Dynamic system classifier (1601.07901v2)

Abstract: Stochastic differential equations describe well many physical, biological and sociological systems, despite the simplification often made in their derivation. Here the usage of simple stochastic differential equations to characterize and classify complex dynamical systems is proposed within a Bayesian framework. To this end, we develop a dynamic system classifier (DSC). The DSC first abstracts training data of a system in terms of time dependent coefficients of the descriptive stochastic differential equation. Thereby the DSC identifies unique correlation structures within the training data. For definiteness we restrict the presentation of DSC to oscillation processes with a time dependent frequency {\omega}(t) and damping factor {\gamma}(t). Although real systems might be more complex, this simple oscillator captures many characteristic features. The {\omega} and {\gamma} timelines represent the abstract system characterization and permit the construction of efficient signal classifiers. Numerical experiments show that such classifiers perform well even in the low signal-to-noise regime.