arXiv subjects

Elizabeth Bradley

Publications and source records attributed to Elizabeth Bradley.

29 records · Page 2Linked to original sources

arXiv2015

A new method for choosing parameters in delay reconstruction-based forecast strategies

Delay-coordinate reconstruction is a proven modeling strategy for building effective forecasts of nonlinear time series. The first step in this process is the estimation of good values for two parameters, the time delay and the embedding dimension. Many heuristics and strategies have been proposed in the literature for estimating these values. Few, if any, of these methods were developed with forecasting in mind, however, and their results are not optimal for that purpose. Even so, these heuristics---intended for other applications---are routinely used when building delay coordinate reconstruction-based forecast models. In this paper, we propose a new strategy for choosing optimal parameter values for forecast methods that are based on delay-coordinate reconstructions. The basic calculation involves maximizing the shared information between each delay vector and the future state of the system. We illustrate the effectiveness of this method on several synthetic and experimental systems, showing that this metric can be calculated quickly and reliably from a relatively short time series, and that it provides a direct indication of how well a near-neighbor based forecasting method will work on a given delay reconstruction of that time series. This allows a practitioner to choose reconstruction parameters that avoid any pathologies, regardless of the underlying mechanism, and maximize the predictive information contained in the reconstruction.

cs.IT↗

arXiv2015

Exploring the Topology of Dynamical Reconstructions

Computing the state-space topology of a dynamical system from scalar data requires accurate reconstruction of those dynamics and construction of an appropriate simplicial complex from the results. The reconstruction process involves a number of free parameters and the computation of homology for a large number of simplices can be expensive. This paper is a study of how to avoid a full (diffeomorphic) reconstruction and how to decrease the computational burden. Using trajectories from the classic Lorenz system, we reconstruct the dynamics using the method of delays, then build a parsimonious simplicial complex---the "witness complex"---to compute its homology. Surprisingly, we find that the witness complex correctly resolves the homology of the underlying invariant set from noisy samples of that set even if the reconstruction dimension is well below the thresholds specified in the embedding theorems for assuring topological conjugacy between the true and reconstructed dynamics. We conjecture that this is because the requirements for reconstructing homology, are less stringent than those in the embedding theorems. In particular, to faithfully reconstruct the homology, a homeomorphism is sufficient---as opposed to a diffeomorphism, as is necessary for the full dynamics. We provide preliminary evidence that a homeomorphism, in the form of a delay-coordinate reconstruction map, may manifest at a lower dimension than that required to achieve an embedding.

math.DS↗

arXiv2015

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.

nlin.CD↗

arXiv2015

Prediction in Projection

Prediction models that capture and use the structure of state-space dynamics can be very effective. In practice, however, one rarely has access to full information about that structure, and accurate reconstruction of the dynamics from scalar time-series data---e.g., via delay-coordinate embedding---can be a real challenge. In this paper, we show that forecast models that employ incomplete embeddings of the dynamics can produce surprisingly accurate predictions of the state of a dynamical system. In particular, we demonstrate the effectiveness of a simple near-neighbor forecast technique that works with a two-dimensional embedding. Even though correctness of the topology is not guaranteed for incomplete reconstructions like this, the dynamical structure that they capture allows for accurate predictions---in many cases, even more accurate than predictions generated using a full embedding. This could be very useful in the context of real-time forecasting, where the human effort required to produce a correct delay-coordinate embedding is prohibitive.

nlin.CD↗

arXiv2015

Simplicial Multivalued Maps and the Witness Complex for Dynamical Analysis of Time Series

Topology based analysis of time-series data from dynamical systems is powerful: it potentially allows for computer-based proofs of the existence of various classes of regular and chaotic invariant sets for high-dimensional dynamics. Standard methods are based on a cubical discretization of the dynamics and use the time series to construct an outer approximation of the underlying dynamical system. The resulting multivalued map can be used to compute the Conley index of isolated invariant sets of cubes. In this paper we introduce a discretization that uses instead a simplicial complex constructed from a witness-landmark relationship. The goal is to obtain a natural discretization that is more tightly connected with the invariant density of the time series itself. The time-ordering of the data also directly leads to a map on this simplicial complex that we call the witness map. We obtain conditions under which this witness map gives an outer approximation of the dynamics, and thus can be used to compute the Conley index of isolated invariant sets. The method is illustrated by a simple example using data from the classical Hénon map.

