Detecting stochastic governing laws with observation on stationary distributions
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Publication:6102440
DOI10.1016/J.PHYSD.2023.133691zbMATH Open1509.60112arXiv2302.08036OpenAlexW4321792545MaRDI QIDQ6102440FDOQ6102440
Authors: Xiaoli Chen, Hui Wang, Jinqiao Duan 
Publication date: 8 May 2023
Published in: Physica D (Search for Journal in Brave)
Abstract: Mathematical models for complex systems are often accompanied with uncertainties. The goal of this paper is to extract a stochastic differential equation governing model with observation on stationary probability distributions. We develop a neural network method to learn the drift and diffusion terms of the stochastic differential equation. We introduce a new loss function containing the Hellinger distance between the observation data and the learned stationary probability density function. We discover that the learnt stochastic differential equation provides a fair approximation of the data-driven dynamical system after minimizing this loss function during the training method. The effectiveness of our method is demonstrated in numerical experiments.
Full work available at URL: https://arxiv.org/abs/2302.08036
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Cited In (3)
- Statistical Learning of Nonlinear Stochastic Differential Equations from Nonstationary Time Series using Variational Clustering
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- Data-driven method to learn the most probable transition pathway and stochastic differential equation
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