Generative Adversarial Network for Probabilistic Forecast of Random Dynamical Systems

DOI10.1137/21M1457448WikidataQ114073946 ScholiaQ114073946MaRDI QIDQ5095487FDOQ5095487

Authors: Kyongmin Yeo, Zan Li, Wesley M. Gifford 

Publication date: 9 August 2022

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2111.03126

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zbMATH Keywords

deep learninguncertainty quantificationrandom dynamical systemrecurrent neural networkgenerative adversarial network

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Artificial neural networks and deep learning (68T07) Neural nets and related approaches to inference from stochastic processes (62M45)

Cites Work

• Time series analysis. Forecasting and control
• A kernel two-sample test
• Deep learning
• Oscillation and chaos in physiological control systems
• Chaotic attractors of an infinite-dimensional dynamical system
• Data based identification and prediction of nonlinear and complex dynamical systems
• Data-driven forecasting of high-dimensional chaotic systems with long short-term memory networks
• Physics-informed generative adversarial networks for stochastic differential equations
• Data driven governing equations approximation using deep neural networks
• Data-driven discovery of coordinates and governing equations
• Deep learning algorithm for data-driven simulation of noisy dynamical system
• Unsupervised deep learning for super-resolution reconstruction of turbulence
• Variational inference formulation for a model-free simulation of a dynamical system with unknown parameters by a recurrent neural network
• Ensemble Transform Algorithms for Nonlinear Smoothing Problems

Cited In (3)

• Generative adversarial networks are special cases of artificial curiosity (1990) and also closely related to predictability minimization (1991)
• Generative adversarial networks applied to synthetic financial scenarios generation
• Generative deep learning for decision making in gas networks

Uses Software

• EnKF
• Adam
• SeqGAN
• SGDR
• PyTorchTS
• DeepAR
• DeepONet

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