Dimensionality Collapse: Optimal Measurement Selection for Low-Error Infinite-Horizon Forecasting

1 code implementation • 27 Mar 2023 • Helmuth Naumer, Farzad Kamalabadi

Implementations of both an approximate dynamic programming formulation and the proposed alternative are illustrated using an extended Kalman filter for state estimation, with results on simulated systems with limit cycles and chaotic behavior demonstrating a linear improvement in the CRLB as a function of the number of collapsing dimensions of the system.

Dimensionality Reduction Time Series