论文标题
部分可观测时空混沌系统的无模型预测
Riemannian optimization using three different metrics for Hermitian PSD fixed-rank constraints: an extended version
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。
For smooth optimization problems with a Hermitian positive semi-definite fixed-rank constraint, we consider three existing approaches including the simple Burer--Monteiro method, and Riemannian optimization over quotient geometry and the embedded geometry. These three methods can be all represented via quotient geometry with three Riemannian metrics $g^i(\cdot, \cdot)$ $(i=1,2,3)$. By taking the nonlinear conjugate gradient method (CG) as an example, we show that CG in the factor-based Burer--Monteiro approach is equivalent to Riemannian CG on the quotient geometry with the Bures-Wasserstein metric $g^1$. Riemannian CG on the quotient geometry with the metric $g^3$ is equivalent to Riemannian CG on the embedded geometry. For comparing the three approaches, we analyze the condition number of the Riemannian Hessian near the minimizer under the three different metrics. Under certain assumptions, the condition number from the Bures-Wasserstein metric $g^1$ is significantly different from the other two metrics. Numerical experiments show that the Burer--Monteiro CG method has obviously slower asymptotic convergence rate when the minimizer is rank deficient, which is consistent with the condition number analysis.