Extracting Sparse High-Dimensional Dynamics from Limited Data
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chaosexact recoveryhigh-dimensional dynamical systemsmodel selectionsparse optimizationundersampled data
Random matrices (probabilistic aspects) (60B20) Inference from stochastic processes (62M99) Numerical optimization and variational techniques (65K10) Numerical solution of inverse problems involving ordinary differential equations (65L09) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)
Abstract: Extracting governing equations from dynamic data is an essential task in model selection and parameter estimation. The form of the governing equation is rarely known a priori; however, based on the sparsity-of-effect principle one may assume that the number of candidate functions needed to represent the dynamics is very small. In this work, we leverage the sparse structure of the governing equations along with recent results from random sampling theory to develop methods for selecting dynamical systems from under-sampled data. In particular, we detail three sampling strategies that lead to the exact recovery of first-order dynamical systems when we are given fewer samples than unknowns. The first method makes no assumptions on the behavior of the data, and requires a certain number of random initial samples. The second method utilizes the structure of the governing equation to limit the number of random initializations needed. The third method leverages chaotic behavior in the data to construct a nearly deterministic sampling strategy. Using results from compressive sensing, we show that the strategies lead to exact recovery, which is stable to the sparse structure of the governing equations and robust to noise in the estimation of the velocity. Computational results validate each of the sampling strategies and highlight potential applications.
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