Analog forecasting with dynamics-adapted kernels

作者：Zhao Zhizhen^*; Giannakis Dimitrios

来源：Nonlinearity, 2016, 29(9): 2888-2939.

DOI：10.1088/0951-7715/29/9/2888

• analog forecasting
• kernel methods
• delay-coordinate maps
• out-of-sample extension

Analog forecasting is a nonparametric technique introduced by Lorenz in 1969 which predicts the evolution of states of a dynamical system (or observables defined on the states) by following the evolution of the sample in a historical record of observations which most closely resembles the current initial data. Here, we introduce a suite of forecasting methods which improve traditional analog forecasting by combining ideas from kernel methods developed in harmonic analysis and machine learning and state-space reconstruction for dynamical systems. A key ingredient of our approach is to replace single-analog forecasting with weighted ensembles of analogs constructed using local similarity kernels. The kernels used here employ a number of dynamics-dependent features designed to improve forecast skill, including Takens' delay-coordinate maps (to recover information in the initial data lost through partial observations) and a directional dependence on the dynamical vector field generating the data. Mathematically, our approach is closely related to kernel methods for out-of-sample extension of functions, and we discuss alternative strategies based on the Nystrom method and the multiscale Laplacian pyramids technique. We illustrate these techniques in applications to forecasting in a low-order deterministic model for atmospheric dynamics with chaotic metastability, and interannual-scale forecasting in the North Pacific sector of a comprehensive climate model. We find that forecasts based on kernel-weighted ensembles have significantly higher skill than the conventional approach following a single analog.

• 出版日期2016-9