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Abstract In this paper, a method for real-time forecasting of the dynamics of structures experiencing nonstationary inputs is described. This is presented as time series predictions across different timescales. The target applications include hypersonic vehicles, space launch systems, real-time prognostics, and monitoring of high-rate and energetic systems. This work presents numerical analysis and experimental results for the real-time implementation of a Fast Fourier Transform (FFT)-based approach for time series forecasting. For this preliminary study, a testbench structure that consists of a cantilever beam subjected to nonstationary inputs is used to generate experimental data. First, the data is de-trended, then the time series data is transferred into the frequency domain, and measures for frequency, amplitude, and phase are obtained. Thereafter, select frequency components are collected, transformed back to the time domain, recombined, and then the trend in the data is restored. Finally, the recombined signals are propagated into the future to the selected prediction horizon. This preliminary time series forecasting work is done offline using pre-recorded experimental data, and the FFT-based approach is implemented in a rolling window configuration. Here learning windows of 0.1, 0.5, and 1 s are considered with different computation times simulated. Results demonstrate that the proposed FFT-based approach can maintain a constant prediction horizon at 1 s with sufficient accuracy for the considered system. The performance of the system is quantified using a variety of metrics. Computational speed and prediction accuracy as a function of training time and learning window lengths are examined in this work. The algorithm configuration with the shortest learning window (0.1 s) is shown to converge faster following the nonstationary when compared to algorithm configuration with longer learning windows.
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Causal Discovery and Forecasting in Nonstationary Environments with State-Space Models
In many scientific fields, such as economics and neuroscience, we are often faced with nonstationary time series, and concerned with both finding causal relations and forecasting the values of variables of interest, both of which are particularly challenging in such nonstationary environments. In this paper, we study causal discovery and forecasting for nonstationary time series. By exploiting a particular type of state-space model to represent the processes, we show that nonstationarity helps to identify the causal structure, and that forecasting naturally benefits from learned causal knowledge. Specifically, we allow changes in both causal strengths and noise variances in the nonlinear state-space models, which, interestingly, renders both the causal structure and model parameters identifiable. Given the causal model, we treat forecasting as a problem in Bayesian inference in the causal model, which exploits the time-varying property of the data and adapts to new observations in a principled manner. Experimental results on synthetic and real-world data sets demonstrate the efficacy of the proposed methods.
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- Award ID(s):
- 1829681
- PAR ID:
- 10125751
- Date Published:
- Journal Name:
- Proceedings of the 36th International Conference on Machine Learning
- Page Range / eLocation ID:
- 2901-2910
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
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