows from recent advances in low-dimensional signal modeling to advance the state of the art in time series analysis and prediction tools when similar low-dimensional structure is present. For linear systems, this research develops efficient estimation strategies that improve upon classical techniques by encouraging sparse solutions. For nonlinear models, this project builds upon Takens' Embedding Theorem, which states that the image of an attractor manifold can be reconstructed using a sequence of time series observations, to guarantee a quantifiably stable embedding of the attractor manifold. Furthermore, this research aims to improve upon and make performance guarantees for reservoir computing methods, where randomly-connected neural networks have been identified as effective mechanisms for predicting chaotic time series.

职务名称：合作研究：利用低维结构进行时间序列分析和预测PI：Christopher J. Rozell，格鲁吉亚理工学院-PI：Michael B。预测复杂系统的行为是许多具有重大科学和国家重要性的任务的核心，包括气象学，金融市场和全球冲突等领域。现代科学根深蒂固的前提是，对动态现象的重复观察可以帮助理解其驱动机制并预测其未来行为。 研究人员研究的方法，以提高我们的能力，表征和预测这样的系统，即使他们是非常大的（即，具有许多相互作用的因素）或显得高度无序（即，混沌系统）。 这项研究利用了新的数学结果，使分析师能够有效地捕捉简单的结构，即使在看起来非常复杂的系统中也经常存在。 这些结果导致改进和性能保证的启发式预测方法的基础上，人工神经网络，这是经常在实践中使用，但有时可能会失败莫名其妙。时间序列预测往往接近假设一个结构化的模型驱动数据生成的隐藏系统。 该项目借鉴了低维信号建模的最新进展，在存在类似低维结构的情况下，推进了时间序列分析和预测工具的最新发展。对于线性系统，本研究开发了有效的估计策略，通过鼓励稀疏解来改进经典技术。对于非线性模型，该项目建立在Takens嵌入定理的基础上，该定理指出，吸引子流形的图像可以使用一系列时间序列观测来重建，以保证吸引子流形的量化稳定嵌入。此外，这项研究的目的是改进和性能保证水库计算方法，其中随机连接的神经网络已被确定为预测混沌时间序列的有效机制。