Optimal state space reconstruction via Monte Carlo decision tree search

• Published in: Nonlinear dynamics Vol. 108; no. 2; pp. 1525 - 1545
• Main Authors: Kraemer, K. Hauke, Gelbrecht, Maximilian, Pavithran, Induja, Sujith, R. I., Marwan, Norbert
• Format: Journal Article
• Language: English
• Published: Dordrecht Springer Netherlands 01.04.2022; Springer Nature B.V
• Subjects: Algorithms; Automotive Engineering; Causality; Classical Mechanics; Combustion chambers; Control; Decision trees; Dynamical Systems; Embedding; Engineering; Gas turbines; Mechanical Engineering; Model accuracy; Optimization; Original Paper; Reconstruction; Time lag; Time series; Vibration; Time series analysis; Prediction; Embedding; Recurrence analysis; State space reconstruction; Causality; Optimization

A novel idea for an optimal time delay state space reconstruction from uni- and multivariate time series is presented. The entire embedding process is considered as a game, in which each move corresponds to an embedding cycle and is subject to an evaluation through an objective function. This way th...