“Careful, we may be in a model…within a model.” (From an Inception movie poster.)

Have you ever seen the movie Inception and wondered, “Gee, wouldn’t it be neat if I could do all that fancy subconscious dream within a dream manipulation stuff”? Well now you can (in a metaphorical way) using MDFA and iMetrica. I explain how in this article.

Before I begin, may I first draw your attention to a brief introduction of the context in which I am speaking, and that is real-time signal extraction in (nonlinear, nonstationary) information flow. The principle goal of filtering and signal extraction in real-time data analysis for whatever purpose necessary (financial trading, risk analysis, real-time trend detection, seasonal adjustment) is to detect and pinpoint as timely as possible a desired sequence of events in an incoming flow of data observations. We emphasize that this detection should be fast, in that the desired signal, or sequence of events, should be so robust in its timeliness and accuracy so as to detect turning points or actions in targeted events as they happen, or even become so awesome that it manages to anticipate what will happen in the future. Of course, this is never an exact science nor even always possible (otherwise we’d all be billionaires right?) and thus we rely on creative ways to cope with the unknown.

We can also think of signal extraction in more abstract terms. Real-time signal extraction entails the construction of a ‘smart’ illusion, an alternative to reality, where reality in this context is a time series, the information flow, the raw data. This ‘smart’ illusion that is being constructed is the signal, the vital information that has been extracted from an abundance of “noise” embedded in the reality. And the signal must produce important underlying secrets to satisfy the needs of the user, the signal extractor. How these signals are extracted from reality is the grand challenge. How are they produced in a robust, fast, and feasible manner so as to be effective in the real-time flow of information? The answer is in MDFA, or in other words as I’ll describe in this article, penetrating the subconscious state of reality to gain access to hidden treasures.

After recently re-watching the Christopher Nolan opus entitled Inception starring Leonardo DiCaprio and what seems like most of the cast from the Dark Knight Trilogy, I began to see some similarities between the main concepts entertainingly presented in the movie (using some pimped-up CGI), and the mathematics of  signal extraction using the multivariate direct filtering approach (MDFA). In this article I present some of these interesting parallels that I’ve managed to weave together.  My ultimate goal with this article is to hopefully paint a vivid picture of some interesting details stemming from the mathematics of the direct filtering approach by using the parallels that I’ve contrived between the two. Afterwards, hopefully you’ll be on your way to entering the realm of ‘dreaming within dreaming’, and extracting pertinent hidden secrets embedded in a flurry of noise.

The film introduces a slick con man by the name of Cobb (played by DiCaprio), and his team of super well-dressed con artists with leather jackets and slicked back hair (the classic con man look right?). The catchy idea that resides in the premise of the film is that these aren’t ordinary con men: they have a unique way of manipulating reality: by entering the dreams (subconscious ) of their targets (or marks as they call them in the film) and manipulate their subconscious dream state under the goal of extracting a desired idea or hidden secret. Like any group of con men, they attempt to construct a false reality by creating a certain architecture and environment in the target’s dream. The effectiveness of this ‘heist’ to capture the desired signals in the dream relies on the quality of the architecture and environment of the dream.

So how does all this relate to the mathematics of the MDFA for signal extraction. My vision can be seen as follows. In manipulating the target’s subconscious , Cobb’s group basically involves a collection of four components. Each one can be associated with a mathematical concept embedded in the MDFA.

The Target – At the highest level, we have reality. The real world in which the characters, and the target (victim), live. The target victim has an abundance of hidden information among the large capacity of mostly noise, from which Cobb’s group wish to manipulate and extract a hidden secret, the signal. In the MDFA world, we can associate or represent the information flow, the time series on which we perform the signal extraction process as the target victim in the real world. This is the data that we see, the reality. This data of course is non-deterministic,  namely we have no idea what the target victim has in mind for the future. The process of extracting the hidden thoughts or ideas from this target victim is akin to, in the MDFA world, the signal extraction process. The tools used to do the extracting are as follows.

