Stable Takens' Embeddings for Linear Dynamical Systems
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Publication:4573243
DOI10.1109/TSP.2011.2160629zbMATH Open1392.94545arXiv1010.5938OpenAlexW2080551443MaRDI QIDQ4573243FDOQ4573243
Authors: Han Lun Yap, Christopher J. Rozell 
Publication date: 18 July 2018
Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)
Abstract: Takens' Embedding Theorem remarkably established that concatenating M previous outputs of a dynamical system into a vector (called a delay coordinate map) can be a one-to-one mapping of a low-dimensional attractor from the system state space. However, Takens' theorem is fragile in the sense that even small imperfections can induce arbitrarily large errors in this attractor representation. We extend Takens' result to establish deterministic, explicit and non-asymptotic sufficient conditions for a delay coordinate map to form a stable embedding in the restricted case of linear dynamical systems and observation functions. Our work is inspired by the field of Compressive Sensing (CS), where results guarantee that low-dimensional signal families can be robustly reconstructed if they are stably embedded by a measurement operator. However, in contrast to typical CS results, i) our sufficient conditions are independent of the size of the ambient state space, and ii) some system and measurement pairs have fundamental limits on the conditioning of the embedding (i.e., how close it is to an isometry), meaning that further measurements beyond some point add no further significant value. We use several simple simulations to explore the conditions of the main results, including the tightness of the bounds and the convergence speed of the stable embedding. We also present an example task of estimating the attractor dimension from time-series data to highlight the value of stable embeddings over traditional Takens' embeddings.
Full work available at URL: https://arxiv.org/abs/1010.5938
Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Attractors of solutions to ordinary differential equations (34D45) Applications of dynamical systems (37N99)
Cited In (5)
- Takens embedding theorems for forced and stochastic systems
- The restricted isometry property for random block diagonal matrices
- Hierarchical analysis of Chinese financial market based on manifold structure
- Nonlinear manifold learning for early warnings in financial markets
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