A First Analysis of the Stability of Takens' Embedding

Han Lun Yap, Armin Eftekhari, Michael B. Wakin, Christopher J. Rozell

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

Takens' Embedding Theorem asserts that when the states of a hidden dynamical system are confined to a low-dimensional attractor, complete information about the states can be preserved in the observed time-series output through the delay coordinate map. However, the conditions for the theorem to hold ignore the effects of noise and time-series analysis in practice requires a careful empirical determination of the sampling time and number of delays resulting in a number of delay coordinates larger than the minimum prescribed by Takens' theorem. In this paper, we use tools and ideas in Compressed Sensing to provide a first theoretical justification for the choice of the number of delays in noisy conditions. In particular, we show that under certain conditions on the dynamical system, measurement function, number of delays and sampling time, the delay-coordinate map can be a stable embedding of the dynamical system's attractor.
Original languageEnglish
Title of host publication2014 IEEE Global Conference on Signal and Information Processing (GlobalSIP)
PublisherInstitute of Electrical and Electronics Engineers (IEEE)
Pages404-408
Number of pages5
DOIs
Publication statusPublished - 3 Dec 2014

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