558 research outputs found
Diffusion Maps Kalman Filter for a Class of Systems with Gradient Flows
In this paper, we propose a non-parametric method for state estimation of
high-dimensional nonlinear stochastic dynamical systems, which evolve according
to gradient flows with isotropic diffusion. We combine diffusion maps, a
manifold learning technique, with a linear Kalman filter and with concepts from
Koopman operator theory. More concretely, using diffusion maps, we construct
data-driven virtual state coordinates, which linearize the system model. Based
on these coordinates, we devise a data-driven framework for state estimation
using the Kalman filter. We demonstrate the strengths of our method with
respect to both parametric and non-parametric algorithms in three tracking
problems. In particular, applying the approach to actual recordings of
hippocampal neural activity in rodents directly yields a representation of the
position of the animals. We show that the proposed method outperforms competing
non-parametric algorithms in the examined stochastic problem formulations.
Additionally, we obtain results comparable to classical parametric algorithms,
which, in contrast to our method, are equipped with model knowledge.Comment: 15 pages, 12 figures, submitted to IEEE TS
Dynamic mode decomposition in vector-valued reproducing kernel Hilbert spaces for extracting dynamical structure among observables
Understanding nonlinear dynamical systems (NLDSs) is challenging in a variety
of engineering and scientific fields. Dynamic mode decomposition (DMD), which
is a numerical algorithm for the spectral analysis of Koopman operators, has
been attracting attention as a way of obtaining global modal descriptions of
NLDSs without requiring explicit prior knowledge. However, since existing DMD
algorithms are in principle formulated based on the concatenation of scalar
observables, it is not directly applicable to data with dependent structures
among observables, which take, for example, the form of a sequence of graphs.
In this paper, we formulate Koopman spectral analysis for NLDSs with structures
among observables and propose an estimation algorithm for this problem. This
method can extract and visualize the underlying low-dimensional global dynamics
of NLDSs with structures among observables from data, which can be useful in
understanding the underlying dynamics of such NLDSs. To this end, we first
formulate the problem of estimating spectra of the Koopman operator defined in
vector-valued reproducing kernel Hilbert spaces, and then develop an estimation
procedure for this problem by reformulating tensor-based DMD. As a special case
of our method, we propose the method named as Graph DMD, which is a numerical
algorithm for Koopman spectral analysis of graph dynamical systems, using a
sequence of adjacency matrices. We investigate the empirical performance of our
method by using synthetic and real-world data.Comment: 34 pages with 4 figures, Published in Neural Networks, 201
Enhancing Missing Data Imputation of Non-stationary Signals with Harmonic Decomposition
Dealing with time series with missing values, including those afflicted by
low quality or over-saturation, presents a significant signal processing
challenge. The task of recovering these missing values, known as imputation,
has led to the development of several algorithms. However, we have observed
that the efficacy of these algorithms tends to diminish when the time series
exhibit non-stationary oscillatory behavior. In this paper, we introduce a
novel algorithm, coined Harmonic Level Interpolation (HaLI), which enhances the
performance of existing imputation algorithms for oscillatory time series.
After running any chosen imputation algorithm, HaLI leverages the harmonic
decomposition based on the adaptive nonharmonic model of the initial imputation
to improve the imputation accuracy for oscillatory time series. Experimental
assessments conducted on synthetic and real signals consistently highlight that
HaLI enhances the performance of existing imputation algorithms. The algorithm
is made publicly available as a readily employable Matlab code for other
researchers to use
- …