linear recursive relations: data generation reconstruction of lrr predictable by lrr
DESCRIPTION
Linear Recursive Relations: Data generation Reconstruction of LRR Predictable by LRR Unpredictable by LRR. m > n. The number of unknowns is less than the number of linear equations. m > n: over-determined linear system. Solving linear systems with m>n. Input paired data - PowerPoint PPT PresentationTRANSCRIPT
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數值方法, Applied Mathematics NDHU 1
Linear Recursive Relations:•Data generation•Reconstruction of LRR•Predictable by LRR•Unpredictable by LRR
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數值方法, Applied Mathematics NDHU 2
mnmmm
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A
321
3333231
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1131211
nx
x
x
x
3
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1
x
mb
b
b
b
3
2
1
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bAx
m1,...,ifor bi xaTi
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數值方法, Applied Mathematics NDHU 3
m > n
The number of unknowns is less than the number of linear equations.
m > n: over-determined linear system
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數值方法, Applied Mathematics NDHU 4
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數值方法, Applied Mathematics NDHU 5
Solving linear systems with m>n
Input paired data Form matrix A and
vector b Set x1 to pinv(A)*b Set x2 to
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數值方法, Applied Mathematics NDHU 6
N=30;A=rand(N,3);b=A*[1 0.5 -1]'+rand(N,1)*0.1-0.05;x1=pinv(A)*b;x2=inv(A'*A)*(A'*b);
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數值方法, Applied Mathematics NDHU 7
Applications
Linear convolution (auto regression)Linear recursive relations
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數值方法, Applied Mathematics NDHU 8
Fibonacci
Linear combination of predecessors
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數值方法, Applied Mathematics NDHU 9
Recurrent Relation
nf
F
2nf
1nf
Given and
the recurrent relation can generate an infinite sequence
0f 1f
n}{ nf
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數值方法, Applied Mathematics NDHU 10
Linear recursive relation
nf
F
2nf
1nf
F is linear
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數值方法, Applied Mathematics NDHU 11
Forward problem : data generation
function F=Fibonacci(N)F(0+1)=0;F(1+1)=1;for i=2:N F(i+1)=F(i-1+1)+F(i-2+1);endplot(1:length(F),F,'o')
Fibonacci.m
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數值方法, Applied Mathematics NDHU 12
Inverse problem
F[n]=a1F[n-1]+ a2F[n-2]+e, n=2..N
e denotes noiseGiven F[n], n=0,…,N, find a1 and a2
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數值方法, Applied Mathematics NDHU 13
Linear recursion
F[n]=a1F[n-1]+ a2F[n-2]+ e ,n=2..N
Given F[n], n=0,…,N, find a1 and a2
Linear system:
aa11 F[1]+ aa22 F[0]= F[2]aa11 F[2]+ aa22 F[1]= F[3]aa11 F[3]+ aa22 F[2]= F[4]aa11 F[4]+ aa22 F[3]= F[5]aa11 F[5]+ aa22 F[4]= F[6]...aa11 F[9]+ aa22 F[8]=F[10]
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數值方法, Applied Mathematics NDHU 14
Linear system
function [A,b]=formAb_Fib(F)N=length(F);b=F(2+1:N+1)';A=[F(1+1:N-1+1)' F(0+1:N-2+1)'];
formAb_Fib.m
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數值方法, Applied Mathematics NDHU 15
Linear recursion
f=Fibonacci(30);[A,b]=formAb_Fib(f)x =pinv(A)*b
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數值方法, Applied Mathematics NDHU 16
Linear recursive relation
Linear combination of predecessorsf[t]=a1f[t-1]+ a2f[t-2]+…+ af[t-]+ e[t],
t= ,…,N
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數值方法, Applied Mathematics NDHU 17
Linear recursive relation: delays
nf
F2nf
1nf
F is linear
nf
...
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數值方法, Applied Mathematics NDHU 18
nf
2nf
1nf
nf
.
.
.
nnnn fafafaf ...2211
Data generation by linear recursive relation
Fgen.m
L=10; N=80;a=pdf('norm', linspace(pi,-pi,L),0,1)-0.2;F=Fgen(a,N);
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數值方法, Applied Mathematics NDHU 19
Construction of Linear recursive relation
demo_FG.m
Form A and b x =pinv(A)*b
Blue: a1 … a
Red: Estimation
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數值方法, Applied Mathematics NDHU 20
Construction of Linear recursive relation
Form A and b x =pinv(A)*b
Blue: a1 … a
Red: Estimation
nf
2nf
1nf
nf
.
.
.
nnnn fafafaf ...2211
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數值方法, Applied Mathematics NDHU 21
Reconstruction of linear recursive relation
L=10; N=80;a=pdf('norm', linspace(pi,-pi,L),0,1)-0.2;F=Fgen(a,N);
[A b]=formAb(F,L);a_hat=pinv(A)*b;
Prediction of time series after N
time series before N
1:N
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數值方法, Applied Mathematics NDHU 22
Prediction of time series after N
Fprediction.m
ini_F=F(N-L+1:N);New_F=Fprediction(a_hat,ini_F,N);plot((1:length(New_F))+N,New_F);
Time series after N
N:2N
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數值方法, Applied Mathematics NDHU 23
Nonlinear recursive relation
z[t]=tanh(a1z[t-1]+ a2z[t-2]+…+ az[t-])+ e[t],
t= ,…,N
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數值方法, Applied Mathematics NDHU 24
Nonlinear recursiondemo_FG2.m
Form A and b x =pinv(A)*b
Blue: a1
… a
Red: x1 … x
Estimation
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數值方法, Applied Mathematics NDHU 25
Unpredictable by linear recursive relation
Data generation by nonlinear recursive relation
Linear recursive relation can not predict time series that are created by nonlinear recursive relation
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數值方法, Applied Mathematics NDHU 26
Prediction
Use initial -1 instances to generate the full time series (red) based on estimated linear parameters (red)