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Variational approach for learning Markov processes from time series data

时间:2019-07-14 17:42 作者:admin

Variational approach for learning Markov processes from time series data

VariationalapproachforlearningMarkovprocessesfromtimeseriesdata主讲人:吴昊同济大学数学科学学院教授时间:2019年7月11日15:30地点:三号楼301举办单位:数理学院内容介绍:Inference,predictionandcontrolofcomplexdynamicalsystemsfromtimeseriesisimportantinmanyareas,includingfinancialmarkets,powergridmanagement,climateandweathermodeling,thefactthatwecanoftenfinda(generallynonlinear)transformationofthesystemcoordinatestofeaturesinw,thelargenumberofsystemvariablesoftenchangecollectivelyonlargetime-andlength-scales,,weintroduceavariationalapproachforMarkovprocesses(VAMP)thatallowsustofindoptimalfeaturemappinichcanbecalculatedfromdata,,basedontherelationshipbetweenthevariationalscoresandapproximationerrorsofKoopmanoperators,weproposeanewVAMP-Escore,whichcanbeappliedtocross-ionaryandnon-stationaryprocessesorrealizations.。