Chaos as an interpretable benchmark for forecasting and data-driven modelling

William Gilpin

Keywords: time series, data-driven modelling, chaos, dynamical systems, forecasting

TL;DR: We present a curated collection of chaotic dynamical systems for benchmarking and interpreting forecasting and data-driven modelling, which can be re-integrated to generate new datasets for diverse applications.

Abstract: The striking fractal geometry of strange attractors underscores the generative nature of chaos: like probability distributions, chaotic systems can be repeatedly measured to produce arbitrarily-detailed information about the underlying attractor. Chaotic systems thus pose a unique challenge to modern statistical learning techniques, while retaining quantifiable mathematical properties that make them controllable and interpretable as benchmarks. Here, we present a growing database currently comprising 131 known chaotic dynamical systems, each paired with corresponding precomputed multivariate and univariate time series. Our dataset has comparable scale to existing static time series databases; however, our systems can be re-integrated to produce additional datasets of arbitrary length and granularity. Our dataset is annotated with known mathematical properties of each system, and we perform feature analysis to broadly categorize the diverse dynamics present across our dataset. Chaotic systems inherently challenge forecasting models, and across extensive benchmarks we correlate forecasting performance with the degree of chaos present. We also exploit the unique generative properties of our dataset in several proof-of-concept experiments: surrogate transfer learning to improve time series classification, importance sampling to accelerate model training, and benchmarking symbolic regression algorithms.

URL: https://github.com/williamgilpin/dysts

Contribution Process Agreement: Yes

Dataset Url: https://github.com/williamgilpin/dysts

License: Apache 2.0 License

Author Statement: Yes