针对流式矩阵数据,提出基于张量的自适应预测框架,提升时变环境下的建模精度。
Structured Adaptive Tensor Prediction for Streaming Data

- 将多时序响应堆叠为高阶张量,构建Tensor-on-Matrix模型
- 在时变环境下实现更低稳态误差和更强去噪能力,优于传统方法
- 理论证明其在稀疏、低秩等结构下可快速收敛,适合动态系统预测
矩阵值时间序列广泛应用于医学成像、地球物理等场景。现有方法多针对静态设置,难以适应流式与时变环境。自适应滤波技术也主要限于标量或向量数据,对矩阵值时间序列的自适应预测研究不足。为此,本文提出一种自适应张量回归框架,包含矩阵对矩阵(MoM)与张量对矩阵(ToM)两种形式,分别直接建模矩阵输出或通过高阶张量表示时间结构。针对该框架,设计了用于在线学习的随机梯度下降(SGD)算法。研究表明,将多个时序响应堆叠为高阶张量能显著提升性能;特别是,ToM相比MoM具有更低的稳态误差和更强的去噪能力,因而成为重点研究对象。进一步分析了在时变动态下SGD的跟踪行为。从统计角度,建立了在一般低维结构(包括稀疏性、低秩性及其联合模型)下ToM的固定时间恢复保证。
原文摘要 · Abstract (English)
Matrix-valued time series arise in a wide range of applications, such as spatio-temporal data from medical imaging and geophysics. Existing methods are mainly designed for static settings and lack adaptability to streaming and time-varying environments. Adaptive filtering techniques have also been largely limited to data with scalar or vector values, leaving adaptive forecasting for matrix-valued time series inadequately understood. To bridge these gaps, we develop an adaptive tensor regression framework that includes Matrix-on-Matrix (MoM) and Tensor-on-Matrix (ToM) formulations for streaming matrix-valued prediction. The two formulations differ in whether to directly model matrix-valued outputs or to exploit temporal structure via higher-order tensor representations. For the proposed tensor regression framework, we develop stochastic gradient descent (SGD) algorithms for online learning. We show that stacking multiple responses across time into higher-order tensors improves performance; in particular, the ToM achieves lower steady-state error and stronger denoising capability than MoM, motivating our focus on the ToM model. We further characterize the tracking behavior of SGD under time-varying dynamics. From a statistical perspective, we establish fixed-time recovery guarantees for ToM under general low-dimensional structures, including sparsity, low-rankness, and their joint sparselow-rank models.
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