Reconstruction of chaotic dynamics by on-line EM algorithm

Abstract

In this paper, we discuss the reconstruction of chaotic dynamics by using a normalized Gaussian network (NGnet), which is a network of local linear regression units. The NGnet is trained by an on-line EM algorithm in order to learn the vector field of the chaotic dynamics. We investigate the robustness of our approach to two kinds of noise processes: system noise and observation noise. System noise disturbs the system dynamics itself. Observation noise is added when the state variables are observed. It is shown that the trained NGnet is able to reproduce a chaotic attractor, which approximates the complexity and instability of the original chaotic attractor well, even under various noise conditions. The trained NGnet also shows good prediction performance. When only part of the dynamical variables are observed, the delay embedding method is used. The NGnet is then trained to learn the vector field in the delay coordinate space. Experiments show that the chaotic dynamics embedded in the delay coordinate space is able to be learned under the two types of noise.