论文标题
部分可观测时空混沌系统的无模型预测
Order estimate of functionals related to fractional Brownian motion and asymptotic expansion of the quadratic variation of fractional stochastic differential equation
论文作者
论文摘要
储层计算是预测湍流的有力工具，其简单的架构具有处理大型系统的计算效率。然而，其实现通常需要完整的状态向量测量和系统非线性知识。我们使用非线性投影函数将系统测量扩展到高维空间，然后将其输入到储层中以获得预测。我们展示了这种储层计算网络在时空混沌系统上的应用，该系统模拟了湍流的若干特征。我们表明，使用径向基函数作为非线性投影器，即使只有部分观测并且不知道控制方程，也能稳健地捕捉复杂的系统非线性。最后，我们表明，当测量稀疏、不完整且带有噪声，甚至控制方程变得不准确时，我们的网络仍然可以产生相当准确的预测，从而为实际湍流系统的无模型预测铺平了道路。
We derive an asymptotic expansion for the quadratic variation of a stochastic process satisfying a stochastic differential equation driven by a fractional Brownian motion, based on the theory of asymptotic expansion of Skorohod integrals converging to a mixed normal limit. In order to apply the general theory, it is necessary to estimate functionals that are a randomly weighted sum of products of multiple integrals of the fractional Brownian motion, in expanding the quadratic variation and identifying the limit random symbols. To overcome the difficulty, we introduce two types of exponents by means of the "weighted graphs" capturing the structure of the sum in the functional, and investigate how the exponents change by the action of the Malliavin derivative and its projection.
