Algorithm for the N-Lyapunov exponents of an N-dimensional unknown dynamical system

W. Davis Dechert; Ramazan Gencay

doi:10.1117/12.140105

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1 July 1992 Algorithm for the N-Lyapunov exponents of an N-dimensional unknown dynamical system

W. Davis Dechert, Ramazan Gencay

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Proceedings Volume 1710, Science of Artificial Neural Networks; (1992) https://doi.org/10.1117/12.140105
Event: Aerospace Sensing, 1992, Orlando, FL, United States

Abstract

An algorithm for estimating the Lyapunov exponents of an unknown dynamical system is designed. The algorithm estimates not only the largest but all n-Lyapunov exponents of an n- dimensional system correctly. The estimation is carried out by multilayer feedforward networks. We focus our attention on deterministic as well as noisy system estimation. The performance of the algorithm is very satisfactory in the presence of noise as well as with limited number of observations.

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W. Davis Dechert and Ramazan Gencay "Algorithm for the N-Lyapunov exponents of an N-dimensional unknown dynamical system", Proc. SPIE 1710, Science of Artificial Neural Networks, (1 July 1992); https://doi.org/10.1117/12.140105

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