aPrograma Interdisciplinar de Pós-Graduação em Computação Aplicada PIPCA, Universidade do Vale do Rio dos Sinos — UNISINOS, Av. Unisinos 950, 93022-000 São Leopoldo, RS, Brazil
Abstract:
In this paper, we propose a methodology for optimizing the modeling of an one-dimensional chaotic time series with a Markov Chain. The model is extracted from a recurrent neural network trained for the attractor reconstructed from the data set. Each state of the obtained Markov Chain is a region of the reconstructed state space where the dynamics is approximated by a specific piecewise linear map, obtained from the network. The Markov Chain represents the dynamics of the time series in its statistical essence. An application to a time series resulted from Lorenz system is included.