## Abstract

Generalization of time series prediction remains an important open issue in machine learning; earlier methods have either large generalization errors or local minima. Here, we develop an analytically solvable, unsupervised learning scheme that extracts the most informative components for predicting future inputs, which we call predictive principal component analysis (PredPCA). Our scheme can effectively remove unpredictable noise and minimize test prediction error through convex optimization. Mathematical analyses demonstrate that, provided with sufficient training samples and sufficiently high-dimensional observations, PredPCA can asymptotically identify hidden states, system parameters and dimensionalities of canonical nonlinear generative processes, with a global convergence guarantee. We demonstrate the performance of PredPCA using sequential visual inputs comprising handwritten digits, rotating three-dimensional objects and natural scenes. It reliably estimates distinct hidden states and predicts future outcomes of previously unseen test input data, based exclusively on noisy observations. The simple architecture and low computational cost of PredPCA are highly desirable for neuromorphic hardware.

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## Data availability

Image data used in this work are available in the MNIST dataset^{33} (http://yann.lecun.com/exdb/mnist/index.html, for Fig. 2), the ALOI dataset^{36} (http://aloi.science.uva.nl, for Fig. 3), and the BDD100K dataset^{37} (https://bdd-data.berkeley.edu, for Fig. 4). Figures 2–4 are generated by applying our scripts (see below) to these image data.

## Code availability

MATLAB scripts used in this work are available at https://github.com/takuyaisomura/predpca or https://doi.org/10.5281/zenodo.4362249. The scripts are covered under the GNU General Public License v3.0.

## Change history

### 05 May 2021

A Correction to this paper has been published: https://doi.org/10.1038/s42256-021-00352-9

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## Acknowledgements

We are grateful to S.-I. Amari for discussions. This work was supported by RIKEN Center for Brain Science (T.I. and T.T.), Brain/MINDS from AMED under grant number JP20dm020700 (T.T.), and JSPS KAKENHI under grant number JP18H05432 (T.T.). The funders had no role in the study design, data collection and analysis, decision to publish, or preparation of the manuscript.

## Author information

### Authors and Affiliations

### Contributions

T.I. conceived and designed PredPCA, performed the mathematical analyses and simulations, and wrote the manuscript. T.T. supervised T.I. from the early state of this work, confirmed the rigour of the mathematical analyses and wrote the manuscript.

### Corresponding authors

## Ethics declarations

### Competing interests

The authors declare no competing interests.

## Additional information

**Peer review information** *Nature Machine Intelligence* thanks the anonymous reviewers for their contribution to the peer review of this work.

**Publisher’s note** Springer Nature remains neutral with regard to jurisdictional claims in published maps and institutional affiliations.

