arXiv:2510.15404cs.LG2025-10

用在线核方法实现低延迟流数据预测,适应动态变化且不丢记忆。

Online Kernel Dynamic Mode Decomposition for Streaming Time Series Forecasting with Adaptive Windowing

  • 结合随机傅里叶特征与在线DMD,通过显式映射捕捉非线性动态
  • 单次遍历数据即可预测,滚动窗口中使用Sherman-Morrison更新保持高效
  • 适合资源受限场景,短时预测性能优于主流在线方法

实时流数据预测面临非平稳动态、严格计算限制和快速适应而避免灾难性遗忘的挑战。现有方法在准确性、适应性和效率间常有权衡,尤其在计算资源受限环境下。本文提出WORK-DMD(Windowed Online Random Kernel Dynamic Mode Decomposition),将随机傅里叶特征与在线动态模态分解结合,通过显式特征映射捕捉非线性动态,同时保持固定计算成本和高预测精度。WORK-DMD在滚动窗口中采用Sherman-Morrison更新,仅依赖当前数据实现持续适应,无需长时间训练或存储历史数据。在多个领域基准数据集上的实验表明,WORK-DMD在多种在线预测方法中表现更优,仅需单次数据遍历,在短时预测任务中尤为突出。结果表明,结合核运算与自适应矩阵更新可在极低数据需求下实现优异预测性能,为流式预测提供了轻量级替代深度学习的实用方案。

原文摘要 · Abstract (English)

Real-time forecasting from streaming data poses critical challenges: handling non-stationary dynamics, operating under strict computational limits, and adapting rapidly without catastrophic forgetting. However, many existing approaches face trade-offs between accuracy, adaptability, and efficiency, particularly when deployed in constrained computing environments. We introduce WORK-DMD (Windowed Online Random Kernel Dynamic Mode Decomposition), a method that combines Random Fourier Features with online Dynamic Mode Decomposition to capture nonlinear dynamics through explicit feature mapping, while preserving fixed computational cost and competitive predictive accuracy across evolving data. WORK-DMD employs Sherman-Morrison updates within rolling windows, enabling continuous adaptation to evolving dynamics from only current data, eliminating the need for lengthy training or large storage requirements for historical data. Experiments on benchmark datasets across several domains show that WORK-DMD achieves higher accuracy than several state-of-the-art online forecasting methods, while requiring only a single pass through the data and demonstrating particularly strong performance in short-term forecasting. Our results show that combining kernel evaluations with adaptive matrix updates achieves strong predictive performance with minimal data requirements. This sample efficiency offers a practical alternative to deep learning for streaming forecasting applications.

时间序列在线学习核方法流数据

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