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Coherent Set Identification Via Direct Low Rank Maximum Likelihood Estimation

Title data

Polzin, Robert M. ; Klebanov, Ilja ; Nüsken, Nikolas ; Koltai, Peter:
Coherent Set Identification Via Direct Low Rank Maximum Likelihood Estimation.
In: Journal of Nonlinear Science. Vol. 35 (2025) . - 2.
ISSN 1432-1467
DOI: https://doi.org/10.1007/s00332-024-10091-x

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Abstract in another language

We analyze connections between two low rank modeling approaches from the last decade for treating dynamical data. The first one is the coherence problem (or coherent set approach), where groups of states are sought that evolve under the action of a stochastic transition matrix in a way maximally distinguishable from other groups. The second one is a low rank factorization approach for stochastic matrices, called direct Bayesian model reduction (DBMR), which estimates the low rank factors directly from observed data. We show that DBMR results in a low rank model that is a projection of the full model, and exploit this insight to infer bounds on a quantitative measure of coherence within the reduced model. Both approaches can be formulated as optimization problems, and we also prove a bound between their respective objectives. On a broader scope, this work relates the two classical loss functions of nonnegative matrix factorization, namely the Frobenius norm and the generalized Kullback–Leibler divergence, and suggests new links between likelihood-based and projection-based estimation of probabilistic models.

Further data

Item Type: Article in a journal
Refereed: Yes
Institutions of the University: Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Dynamical Systems and Data > Chair Dynamical Systems and Data - Univ.-Prof. Dr. Peter Koltai
Faculties
Faculties > Faculty of Mathematics, Physics und Computer Science
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Dynamical Systems and Data
Result of work at the UBT: Yes
DDC Subjects: 500 Science > 510 Mathematics
Date Deposited: 04 Nov 2024 08:22
Last Modified: 04 Nov 2024 08:22
URI: https://eref.uni-bayreuth.de/id/eprint/90943

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