In order to overcome the defects of an existing low-rank model in non-stationary trend, pseudo-periodic mode and transient anomaly
processing, the invention provides a
time series prediction method based on self-adaptive low-rank representation, original
time series data is decomposed into a low-rank component (L) and a sparse component (S) through robust principal component tracking (PCP) and
principal component analysis (PCA) algorithms, and the low-rank component (L) and the sparse component (S) are subjected to low-rank prediction. And adaptive separation of a trend-periodic component and a residual (abnormal / transient) component is realized. According to the method, an
orthogonal transformation matrix (A) is constructed, a data-driven
orthogonal basis (B) and a Fourier
orthogonal basis (UF, VF) are fused in the matrix, and
time sequence data are mapped to a low-rank
potential space with higher characterization capacity. The method adopts a
convolution kernel
norm minimization (CNNM) frame for prediction, a learnable
dynamic search window is established under the frame, the size (wx, n) of the window is adaptively adjusted according to a sequence local feature (| un |), and through fusion of
fast Fourier transform (FFT)
decomposition and introduced
motion vector information, the
motion vector information of the
motion vector is obtained. And accurate acquisition of multi-scale
time sequence characteristics (such as periodic
modes of different frequencies) is realized. Under the low-rank constraint, the method provided by the invention can effectively process the complex dynamic characteristics of high-dimensional
sensing data, and meanwhile, the prediction precision of a non-stationary sequence is remarkably improved through a parameter adaptive mechanism.