Learning Both Dynamic-Shared and Dynamic-Specific Patterns for Chaotic Time-Series Prediction

Abstract

In the real world, multivariate time series from the dynamical system are correlated with deterministic relationships. Analyzing them dividedly instead of utilizing the shared-pattern of the dynamical system is time consuming and cumbersome. Multitask learning (MTL) is an effective inductive bias method to utilize latent shared features and discover the structural relationships from related tasks. Base on this concept, we propose a novel MTL model for multivariate chaotic time-series prediction, which could learn both dynamic-shared and dynamic-specific patterns. We implement the dynamic analysis of multiple time series through a special network structure design. The model could disentangle the complex relationships among multivariate chaotic time series and derive the common evolutionary trend of the multivariate chaotic dynamical system by inductive bias. We also develop an efficient Crank-Nicolson-like curvilinear update algorithm based on the alternating direction method of multipliers (ADMM) for the nonconvex nonsmooth Stiefel optimization problem. Simulation results and analysis demonstrate the effectiveness on dynamic-shared pattern discovery and prediction performance.