arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 2003.07410eess.SYcs.SYmath.OCstat.ML
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子空间辨识与动态模态分解的统一定理

Unifying Theorems for Subspace Identification and Dynamic Mode Decomposition

Sungho Shin, Qiugang Lu, Victor M. Zavala

摘要:

本文给出了自治动力系统子空间辨识(SID)和动态模式分解(DMD)的统一结果。我们观察到,SID寻求解决一个优化问题,以估计扩展的可观测性矩阵和状态序列,最大限度地减少状态空间模型的预测误差。此外,我们观察到DMD寻求解决秩约束矩阵回归问题,最大限度地减少扩展自回归模型的预测误差。我们证明了完美(无误差)状态空间和低秩扩展自回归模型的存在条件是等价的,SID和DMD优化问题是等价的。我们利用这些结果,提出了一个SID-DMD算法,提供了一个可证明的最优模型,易于实现。我们展示了我们的发展使用的案例研究,旨在直接从视频数据建立动态模型。

英文摘要:

This paper presents unifying results for subspace identification (SID) and dynamic mode decomposition (DMD) for autonomous dynamical systems. We observe that SID seeks to solve an optimization problem to estimate an extended observability matrix and a state sequence that minimizes the prediction error for the state-space model. Moreover, we observe that DMD seeks to solve a rank-constrained matrix regression problem that minimizes the prediction error of an extended autoregressive model. We prove that existence conditions for perfect (error-free) state-space and low-rank extended autoregressive models are equivalent and that the SID and DMD optimization problems are equivalent. We exploit these results to propose a SID-DMD algorithm that delivers a provably optimal model and that is easy to implement. We demonstrate our developments using a case study that aims to build dynamical models directly from video data.

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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