6,589 research outputs found
Data-driven discovery of coordinates and governing equations
The discovery of governing equations from scientific data has the potential
to transform data-rich fields that lack well-characterized quantitative
descriptions. Advances in sparse regression are currently enabling the
tractable identification of both the structure and parameters of a nonlinear
dynamical system from data. The resulting models have the fewest terms
necessary to describe the dynamics, balancing model complexity with descriptive
ability, and thus promoting interpretability and generalizability. This
provides an algorithmic approach to Occam's razor for model discovery. However,
this approach fundamentally relies on an effective coordinate system in which
the dynamics have a simple representation. In this work, we design a custom
autoencoder to discover a coordinate transformation into a reduced space where
the dynamics may be sparsely represented. Thus, we simultaneously learn the
governing equations and the associated coordinate system. We demonstrate this
approach on several example high-dimensional dynamical systems with
low-dimensional behavior. The resulting modeling framework combines the
strengths of deep neural networks for flexible representation and sparse
identification of nonlinear dynamics (SINDy) for parsimonious models. It is the
first method of its kind to place the discovery of coordinates and models on an
equal footing.Comment: 25 pages, 6 figures; added acknowledgment
On the smoothness of nonlinear system identification
We shed new light on the \textit{smoothness} of optimization problems arising
in prediction error parameter estimation of linear and nonlinear systems. We
show that for regions of the parameter space where the model is not
contractive, the Lipschitz constant and -smoothness of the objective
function might blow up exponentially with the simulation length, making it hard
to numerically find minima within those regions or, even, to escape from them.
In addition to providing theoretical understanding of this problem, this paper
also proposes the use of multiple shooting as a viable solution. The proposed
method minimizes the error between a prediction model and the observed values.
Rather than running the prediction model over the entire dataset, multiple
shooting splits the data into smaller subsets and runs the prediction model
over each subset, making the simulation length a design parameter and making it
possible to solve problems that would be infeasible using a standard approach.
The equivalence to the original problem is obtained by including constraints in
the optimization. The new method is illustrated by estimating the parameters of
nonlinear systems with chaotic or unstable behavior, as well as neural
networks. We also present a comparative analysis of the proposed method with
multi-step-ahead prediction error minimization
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