## Extended data

### Extended Data Fig. 1 Supplementary results of PredPCA with handwritten digit images.

**a**, Transition mapping estimated using PredPCA \({\mathbf{B}} \in {\Bbb R}^{10 \times 10}\) accurately matches the true transition mapping \(B \in {\Bbb R}^{10 \times 10}\) that generates the ascending order sequence. Elements of **x**_{t+1|t} are permuted and sign-flipped for visualization purpose. **b**, This is also the case for the nonlinear dynamics. The estimated mapping from **x**_{t|t-1} ⊗ **x**_{t-1|t-2} to **x**_{t+1|t}, \({\tilde{\mathbf B}} \in {\Bbb R}^{10 \times 100}\), was obtained using the outcomes of PredPCA, which accurately matches the true mapping of the Fibonacci sequence \(\tilde B \in {\Bbb R}^{10 \times 100}\). Here, ⊗ indicates the Kronecker product. These results indicate that PredPCA offers the identification of the transition rules underlying the linear and nonlinear dynamics, without observing the true hidden states *x*_{t}. **c**, Prediction error in the absence of random replacement and/or monochrome inversion of digit images, as a counterpart of Fig. 2d. PredPCA’s outcomes are retained with or without those distortions, and relevant encoders comprise up to 10 dimensions owing to the construction of the input data, highlighting the robustness of PredPCA to various types of large noise. In particular, in the presence of monochrome inversion, irrespective of random replacement of digits, *N*_{u} = 10 provides the global minimum of both equations (6) and (7). Conversely, in the absence of monochrome inversion, *N*_{u} = 9 provides their global minimum as in this case, the 10-dimensional hidden state representation becomes redundant. This is because without monochrome inversion, true hidden states take only 10 different positions in the 10-dimensional coordinate, which can be fully expressed by the 9-dimensional coordinate. Remarkably, PredPCA could detect their difference. Note that monochrome inversion corresponds to the first principal component (PC1) of PredPCA. This is because whether the next image is a ‘black digit on white background’ or ‘white digit on black background’ is the most predictable feature as the monochrome inversion rarely occurs. Thus, a relatively large prediction error in the absence of monochrome inversion is due to the lack of the PC1. **d**, PredPCA increases its performance as the number of past observations used for prediction (*K*_{p}) increases until reaching its finite optimum. Left panel: error in categorizing digits, which converges to near zero as *K*_{p} increases (refer to Fig. 2b). Middle panel: parameter estimation error (refer to Fig. 2c). Right panel: test prediction error (refer to Fig. 2d). The blue line is the optimal test prediction error computed via supervised learning. The red line indicates the theoretical value computed using equation (7), wherein *K*_{p} = 10 (green line) gives its minimum, which matches empirical observations (black circles). These observations imply that predicting single-time-step future outcomes (*s*_{t+1}) using multi-time-step past observations (*ϕ*_{t}) is key to reducing those errors. Note that an extension of PredPCA for multi-time-step prediction while retaining its accuracy is provided in Methods section ‘Derivation of PredPCA'. **c** and **d** are obtained with 20 different realizations of digit sequences.

### Extended Data Fig. 2 Comparison with related methods.

The errors in estimating system parameters (left and middle panels, as a counterpart of Fig. 2c) and in predicting one-step future inputs in test ascending sequence (right panels, refer to Fig. 2d) are shown. **a**, Performance of linear TAE. Although it estimates matrix *A* with high accuracy, it fails to estimate other parameters, because linear TAE (same as PredPCA with *ϕ*_{t} = *s*_{t}) does not effectively filter out observation noise. Moreover, linear TAE yields a larger test prediction error even relative to PredPCA with *ϕ*_{t} = *s*_{t} owing to the difference in their cost functions. This is because PredPCA (even with *ϕ*_{t} = *s*_{t}) extracts components most important to predicting high variant signals preferentially, and thereby provides the global minimum of the squared error in predicting the non-normalized target signal (under the constraint of *ϕ*_{t} = *s*_{t}), while linear TAE minimizes a normalized target signal (see Methods section ‘Filtering out observation noise' for more details). For reference, the blue and red lines in the right panel represent the optimal test prediction error computed via supervised learning and that of PredPCA with *ϕ*_{t} = *s*_{t}, respectively. The results are obtained with 20 different realizations of digit sequences. **b**, Performance of SSM based on Kalman filter. SSM also tends to fail system identification depending on initial conditions and training history, which leads to a relatively larger prediction error. In the left panel, lines and shaded areas indicate the median and the 25th to 75th percentile area, respectively. The results are obtained with 100 different realizations of digit sequences.

