Manifold Learning With Contracting Observers for Data-Driven Time-Series Analysis

DOI10.1109/TSP.2016.2616334MaRDI QIDQ4620599zbMATH OpenFDO

Authors Tal Shnitzer, Ronen Talmon, Jean-Jacques Slotine

Publication date 8 February 2019

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1604.04492

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Abstract: Analyzing signals arising from dynamical systems typically requires many modeling assumptions and parameter estimation. In high dimensions, this modeling is particularly difficult due to the "curse of dimensionality". In this paper, we propose a method for building an intrinsic representation of such signals in a purely data-driven manner. First, we apply a manifold learning technique, diffusion maps, to learn the intrinsic model of the latent variables of the dynamical system, solely from the measurements. Second, we use concepts and tools from control theory and build a linear contracting observer to estimate the latent variables in a sequential manner from new incoming measurements. The effectiveness of the presented framework is demonstrated by applying it to a toy problem and to a music analysis application. In these examples we show that our method reveals the intrinsic variables of the analyzed dynamical systems.

Cited in

(5)

• Spatiotemporal analysis using Riemannian composition of diffusion operators
• Koopman operator spectrum for random dynamical systems
• Modeling Multivariate Time Series on Manifolds with Skew Radial Basis Functions
• Manifold learning for organizing unstructured sets of process observations
• A geometric heat-flow theory of Lagrangian coherent structures

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