基于递归稀疏在线学习的时间序列拓扑识别

TIME SERIES TOPOLOGY RECOGNITION BASED ON RECURSIVE SPARSE ONLINE LEARNING

  • 摘要: 针对动态时间序列之间的因果关系分析问题,提出一种基于递归稀疏在线学习的拓扑识别方法。通过复合目标迭代最小化序列稀疏拓扑识别标准,促进稀疏更新;通过基于最小二乘法的估计准则,大大提高对输入可变性的跟踪性能,并且瞬时损失函数考虑历史样本,进一步通过静态遗憾分析得到对数遗憾界限;在真实数据和合成数据上的结果表明所提出算法在静态和动态场景中的有效性。

     

    Abstract: For causality analysis between dynamic time series, a topology recognition method based on recursive sparse online learning is proposed. The sequence sparse topology identification standard was minimized by composite target iteration to promote sparse update. The tracking performance of input variability was greatly improved by the estimation criterion based on the least square method, and the historical samples were considered in the instantaneous loss function. The logarithmic regret limit was obtained through static regret analysis. The numerical results of real data and synthetic data show the effectiveness of the proposed algorithm in static and dynamic scenes.

     

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