Multiscale Support Vector Learning With Projection Operator Wavelet Kernel for Nonlinear Dynamical System Identification

A giant leap has been made in the past couple of decades with the introduction of kernel-based learning as a mainstay for designing effective nonlinear computational learning algorithms. In view of the geometric interpretation of conditional expectation and the ubiquity of multiscale characteristics in highly complex nonlinear dynamic systems [1]-[3], this paper presents a new orthogonal projection operator wavelet kernel, aiming at developing an efficient computational learning approach for nonlinear dynamical system identification. In the framework of multiresolution analysis, the proposed projection operator wavelet kernel can fulfill the multiscale, multidimensional learning to estimate complex dependencies. The special advantage of the projection operator wavelet kernel developed in this paper lies in the fact that it has a closed-form expression, which greatly facilitates its application in kernel learning. To the best of our knowledge, it is the first closed-form orthogonal projection wavelet kernel reported in the literature. It provides a link between grid-based wavelets and mesh-free kernel-based methods. Simulation studies for identifying the parallel models of two benchmark nonlinear dynamical systems confirm its superiority in model accuracy and sparsity.