Latent Dynamic Networked System Identification with High-Dimensional Networked Data

Abstract: Networked dynamic systems are ubiquitous in various domains, such as industrial processes, social networks, and biological systems. These systems produce high-dimensional data that reflect the complex interactions among the network nodes with rich sensor measurements. In this paper, we propose a novel algorithm for latent dynamic networked system identification that leverages the network structure and performs dimension reduction for each node via dynamic latent variables (DLVs). The algorithm assumes that the DLVs of each node have an auto-regressive model with exogenous input and interactions from other nodes. The DLVs of each node are extracted to capture the most predictable latent variables in the high dimensional data, while the residual factors are not predictable. The advantage of the proposed framework is demonstrated on an industrial process network for system identification and dynamic data analytics.