### Extended Data Fig. 3 Accuracy of long-term predictions.

PredPCA and SSM can both yield generative models to predict an arbitrary future. However, SSM can fail to identify system parameters depending on initial conditions and training history, leading to the failure of long-term predictions even if provided with a winner-takes-all operation. **a**, Outcomes of PredPCA offer long-term prediction via greedy prediction based on iterative winner-takes-all operations, regardless of training dataset. Each row indicates a prediction based on a different realization of training sequence. A transition mapping from **x**_{t|t-1} to **x**_{t+1|t} is assumed. **b**, The long-term prediction is successful even if a transition mapping from **x**_{t|t-1} ⊗ **x**_{t-1|t-2} to **x**_{t+1|t} is assumed, indicating the minimal influence of the assumed model structure (that is, prior knowledge). **c**, PredPCA can also predict Fibonacci sequences in the long term, regardless of the training dataset. **d**, Model selection to determine the optimal number of step backs. Here, the standard AIC was used for model selection. We considered the following four models based on four types of polynomial basis functions, **x**_{t|t-1}, **x**_{t|t-1} ⊗ **x**_{t-1|t-2}, **x**_{t|t-1} ⊗ **x**_{t-1|t-2} ⊗ **x**_{t-2|t-3}, and **x**_{t|t-1} ⊗ **x**_{t-1|t-2} ⊗ **x**_{t-2|t-3} ⊗ **x**_{t-3|t-4}. The state in the next time period **x**_{t+1|t} was predicted based on these four types of bases, followed by a winner-takes-all operation to conduct the greedy prediction, and their AICs were compared. Left panel: To explain the ascending order sequences, a mapping from **x**_{t|t-1} to **x**_{t+1|t} was the best among these four models. Right panel: To explain the Fibonacci sequences, a mapping from **x**_{t|t-1} ⊗ **x**_{t-1|t-2} to **x**_{t+1|t} was significantly better than other three models. Here, the pairwise *t* test was applied based on 10 different realizations. Error bars indicate the standard deviation. **e**, In contrast, SSM based on Kalman filter tends to fail iterative prediction depending on the initial conditions of state and parameter values, and training history—even though it uses the winner-takes-all operation—owing to its relatively large state and parameter estimation errors. System identification using SSM is severely harmed by nonlinear interaction between state and parameter estimations, which yield local minima or spurious solutions (Extended Data Fig. 2b); consequently, SSM exhibits an approximately 6% categorization error (Fig. 2b). These inaccuracies undermine iterative predictions using SSM even when states are de-noised in each step using a winner-takes-all operation.

### Extended Data Fig. 4 Instability of features extracted by TAE and SSM.

This figure is a counterpart of Fig. 3b. TAE and SSM do not guarantee the global convergence of their outcomes, and as a result their extracted features are sensitive to the initial conditions, order of supplying mini batches, and level of observation noise. The extracted features in six trials are shown; the last three are outcomes trained with a large noise. The same training dataset was used for all trials. However, as initial parameter values for TAE and SSM and order of supplying mini batches were varied, different features were extracted. The difference in the observation noise level also altered their outcomes. These results imply the unreliability of features extracted by TAE and SSM, and further highlight the benefit of the global convergence guarantee of PredPCA.

### Extended Data Fig. 5 Feature extraction of diving car movies.

**a**, PC1–PC3 of the categorical features (that is, \({\bar{\mathbf x}}_t\)) representing the brightness and vertical and lateral symmetries of scenes. **b**, PC1 of the dynamical features (that is, Δ**x**_{t+3|t}) representing the lateral motion. Although (a)(b) were obtained using PredPCA with grouping of the data, these extracted features accurately matched those obtained using PredPCA without the six sub-groups (Fig. 4b,c). This implies that PredPCA offers reliable identification of relevant features, even when using the data grouping. **c**, 100 major categorical features (\({\bar{\mathbf x}}_t\)) representing different categories of scenes. **d**, 100 major dynamical features (Δ**x**_{t+3|t}) responding to motions at different positions of the screen. The white areas indicate the receptive field of each encoder. **c** and **d** were obtained using PredPCA and ICA without the six sub-groups. Similar to Fig. 3b, these images visualize linear mappings from each independent component to the observation.

## Supplementary information

### Supplementary Information

Supplementary Video Legends 1–3, Figs. 1 and 2, discussion, Methods 1–6, and refs.

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Isomura, T., Toyoizumi, T. Dimensionality reduction to maximize prediction generalization capability.
*Nat Mach Intell* **3**, 434–446 (2021). https://doi.org/10.1038/s42256-021-00306-1

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DOI: https://doi.org/10.1038/s42256-021-00306-1