相关论文: Pulling Back Theorem for Generalizing the Diagonal…
The symplectic geometry mode decomposition (SGMD) is a powerful method for decomposing time series, which is based on the diagonal averaging principle (DAP) inherited from the singular spectrum analysis (SSA). Although the authors of SGMD…
The stochastic mirror descent (SMD) algorithm is a general class of training algorithms, which includes the celebrated stochastic gradient descent (SGD), as a special case. It utilizes a mirror potential to influence the implicit bias of…
A generalisation of Takens' delay-coordinate embedding theorem to stochastic systems, the Stochastic Embedding Sufficiency Theorem, is an inverse methodology enabling non-parametric recovery of both drift and diffusion fields from scalar…
This paper develops a closed-form spectral decomposition framework for the Gramian matrices of discrete-time linear dynamical systems. The main results provide explicit decompositions of the discrete-time controllability Gramian and its…
In the analysis of complex, nonlinear time series, scientists in a variety of disciplines have relied on a time delayed embedding of their data, i.e. attractor reconstruction. The process has focused primarily on heuristic and empirical…
Dynamic Mode Decomposition (DMD) is a data-driven decomposition technique extracting spatio-temporal patterns of time-dependent phenomena. In this paper, we perform a comprehensive theoretical analysis of various variants of DMD. We provide…
Dynamic mode decomposition (DMD) is a leading tool for equation-free analysis of high-dimensional dynamical systems from observations. In this work, we focus on a combination of delay-coordinates embedding and DMD, i.e., delay-coordinates…
Stochastic gradient descent (SGD) performed in an asynchronous manner plays a crucial role in training large-scale machine learning models. However, the generalization performance of asynchronous delayed SGD, which is an essential metric…
Seasonal time series exhibit intricate long-term dependencies, posing a significant challenge for accurate future prediction. This paper introduces the Multi-scale Seasonal Decomposition Model (MSSD) for seasonal time-series forecasting.…
Stochastic gradient descent (SGD) is a popular algorithm for minimizing objective functions that arise in machine learning. For constant step-sized SGD, the iterates form a Markov chain on a general state space. Focusing on a class of…
Spectral embedding based on the Singular Value Decomposition (SVD) is a widely used "preprocessing" step in many learning tasks, typically leading to dimensionality reduction by projecting onto a number of dominant singular vectors and…
Stochastic gradient descent (SGD) is a promising numerical method for solving large-scale inverse problems. However, its theoretical properties remain largely underexplored in the lens of classical regularization theory. In this note, we…
Signal decomposition and multiscale signal analysis provide many useful tools for time-frequency analysis. We proposed a random feature method for analyzing time-series data by constructing a sparse approximation to the spectrogram. The…
Stochastic gradient descent in continuous time (SGDCT) provides a computationally efficient method for the statistical learning of continuous-time models, which are widely used in science, engineering, and finance. The SGDCT algorithm…
Mirror descent (MD) is a powerful first-order optimization technique that subsumes several optimization algorithms including gradient descent (GD). In this work, we develop a semi-definite programming (SDP) framework to analyze the…
The Dynamic-Mode Decomposition (DMD) is a well established data-driven method of finding temporally evolving linear-mode decompositions of nonlinear time series. Traditionally, this method presumes that all relevant dimensions are sampled…
Sequential or online dimensional reduction is of interests due to the explosion of streaming data based applications and the requirement of adaptive statistical modeling, in many emerging fields, such as the modeling of energy end-use…
This paper introduces a data-driven time embedding method for modeling long-range seasonal dependencies in spatiotemporal forecasting tasks. The proposed approach employs Dynamic Mode Decomposition (DMD) to extract temporal modes directly…
Delay-coordinates dynamic mode decomposition (DC-DMD) is widely used to extract coherent spatiotemporal modes from high-dimensional time series. A central challenge is distinguishing dynamically meaningful modes from spurious modes induced…
Stochastic gradient descent in continuous time (SGDCT) provides a computationally efficient method for the statistical learning of continuous-time models, which are widely used in science, engineering, and finance. The SGDCT algorithm…