Recovery of Transition Operators From Sparse Space-Time Observations


We consider the nonlinear inverse problem of learning a transition operator ${A}$ from partial observations across different time scales, or in other words, from {sparse observations of its powers ${A},\cdots,{A}^{T-1}$. This Spatio-Temporal Transition Operator Recovery problem is motivated by the recent interest in learning time-varying graph signals that are driven by graph operators depending on the underlying graph topology. We address the non-linearity issue by embedding the problem into a higher-dimensional space of suitable block-Hankel matrices, where it becomes a low-rank matrix completion problem, even if ${A}$ is of full rank. For both a uniform and an adaptive random space-time sampling model, we quantify the recoverability of the transition operator via suitable measures of incoherence of these block-Hankel embedding matrices. For graph transition operators these measures of incoherence depend on the interplay between the dynamics and the graph topology. We establish quadratic local convergence analysis of a suitable non-convex iterative reweighted least squares (IRLS) algorithm, and show that in optimal scenarios, no more than $\mathcal{O}(rn \log(nT))$ space-time samples are sufficient to ensure accurate recovery of a rank-$r$ operator ${A}$ of size $n \times n$. This establishes that {spatial samples} can be substituted by a comparable number of {space-time samples}. We provide an efficient implementation of the proposed IRLS algorithm with space complexity of order $O(r n T)$ and whose per-iteration time complexity is {linear} in $n$. Numerical experiments for transition operators based on several graph models confirm that the theoretical findings accurately track empirical phase transitions, and illustrate the applicability of the proposed algorithm.