nlin.CD↗

arXiv2014

Model-free quantification of time-series predictability

This paper provides insight into when, why, and how forecast strategies fail when they are applied to complicated time series. We conjecture that the inherent complexity of real-world time-series data---which results from the dimension, nonlinearity, and non-stationarity of the generating process, as well as from measurement issues like noise, aggregation, and finite data length---is both empirically quantifiable and directly correlated with predictability. In particular, we argue that redundancy is an effective way to measure complexity and predictive structure in an experimental time series and that weighted permutation entropy is an effective way to estimate that redundancy. To validate these conjectures, we study 120 different time-series data sets. For each time series, we construct predictions using a wide variety of forecast models, then compare the accuracy of the predictions with the permutation entropy of that time series. We use the results to develop a model-free heuristic that can help practitioners recognize when a particular prediction method is not well matched to the task at hand: that is, when the time series has more predictive structure than that method can capture and exploit.

cs.IT↗

arXiv2014

On the importance of nonlinear modeling in computer performance prediction

Computers are nonlinear dynamical systems that exhibit complex and sometimes even chaotic behavior. The models used in the computer systems community, however, are linear. This paper is an exploration of that disconnect: when linear models are adequate for predicting computer performance and when they are not. Specifically, we build linear and nonlinear models of the processor load of an Intel i7-based computer as it executes a range of different programs. We then use those models to predict the processor loads forward in time and compare those forecasts to the true continuations of the time series

nlin.CD↗

arXiv2013

Nonlinear dynamics of running: Speed, stability, symmetry and the effects of leg amputations

In this paper, we study dynamic stability during running, focusing on the effects of speed and the use of a leg prosthesis. We compute and compare the maximal Lyapunov exponents of kinematic time-series data from subjects with and without unilateral transtibial amputations running at a wide range of speeds. We find that the dynamics of the affected leg with the running-specific prosthesis are less stable than the dynamics of the unaffected leg, and also less stable than the biological legs of the non-amputee runners. Surprisingly, we find that the center-of-mass dynamics of runners with two intact biological legs are slightly less stable than those of runners with amputations. Our results suggest that while leg asymmetries may be associated with instability, runners may compensate for this effect by increased control of their center-of-mass dynamics.

nlin.CD↗

arXiv2013

Determinism, Complexity, and Predictability in Computer Performance

Computers are deterministic dynamical systems (CHAOS 19:033124, 2009). Among other things, that implies that one should be able to use deterministic forecast rules to predict their behavior. That statement is sometimes-but not always-true. The memory and processor loads of some simple programs are easy to predict, for example, but those of more-complex programs like compilers are not. The goal of this paper is to determine why that is the case. We conjecture that, in practice, complexity can effectively overwhelm the predictive power of deterministic forecast models. To explore that, we build models of a number of performance traces from different programs running on different Intel-based computers. We then calculate the permutation entropy-a temporal entropy metric that uses ordinal analysis-of those traces and correlate those values against the prediction success

nlin.CD↗

arXiv2011

Iterated Function System Models in Data Analysis: Detection and Separation

We investigate the use of iterated function system (IFS) models for data analysis. An IFS is a discrete dynamical system in which each time step corresponds to the application of one of a finite collection of maps. The maps, which represent distinct dynamical regimes, may act in some pre-determined sequence or may be applied in random order. An algorithm is developed to detect the sequence of regime switches under the assumption of continuity. This method is tested on a simple IFS and applied to an experimental computer performance data set. This methodology has a wide range of potential uses: from change-point detection in time-series data to the field of digital communications.

math.DS↗

arXiv2011

Strange Beta: An Assistance System for Indoor Rock Climbing Route Setting Using Chaotic Variations and Machine Learning

This paper applies machine learning and the mathematics of chaos to the task of designing indoor rock-climbing routes. Chaotic variation has been used to great advantage on music and dance, but the challenges here are quite different, beginning with the representation. We present a formalized system for transcribing rock climbing problems, then describe a variation generator that is designed to support human route-setters in designing new and interesting climbing problems. This variation generator, termed Strange Beta, combines chaos and machine learning, using the former to introduce novelty and the latter to smooth transitions in a manner that is consistent with the style of the climbs This entails parsing the domain-specific natural language that rock climbers use to describe routes and movement and then learning the patterns in the results. We validated this approach with a pilot study in a small university rock climbing gym, followed by a large blinded study in a commercial climbing gym, in cooperation with experienced climbers and expert route setters. The results show that {\sc Strange Beta} can help a human setter produce routes that are at least as good as, and in some cases better than, those produced in the traditional manner.

cs.AI↗