A Continuous Representation Of Switching Linear Dynamic Systems For Accurate Tracking

We propose a method for tracking linear representations of a nonlinear dynamic system with time-varying parameters based on a continuous representation of its switching linear dynamic system (SLDS) model. Given approximate linear representations for a finite set of unknown intrinsic parameters of the dynamics, a combination of autoencoder-based dimensionality reduction and cubic curve-fitting are applied to learn the continuous manifold of dynamics embedded in the evolution operator. This representation enables a significant reduction of the squared Frobenius norm of error in maximum likelihood (ML) system identification relative to that of the original SLDS model. Numerical experiments also verify this result.