The Extractor – The extractor is depicted in Inception as a master con man, a person who knows how to manipulate a subject (the target) in their subconscious dreaming world into revealing their deepest mental secrets. As the extractor’s goal is manipulation of the subconscious of a target to reveal a certain signal buried within reality, the extractor must transform the real-world conscious mental state of the target from reality into the dreaming subconscious world, by inducing a dream state. The multivariate direct filtering process of transforming the data (reality) into spectral frequency space (the subconscious ) via the Fourier transform to reveal the signal given the desired target data is metaphorically very similar to this process. The Inception extractor can be seen as being parallel to the process of transforming the data from reality into a subconscious world, the spectral frequency domain. It’s in this dreaming subconscious world, the frequency domain, where the real manipulation begins, using an architect.

The Architect – The Inception architect is the designer of the dream who constructs and builds the subconscious world into which the extractor brings the subject, or target. Just as the architect manipulates real world architecture and physics in order to create paradoxes like an endless staircase, folding buildings, smooth transitions from one place to another and other various phenomena otherwise impossible in the real world, the architect in the filtering world is the toolkit of filtering parameters that render the finite-dimensional metric space in which one constructs the filter coefficients to produce the desired signal. This includes the extraction rules (namely the symmetric target filter), customization for timeliness and speed, and regularization to warp and bend the finite dimensional filter metric space. Just as many different paths in the subconscious world toward the manipulation of the target subject exist and it is the architect’s job to create the optimal environment for extracting the desired signal, the architect in the direct filtering world uses the wide ranging set of filter parameters to bend and manipulate the metric space from which the filter coefficients are built and then used in the signal extraction process. Just as changing dynamics in the Inception real world (like the state of free-falling) will change the physics of the dreamt subconscious world (like floating in hotel elevator shafts while engaging in physical combat, Matrix style),  changing dynamics in the information flow will alter the geometry of the consequent architecture being built for the filter. And furthermore, just as the dream architect must be highly skilled in order to manipulate correctly, the MDFA architect must be highly skilled in order to construct the appropriate space in which the optimal signal is extracted (hint hint, call me or Marc, we’re the extractors and architects).

Dream within a dream – As one of the more fascinating concepts introduced in Inception, the concept of the dream within a dream was also the main trick to their success in dream manipulation. Starting from reality, each level of the dreaming subconscious state can be further transposed into another level of subconscious , namely dreaming within a dream. The dream within a dream process puts you into a deeper state of dreaming. The deeper you go, the further one’s mind is removed from reality. This is where the subject of dynamic adaptive filtering comes into play (see my previous article here for an intro and basics to dynamic adaptive filtering in iMetrica). In the direct filtering world, dynamic adaptive filtering is akin to the dream within a dream concept: Once in a level of subconscious (the spectral frequency space in MDFA), and the architect has created the dream used for manipulation (the metric space for the filter coefficients), a new level of subconscious can then be entered by introducing a newly adapted metric space based on the information extracted from the first level of subconscious.

In the dream within a dream, time is the other factor. The deeper you go into a dream state, the faster your mind is able to imagine and perceive things within that dream state. For example, one minute in reality can seem like one hour in the dream state. At the next level of subconscious, at each level in the subconscious , the element of time speeds up exponentially. A similar analogy can be extracted (no pun intended) in the concept of dynamic adaptive filtering. In dynamic adaptive filtering, we first begin by extracting a signal with the desired filter architecture at the first level transformation from reality to the spectral frequency space. When new information is received and our extracted signal is not behaving how we desire, we can build a new filter architecture for manipulating the signal with the newly provided information, with all the filter parameters available to control the desired filter properties. We are inherently building a new updated filter architecture on top of the old filter architecture, and consequently building a new signal from the output of the old signal by correcting (manipulating) this old signal toward our desired goals. This is akin to the dream within a dream concept. And just like the idea of time passing much faster at each subconscious level, the effects of filter parameters for controlling regularization and speed occur at a much faster rate since we are dealing with less information, a much shorter time frame (namely the newly arrived information) at each subsequent filtering level. One can even continue down the levels of subconscious, building a new architecture on top of the previous architecture, continuously using the newly provided information at each level to build the next level of subconsciousness; dream within a dream within a dream.

To summarize these analogies, I’ll be adding a graphic soon to this article that explains in a more succinct manner these parallels described above between Inception and MDFA. In the meantime, here are the temporary replacements.

Haters gonna hate… extractors gonna extract.

Nolan, why you leavin’ Leo out?