"Towards optimal prediction of chaotic signals" by Divakar Viswanath
April 11, 2011 - 11:00am
Abstract: Suppose that x(t) is a signal generated by a chaotic system and that the signal has been recorded in the interval [0,T]. We ask: What is the largest value t_f such that the signal can be predicted in the interval (T,T+t_f] using the history of the signal and nothing more? We show that the answer to this question is contained in a major result of modern information theory proved by Wyner, Ziv, Ornstein, and Weiss. All current algorithms for predicting chaotic series assume that if a pattern of events in some interval in the past is similar to the pattern of events leading up to the present moment, the pattern from the past can be used to predict the chaotic signal. Unfortunately, this intuitively reasonable idea is fundamentally deficient and all current predictors fall well short of the Wyner-Ziv bound. We explain why the current methods are deficient and develop some ideas for deriving an optimal predictor. [This talk is based on joint work with X. Liang and K. Serkh].
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