Estimate the spectrum of affine dynamical systems from partial observations of a single trajectory data

DOI10.1088/1361-6420/AC37FBzbMATH Open1479.94087arXiv2105.02945OpenAlexW3212231661MaRDI QIDQ5014487FDOQ5014487

Authors: Jiahui Cheng, Sui Tang 

Publication date: 8 December 2021

Published in: Inverse Problems (Search for Journal in Brave)

Abstract: In this paper, we study the nonlinear inverse problem of estimating the spectrum of a system matrix, that drives a finite-dimensional affine dynamical system, from partial observations of a single trajectory data. In the noiseless case, we prove an annihilating polynomial of the system matrix, whose roots are a subset of the spectrum, can be uniquely determined from data. We then study which eigenvalues of the system matrix can be recovered and derive various sufficient and necessary conditions to characterize the relationship between the recoverability of each eigenvalue and the observation locations. We propose various reconstruction algorithms, with theoretical guarantees, generalizing the classical Prony method, ESPIRIT, and matrix pencil method. We test the algorithms over a variety of examples with applications to graph signal processing, disease modeling and a real-human motion dataset. The numerical results validate our theoretical results and demonstrate the effectiveness of the proposed algorithms, even when the data did not follow an exact linear dynamical system.

Full work available at URL: https://arxiv.org/abs/2105.02945

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zbMATH Keywords

matrix pencilpartial observationspectrum estimationESPRIT methodprony methodaffine linear system

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Inverse problems for PDEs (35R30) General harmonic expansions, frames (42C15) System identification (93B30) Summability and bases; functional analytic aspects of frames in Banach and Hilbert spaces (46B15) Sampling theory in information and communication theory (94A20)

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Cited In (2)

• Error analysis on the initial state reconstruction problem
• Frames by orbits of two operators that commute

Uses Software

• GSPBOX

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