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arXiv 1811.07342cs.LGcs.AIstat.ML
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基于变换的多线性动力系统张量时间序列分析

Transform-Based Multilinear Dynamical System for Tensor Time Series Analysis

Xidian University(西安电子科技大学);Columbia University(哥伦比亚大学);Nokia-Bell Labs(诺基亚贝尔实验室)

Weijun Lu, Xiao-Yang Liu, Qingwei Wu, Yue Sun, Anwar Walid

摘要:

提出了一种新的变换域多线性动力系统(MLDS),命名为$\mathcal{L}$ -MLDS,用于张量时间序列的建模。通过对张量数据进行变换,建立了前切片之间的潜在多维相关性,从而导致变换域中的计算独立性。这使得多维问题可以精确分离为多个较小的LDS问题。为了估计系统参数,我们利用期望最大化(EM)算法来确定每个LDS的参数。此外,$\mathcal{L}$ -MLDS显著地减少了模型参数并且允许并行处理。我们的通用$\mathcal{L}$ -MLDS模型是基于不同的变换实现的:离散傅立叶变换,离散余弦变换和离散小波变换。由于这些变换的非线性,$\mathcal{L}$能够捕获数据内的非线性相关性,这与假设多路线性相关性的MLDS \cite{rogers2013multilinear}不同。使用四个真实的数据集,建议的$\mathcal{L}$ -MLDS显示,实现更高的预测精度比国家的最先进的MLDS和LDS具有相同数量的参数下不同的噪声模型。特别地,通过$50\% \sim 99\%$减小相对误差。同时,$\mathcal{L}$ -MLDS在模型的训练时间上比MLDS实现了指数级的改进。

英文摘要:

We propose a novel multilinear dynamical system (MLDS) in a transform domain, named $\mathcal{L}$-MLDS, to model tensor time series. With transformations applied to a tensor data, the latent multidimensional correlations among the frontal slices are built, and thus resulting in the computational independence in the transform domain. This allows the exact separability of the multi-dimensional problem into multiple smaller LDS problems. To estimate the system parameters, we utilize the expectation-maximization (EM) algorithm to determine the parameters of each LDS. Further, $\mathcal{L}$-MLDSs significantly reduce the model parameters and allows parallel processing. Our general $\mathcal{L}$-MLDS model is implemented based on different transforms: discrete Fourier transform, discrete cosine transform and discrete wavelet transform. Due to the nonlinearity of these transformations, $\mathcal{L}$-MLDS is able to capture the nonlinear correlations within the data unlike the MLDS \cite{rogers2013multilinear} which assumes multi-way linear correlations. Using four real datasets, the proposed $\mathcal{L}$-MLDS is shown to achieve much higher prediction accuracy than the state-of-the-art MLDS and LDS with an equal number of parameters under different noise models. In particular, the relative errors are reduced by $50\% \sim 99\%$. Simultaneously, $\mathcal{L}$-MLDS achieves an exponential improvement in the model's training time than MLDS.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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