NVAR models exhibit training error scaling laws tied to feature library representation of Lie-series coefficients, with delays reducing one-step error but aiding long-horizon forecasts only under sufficient nonlinearity.
Sparse Volterra and Polynomial Regression Models: Recoverability and Estimation
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abstract
Volterra and polynomial regression models play a major role in nonlinear system identification and inference tasks. Exciting applications ranging from neuroscience to genome-wide association analysis build on these models with the additional requirement of parsimony. This requirement has high interpretative value, but unfortunately cannot be met by least-squares based or kernel regression methods. To this end, compressed sampling (CS) approaches, already successful in linear regression settings, can offer a viable alternative. The viability of CS for sparse Volterra and polynomial models is the core theme of this work. A common sparse regression task is initially posed for the two models. Building on (weighted) Lasso-based schemes, an adaptive RLS-type algorithm is developed for sparse polynomial regressions. The identifiability of polynomial models is critically challenged by dimensionality. However, following the CS principle, when these models are sparse, they could be recovered by far fewer measurements. To quantify the sufficient number of measurements for a given level of sparsity, restricted isometry properties (RIP) are investigated in commonly met polynomial regression settings, generalizing known results for their linear counterparts. The merits of the novel (weighted) adaptive CS algorithms to sparse polynomial modeling are verified through synthetic as well as real data tests for genotype-phenotype analysis.
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cs.LG 1years
2026 1verdicts
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Flow map learning in nonlinear vector autoregressive models: influence of the feature-library structure on the training error
NVAR models exhibit training error scaling laws tied to feature library representation of Lie-series coefficients, with delays reducing one-step error but aiding long-horizon forecasts only under sufficient nonlinearity.