Extracting governing laws from sample path data of non-Gaussian stochastic dynamical systems
From MaRDI portal
Publication:2076049
heavy-tailed fluctuationsnon-Gaussian Lévy noisenonlocal Kramers-Moyal formulasrare eventsstochastic dynamical systems
Generation, random and stochastic difference and differential equations (37H10) Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical solutions to stochastic differential and integral equations (65C30)
Abstract: Advances in data science are leading to new progresses in the analysis and understanding of complex dynamics for systems with experimental and observational data. With numerous physical phenomena exhibiting bursting, flights, hopping, and intermittent features, stochastic differential equations with non-Gaussian L'evy noise are suitable to model these systems. Thus it is desirable and essential to infer such equations from available data to reasonably predict dynamical behaviors. In this work, we consider a data-driven method to extract stochastic dynamical systems with non-Gaussian asymmetric (rather than the symmetric) L'evy process, as well as Gaussian Brownian motion. We establish a theoretical framework and design a numerical algorithm to compute the asymmetric L'evy jump measure, drift and diffusion (i.e., nonlocal Kramers-Moyal formulas), hence obtaining the stochastic governing law, from noisy data. Numerical experiments on several prototypical examples confirm the efficacy and accuracy of this method. This method will become an effective tool in discovering the governing laws from available data sets and in understanding the mechanisms underlying complex random phenomena.
Recommendations
- Extracting non-Gaussian governing laws from data on mean exit time
- Detecting stochastic governing laws with observation on stationary distributions
- Discovering transition phenomena from data of stochastic dynamical systems with Lévy noise
- Detecting the maximum likelihood transition path from data of stochastic dynamical systems
- Discovering mean residence time and escape probability from data of stochastic dynamical systems
Cites work
- A data-driven approach for discovering stochastic dynamical systems with non-Gaussian Lévy noise
- A data-driven approximation of the koopman operator: extending dynamic mode decomposition
- An introduction to stochastic dynamics
- Analysis and Data-Based Reconstruction of Complex Nonlinear Dynamical Systems
- Analysis of a delayed vaccinated SIR epidemic model with temporary immunity and Lévy jumps
- Data-driven approximation of the Koopman generator: model reduction, system identification, and control
- Data-driven identification of parametric partial differential equations
- Detecting the maximum likelihood transition path from data of stochastic dynamical systems
- Discovering governing equations from data by sparse identification of nonlinear dynamical systems
- Discovering mean residence time and escape probability from data of stochastic dynamical systems
- Discovering transition phenomena from data of stochastic dynamical systems with Lévy noise
- Effects of Lévy noise on the dynamics of sine-Gordon solitons in long Josephson junctions
- Effects of Lévy noise on the Fitzhugh-Nagumo model: a perspective on the maximal likely trajectories
- Extracting non-Gaussian governing laws from data on mean exit time
- Financial Modelling with Jump Processes
- Fluctuations of Lévy processes with applications. Introductory lectures
- Governing equations for probability densities of Marcus stochastic differential equations with Lévy noise
- scientific article; zbMATH DE number 1598665 (Why is no real title available?)
- scientific article; zbMATH DE number 1221798 (Why is no real title available?)
- scientific article; zbMATH DE number 806759 (Why is no real title available?)
- scientific article; zbMATH DE number 932659 (Why is no real title available?)
- scientific article; zbMATH DE number 5209739 (Why is no real title available?)
- Lévy flights in evolutionary ecology
- Lévy noise induced transition and enhanced stability in a gene regulatory network
- Lévy noise-induced escape in an excitable system
- Lévy Processes and Stochastic Calculus
- Mean exit time and escape probability for dynamical systems driven by Lévy noises
- Most probable dynamics of stochastic dynamical systems with exponentially light jump fluctuations
- Most probable transition pathways and maximal likely trajectories in a genetic regulatory system
- Sparse dynamics for partial differential equations
- Spectral characteristics of steady-state Lévy flights in confinement potential profiles
- Stochastic basins of attraction for metastable states
- Stochastic dynamics of two picophytoplankton populations in a real marine ecosystem
- The maximum likelihood climate change for global warming under the influence of greenhouse effect and Lévy noise
Cited in
(20)- Learning mean-field equations from particle data using WSINDy
- Extracting stochastic dynamical systems with α-stable Lévy noise from data
- Discovering transition phenomena from data of stochastic dynamical systems with Lévy noise
- Extracting non-Gaussian governing laws from data on mean exit time
- Detecting the maximum likelihood transition path from data of stochastic dynamical systems
- Data-driven approximation for extracting the transition dynamics of a genetic regulatory network with non-Gaussian Lévy noise
- Detecting stochastic governing laws with observation on stationary distributions
- Stochastic dynamics and data science
- Data-driven method to extract mean exit time and escape probability for dynamical systems driven by Lévy noises
- Identifying stochastic governing equations from data of the most probable transition trajectories
- A deep learning method for computing mean exit time excited by weak Gaussian noise
- A data-driven framework for learning hybrid dynamical systems
- Data-driven discovery of stochastic dynamical systems with \(\alpha\)-stable Lévy noise based on residual networks
- An end-to-end deep learning approach for extracting stochastic dynamical systems with -stable Lévy noise
- Identification of hybrid energy harvesting systems with non-Gaussian process
- Data-driven approach for extracting the most probable exit trajectory of stochastic dynamical systems with non-Gaussian Lévy noise
- An evolutionary approach for discovering non-Gaussian stochastic dynamical systems based on nonlocal Kramers-Moyal formulas
- Data-driven modelling and dynamic analysis of the multistable energy harvester with non-Gaussian Lévy noise
- Data-driven neuronal dynamics: model identification and spiking analysis
- Nonlocal Kramers-Moyal formulas and data-driven discovery of stochastic dynamical systems with multiplicative Lévy noise
This page was built for publication: Extracting governing laws from sample path data of non-Gaussian stochastic dynamical systems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2076049)
