Takens' Embedding Theorem remarkably established that concatenating M previous outputs of a dynamical system into a vector (called a delay coordinate map) can be a one-to-one mapping of a low-dimensional attractor from the system state space. However, Takens' theorem is fragile in the sense that even small imperfections can induce arbitrarily large errors in this attractor representation. We extend Takens' result to establish deterministic, explicit and non-asymptotic sufficient conditions for a delay coordinate map to form a stable embedding in the restricted case of linear dynamical systems and observation functions. Our work is inspired by the field of Compressive Sensing (CS), where results guarantee that low-dimensional signal families can be robustly reconstructed if they are stably embedded by a measurement operator. However, in contrast to typical CS results, i) our sufficient conditions are independent of the size of the ambient state space, and ii) some system and measurement pairs have fundamental limits on the conditioning of the embedding (i.e., how close it is to an isometry), meaning that further measurements beyond some point add no further significant value. We use several simple simulations to explore the conditions of the main results, including the tightness of the bounds and the convergence speed of the stable embedding. We also present an example task of estimating the attractor dimension from time-series data to highlight the value of stable embeddings over traditional Takens' embeddings.
One of the principle benefits of a stable delay coordinate map would be resilience to noise and other imperfections. The effect of noise on the reconstruction of state space attractors has also been previously considered by several researchers apart from the notion of a stable embedding. In @cite_21 the authors looked at a modified embedding theorem for systems corrupted by dynamical noise, considering specifically embeddings using multivariate time series system outputs and taking more measurements than is typically required for a delay-coordinate map. In @cite_13 , the authors study the effects of observational noise via statistical methods, showing how the choice of delay-coordinates (i.e., the choice of observation function @math and sampling time @math with respect to the system dynamics) affects the ability to make predictions. In particular, they showed that poor reconstruction amplifies noise and increases estimation error.
@cite_21 @cite_13
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We consider sensor networks that measure spatio-temporal correlated processes. An important task in such settings is the reconstruction at a certain node, called the sink, of the data at all points of the field. We consider scenarios where data is time critical, so delay results in distortion, or suboptimal estimation and control. For the reconstruction, the only data available to the sink are the values measured at the nodes of the sensor network, and knowledge of the correlation structure: this results in spatial distortion of reconstruction. Also, for the sake of power efficiency, sensor nodes need to transmit their data by relaying through the other network nodes: this results in delay, and thus temporal distortion of reconstruction if time critical data is concerned. We study data gathering for the case of Gaussian processes in one- and two-dimensional grid scenarios, where we are able to write explicit expressions for the spatial and time distortion, and combine them into a single total distortion measure. We prove that, for various standard correlation structures, there is an optimal finite density of the sensor network for which the total distortion is minimized. Thus, when power efficiency and delay are both considered in data gathering, it is useless from the point of view of accuracy of the reconstruction to increase the number of sensors above a certain threshold that depends on the correlation structure characteristics. Takens' theorem demonstrates that in the absence of noise a multidimensional state space can be reconstructed from a scalar time series. This theorem gives little guidance, however, about practical considerations for reconstructing a good state space. We extend Takens' treatment, applying statistical methods to incorporate the effects of observational noise and estimation error. We define the distortion matrix, which is proportional to the conditional covariance of a state, given a series of noisy measurements, and the noise amplification, which is proportional to root-mean-square time series prediction errors with an ideal model. We derive explicit formulae for these quantities, and we prove that in the low noise limit minimizing the distortion is equivalent to minimizing the noise amplification. We identify several different scaling regimes for distortion and noise amplification, and derive asymptotic scaling laws. When the dimension and Lyapunov exponents are sufficiently large these scaling laws show that, no matter how the state space is reconstructed, there is an explosion in the noise amplification- from a practical point of view determinism is lost, and the time series is effectively a random process. In the low noise, large data limit we show that the technique of local singular value decomposition is an optimal coordinate transformation, in the sense that it achieves the minimum distortion in a state space of the lowest possible dimension. However, in numerical experiments we find that estimation error complicates this issue. For local approximation methods, we analyze the effect of reconstruction on estimation error, derive a scaling law, and suggest an algorithm for reducing estimation errors. In this paper, statistical models for the efficient analysis of interconnect delay and crosstalk noise in the presence of back-end process variations are developed. The proposed models enable closed-form computation of means and variances of interconnect-delay, crosstalk-noise peak, and coupling-induced-delay change for given magnitudes of variation in relevant process parameters, such as linewidth, met al thickness, met al spacing, and interlayer dielectric (ILD) thickness. The proposed approach is based on the observation that if the variations in different physical dimensions are assumed to be independent normal random variables, then the interconnect behavior also tends to have a Gaussian distribution. In the proposed statistical models, delay and noise are expressed directly as functions of changes in physical parameters. This formulation allows us to preserve all correlations and can be very useful in evaluating delay and noise sensitivities due to changes in various physical dimensions. For interconnect-delay computation, the authors express the resistance and capacitance of a line as a linear function of random variables and then use these to compute circuit moments. They show that ignoring higher order terms in the resulting variational moments does not result in a loss of accuracy. Finally, these variability-aware moments are used in known closed-form delay and slew metrics to compute interconnect-delay probability density functions (pdfs). Similarly for coupling noise and dynamic-delay analysis, the authors rely on the linearity (Gaussian) assumption, allowing us to truncate nonlinear terms and express noise and dynamic-delay pdfs as linear functions of variations in relevant geometric dimensions. They compare their approach to SPICE-based Monte Carlo simulations and report the error in mean and standard deviation of interconnect delay to be 1 and 4 on average, respectively This paper considers the stabilization of an unstable discrete-time linear system that is observed over a channel corrupted by continuous multiplicative noise. The main result is a converse bound that shows that if the system growth is large enough the system cannot be stabilized in a mean-squared sense. This is done by showing that the probability of the state magnitude remains bounded must go to zero with time. It was known that a system with multiplicative observation noise can be stabilized using a simple linear strategy if the system growth is suitably bounded. However, it was not clear whether non-linear controllers could overcome arbitrarily large growth factors. One difficulty with using the standard approach for a data-rate theorem style converse is that the mutual information per round between the system state and the observation is potentially unbounded with a multiplicative noise observation channel. Our proof technique recursively bounds the conditional density of the system state (instead of focusing on the second moment) to bound the progress the controller can make.