Variational approach for learning Markov processes from time series data
From MaRDI portal
Publication:2303757
Abstract: Inference, prediction and control of complex dynamical systems from time series is important in many areas, including financial markets, power grid management, climate and weather modeling, or molecular dynamics. The analysis of such highly nonlinear dynamical systems is facilitated by the fact that we can often find a (generally nonlinear) transformation of the system coordinates to features in which the dynamics can be excellently approximated by a linear Markovian model. Moreover, the large number of system variables often change collectively on large time- and length-scales, facilitating a low-dimensional analysis in feature space. In this paper, we introduce a variational approach for Markov processes (VAMP) that allows us to find optimal feature mappings and optimal Markovian models of the dynamics from given time series data. The key insight is that the best linear model can be obtained from the top singular components of the Koopman operator. This leads to the definition of a family of score functions called VAMP-r which can be calculated from data, and can be employed to optimize a Markovian model. In addition, based on the relationship between the variational scores and approximation errors of Koopman operators, we propose a new VAMP-E score, which can be applied to cross-validation for hyper-parameter optimization and model selection in VAMP. VAMP is valid for both reversible and nonreversible processes and for stationary and non-stationary processes or realizations.
Recommendations
- Kernel embedding based variational approach for low-dimensional approximation of dynamical systems
- Sampling Low-Dimensional Markovian Dynamics for Preasymptotically Recovering Reduced Models from Data with Operator Inference
- Variational inference formulation for a model-free simulation of a dynamical system with unknown parameters by a recurrent neural network
- Kernel-based prediction of non-Markovian time series
- PHASE SPACE RECONSTRUCTION AND NONLINEAR PREDICTIONS FOR STATIONARY AND NONSTATIONARY MARKOVIAN PROCESSES
Cites work
- A computational method to extract macroscopic variables and their dynamics in multiscale systems
- A data-driven approximation of the koopman operator: extending dynamic mode decomposition
- A direct approach to conformational dynamics based on hybrid Monte Carlo
- A kernel-based method for data-driven Koopman spectral analysis
- A survey of cross-validation procedures for model selection
- A variational approach to modeling slow processes in stochastic dynamical systems
- Almost-Invariant and Finite-Time Coherent Sets: Directionality, Duration, and Diffusion
- Almost-invariant sets and invariant manifolds - connecting probabilistic and geometric descriptions of coherent structures in flows
- An analytic framework for identifying finite-time coherent sets in time-dependent dynamical systems
- An introduction to Markov state models and their application to long timescale molecular simulation
- An Introduction to Partial Differential Equations
- Analysis of Fluid Flows via Spectral Properties of the Koopman Operator
- Applied and computational measurable dynamics
- Canonical Correlation Analysis: An Overview with Application to Learning Methods
- Discovering governing equations from data by sparse identification of nonlinear dynamical systems
- Dynamic mode decomposition of numerical and experimental data
- Extended dynamic mode decomposition with dictionary learning: A data-driven adaptive spectral decomposition of the Koopman operator
- Finding dominant structures of nonreversible Markov processes
- scientific article; zbMATH DE number 1779223 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- Inequalities: theory of majorization and its applications
- Kernel-Based Nonlinear Blind Source Separation
- Linearly recurrent autoencoder networks for learning dynamics
- On convergence of extended dynamic mode decomposition to the Koopman operator
- On dynamic mode decomposition: theory and applications
- On the numerical approximation of the Perron-Frobenius and Koopman operator
- Optimal mixing enhancement by local perturbation
- Phase-amplitude reduction of transient dynamics far from attractors for limit-cycling systems
- Robust Perron cluster analysis in conformation dynamics
- Spectral analysis of nonlinear flows
- Spectral properties of dynamical systems, model reduction and decompositions
- Stochastic climate dynamics: random attractors and time-dependent invariant measures
- Tensor-based dynamic mode decomposition
- The elements of statistical learning. Data mining, inference, and prediction
- The Lorenz equations: bifurcations, chaos, and strange attractors
- Theoretical foundations of functional data analysis, with an introduction to linear operators
- Towards tensor-based methods for the numerical approximation of the Perron-Frobenius and Koopman operator
Cited in
(21)- On convergence of extended dynamic mode decomposition to the Koopman operator
- Tensor-based computation of metastable and coherent sets
- tgEDMD: approximation of the Kolmogorov operator in tensor train format
- Solving eigenvalue PDEs of metastable diffusion processes using artificial neural networks
- Coarse-grained modelling out of equilibrium
- Assessment of end-to-end and sequential data-driven learning for non-intrusive modeling of fluid flows
- Kernel embedding based variational approach for low-dimensional approximation of dynamical systems
- Learning Variable-Length Markov Models of Behavior
- Data-driven learning for the Mori-Zwanzig formalism: a generalization of the Koopman learning framework
- Koopman analysis of quantum systems*
- Modern Koopman theory for dynamical systems
- A variational approach to modeling slow processes in stochastic dynamical systems
- Overcoming the timescale barrier in molecular dynamics: Transfer operators, variational principles and machine learning
- Coherent set identification via direct low rank maximum likelihood estimation
- A semi-implicit stochastic multiscale method for radiative heat transfer problem in composite materials
- Nonequilibrium physics of brain dynamics
- Learning dynamical systems from data: gradient-based dictionary optimization
- Tracking and forecasting oscillatory data streams using Koopman autoencoders and Kalman filtering
- On finding optimal collective variables for complex systems by minimizing the deviation between effective and full dynamics
- Variance representations and convergence rates for data-driven approximations of Koopman operators
- Shape optimization of metastable states
This page was built for publication: Variational approach for learning Markov processes from time series data
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2303757)
