Optimal embedding parameters: A modelling paradigm

Reconstruction of a dynamical system from a time series requires the selection of two parameters, the embedding dimension $d_e$ and the embedding lag $\tau$. Many competing criteria to select these parameters exist, and all are heuristic. Within the context of modeling the evolution operator of the underlying dynamical system, we show that one only need be concerned with the product $d_e\tau$. We introduce an information theoretic criteria for the optimal selection of the embedding window $d_w=d_e\tau$. For infinitely long time series this method is equivalent to selecting the embedding lag that minimises the nonlinear model prediction error. For short and noisy time series we find that the results of this new algorithm are data dependent and superior to estimation of embedding parameters with the standard techniques

Reconstructing dynamical networks via feature ranking

Empirical data on real complex systems are becoming increasingly available. Parallel to this is the need for new methods of reconstructing (inferring) the topology of networks from time-resolved observations of their node-dynamics. The methods based on physical insights often rely on strong assumptions about the properties and dynamics of the scrutinized network. Here, we use the insights from machine learning to design a new method of network reconstruction that essentially makes no such assumptions. Specifically, we interpret the available trajectories (data) as features, and use two independent feature ranking approaches -- Random forest and RReliefF -- to rank the importance of each node for predicting the value of each other node, which yields the reconstructed adjacency matrix. We show that our method is fairly robust to coupling strength, system size, trajectory length and noise. We also find that the reconstruction quality strongly depends on the dynamical regime

Nonlinear time-series analysis revisited

In 1980 and 1981, two pioneering papers laid the foundation for what became known as nonlinear time-series analysis: the analysis of observed data---typically univariate---via dynamical systems theory. Based on the concept of state-space reconstruction, this set of methods allows us to compute characteristic quantities such as Lyapunov exponents and fractal dimensions, to predict the future course of the time series, and even to reconstruct the equations of motion in some cases. In practice, however, there are a number of issues that restrict the power of this approach: whether the signal accurately and thoroughly samples the dynamics, for instance, and whether it contains noise. Moreover, the numerical algorithms that we use to instantiate these ideas are not perfect; they involve approximations, scale parameters, and finite-precision arithmetic, among other things. Even so, nonlinear time-series analysis has been used to great advantage on thousands of real and synthetic data sets from a wide variety of systems ranging from roulette wheels to lasers to the human heart. Even in cases where the data do not meet the mathematical or algorithmic requirements to assure full topological conjugacy, the results of nonlinear time-series analysis can be helpful in understanding, characterizing, and predicting dynamical systems

Sensor Based on Extending the Concept of Fidelity to Classical Waves

We propose and demonstrate a remote sensor scheme by applying the quantum mechanical concept of fidelity loss to classical waves. The sensor makes explicit use of time-reversal invariance and spatial reciprocity in a wave chaotic system to sensitively and remotely measure the presence of small perturbations. The loss of fidelity is measured through a classical wave-analog of the Loschmidt echo by employing a single-channel time-reversal mirror to rebroadcast a probe signal into the perturbed system. We also introduce the use of exponential amplification of the probe signal to partially overcome the effects of propagation losses and to vary the sensitivity.Comment: 4 pages, 2 figure