Regularized forecasting of chaotic dynamical systems

While local models of dynamical systems have been highly successful in terms of using extensive data sets observing even a chaotic dynamical system to produce useful forecasts, there is a typical problem as follows. Specifically, with k-near neighbors, kNN method, local observations occur due to recurrences in a chaotic system, and this allows for local models to be built by regression to low dimensional polynomial approximations of the underlying system estimating a Taylor series. This has been a popular approach, particularly in context of scalar data observations which have been represented by time-delay embedding methods. However such local models can generally allow for spatial discontinuities of forecasts when considered globally, meaning jumps in predictions because the collected near neighbors vary from point to point. The source of these discontinuities is generally that the set of near neighbors varies discontinuously with respect to the position of the sample point, and so therefore does the model built from the near neighbors. It is possible to utilize local information inferred from near neighbors as usual but at the same time to impose a degree of regularity on a global scale. We present here a new global perspective extending the general local modeling concept. In so doing, then we proceed to show how this perspective allows us to impose prior presumed regularity into the model, by involving the Tikhonov regularity theory, since this classic perspective of optimization in ill-posed problems naturally balances fitting an objective with some prior assumed form of the result, such as continuity or derivative regularity for example. This all reduces to matrix manipulations which we demonstrate on a simple data set, with the implication that it may find much broader context.