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arXiv 1908.01039cs.LGstat.ML

Linear Dynamics: Clustering without identification

University of California, Berkeley(加利福尼亚大学伯克利分校);Amazon(亚马逊)

Chloe Ching-Yun Hsu, Michaela Hardt, Moritz Hardt

英文摘要:

Linear dynamical systems are a fundamental and powerful parametric model class. However, identifying the parameters of a linear dynamical system is a venerable task, permitting provably efficient solutions only in special cases. This work shows that the eigenspectrum of unknown linear dynamics can be identified without full system identification. We analyze a computationally efficient and provably convergent algorithm to estimate the eigenvalues of the state-transition matrix in a linear dynamical system. When applied to time series clustering, our algorithm can efficiently cluster multi-dimensional time series with temporal offsets and varying lengths, under the assumption that the time series are generated from linear dynamical systems. Evaluating our algorithm on both synthetic data and real electrocardiogram (ECG) signals, we see improvements in clustering quality over existing baselines.

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