Time-series forecasting using manifold learning, radial basis function interpolation, and geometric harmonics

Panagiotis G. Papaioannou, Ronen Talmon, Ioannis G. Kevrekidis, Constantinos Siettos

Research output: Contribution to journalArticlepeer-review

Abstract

We address a three-tier numerical framework based on nonlinear manifold learning for the forecasting of high-dimensional time series, relaxing the "curse of dimensionality"related to the training phase of surrogate/machine learning models. At the first step, we embed the high-dimensional time series into a reduced low-dimensional space using nonlinear manifold learning (local linear embedding and parsimonious diffusion maps). Then, we construct reduced-order surrogate models on the manifold (here, for our illustrations, we used multivariate autoregressive and Gaussian process regression models) to forecast the embedded dynamics. Finally, we solve the pre-image problem, thus lifting the embedded time series back to the original high-dimensional space using radial basis function interpolation and geometric harmonics. The proposed numerical data-driven scheme can also be applied as a reduced-order model procedure for the numerical solution/propagation of the (transient) dynamics of partial differential equations (PDEs). We assess the performance of the proposed scheme via three different families of problems: (a) the forecasting of synthetic time series generated by three simplistic linear and weakly nonlinear stochastic models resembling electroencephalography signals, (b) the prediction/propagation of the solution profiles of a linear parabolic PDE and the Brusselator model (a set of two nonlinear parabolic PDEs), and (c) the forecasting of a real-world data set containing daily time series of ten key foreign exchange rates spanning the time period 3 September 2001-29 October 2020.

Original languageEnglish
Article number083113
JournalChaos
Volume32
Issue number8
DOIs
StatePublished - 1 Aug 2022

All Science Journal Classification (ASJC) codes

  • Applied Mathematics
  • Statistical and Nonlinear Physics
  • General Physics and Astronomy
  • Mathematical Physics

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