Local Lyapunov Exponents: A new way to predict chaotic systems

Dominique Guegan (1, 2) , Justin Leroux (3)

1 CES - Centre d'économie de la Sorbonne
2 PSE - Paris School of Economics
3 HEC Montréal - HEC Montréal

We propose a novel methodology for forecasting chaotic systems which is based on exploiting the information conveyed by the local Lyapunov ex- ponent of a system. We show how our methodology can improve forecast- ing within the attractor and illustrate our results on the Lorenz system.

Mots clés: Lyapunov exponent; Chaos; Forecasting

Domaines: Economies et finances; Systèmes dynamiques [math.DS]

Dominique Guegan, Justin Leroux. Local Lyapunov Exponents: A new way to predict chaotic systems. Christos H. Skiadas, Ioannis Dimotikalis, Charilaos Skiadas. Topics on Chaotic Systems: Selected papers from CHAOS 2008, International Conference, World Scientific Publishing, pp.158-185, 2009. ⟨halshs-00511996⟩