Prediction in projection

Chaos. 2015 Dec;25(12):123108. doi: 10.1063/1.4936242.

Abstract

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 reconstructions of the dynamics-i.e., models that are not necessarily true embeddings-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 time-delay reconstruction of both low- and high-dimensional dynamical systems. Even though correctness of the topology may not be guaranteed for incomplete reconstructions like this, the dynamical structure that they do capture allows for accurate predictions-in many cases, even more accurate than predictions generated using a traditional 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.