19,499 research outputs found
Nonlinear model order reduction via Dynamic Mode Decomposition
We propose a new technique for obtaining reduced order models for nonlinear
dynamical systems. Specifically, we advocate the use of the recently developed
Dynamic Mode Decomposition (DMD), an equation-free method, to approximate the
nonlinear term. DMD is a spatio-temporal matrix decomposition of a data matrix
that correlates spatial features while simultaneously associating the activity
with periodic temporal behavior. With this decomposition, one can obtain a
fully reduced dimensional surrogate model and avoid the evaluation of the
nonlinear term in the online stage. This allows for an impressive speed up of
the computational cost, and, at the same time, accurate approximations of the
problem. We present a suite of numerical tests to illustrate our approach and
to show the effectiveness of the method in comparison to existing approaches
Optimal projection of observations in a Bayesian setting
Optimal dimensionality reduction methods are proposed for the Bayesian
inference of a Gaussian linear model with additive noise in presence of
overabundant data. Three different optimal projections of the observations are
proposed based on information theory: the projection that minimizes the
Kullback-Leibler divergence between the posterior distributions of the original
and the projected models, the one that minimizes the expected Kullback-Leibler
divergence between the same distributions, and the one that maximizes the
mutual information between the parameter of interest and the projected
observations. The first two optimization problems are formulated as the
determination of an optimal subspace and therefore the solution is computed
using Riemannian optimization algorithms on the Grassmann manifold. Regarding
the maximization of the mutual information, it is shown that there exists an
optimal subspace that minimizes the entropy of the posterior distribution of
the reduced model; a basis of the subspace can be computed as the solution to a
generalized eigenvalue problem; an a priori error estimate on the mutual
information is available for this particular solution; and that the
dimensionality of the subspace to exactly conserve the mutual information
between the input and the output of the models is less than the number of
parameters to be inferred. Numerical applications to linear and nonlinear
models are used to assess the efficiency of the proposed approaches, and to
highlight their advantages compared to standard approaches based on the
principal component analysis of the observations
Forecasting of commercial sales with large scale Gaussian Processes
This paper argues that there has not been enough discussion in the field of
applications of Gaussian Process for the fast moving consumer goods industry.
Yet, this technique can be important as it e.g., can provide automatic feature
relevance determination and the posterior mean can unlock insights on the data.
Significant challenges are the large size and high dimensionality of commercial
data at a point of sale. The study reviews approaches in the Gaussian Processes
modeling for large data sets, evaluates their performance on commercial sales
and shows value of this type of models as a decision-making tool for
management.Comment: 1o pages, 5 figure
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