Detecting stochastic governing laws with observation on stationary distributions
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Publication:6102440
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.
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Cited in
(13)- Extracting governing laws from sample path data of non-Gaussian stochastic dynamical systems
- One-shot learning of stochastic differential equations with data adapted kernels
- Deep learning of biological models from data: applications to ODE models
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- Generative ensemble regression: Learning particle dynamics from observations of ensembles with physics-informed deep generative models
- Learning stochastic closures using ensemble Kalman inversion
- Extracting non-Gaussian governing laws from data on mean exit time
- Statistical Learning of Nonlinear Stochastic Differential Equations from Nonstationary Time Series using Variational Clustering
- Reservoir computing with error correction: long-term behaviors of stochastic dynamical systems
- Weak collocation regression method: fast reveal hidden stochastic dynamics from high-dimensional aggregate data
- Identifying stochastic governing equations from data of the most probable transition trajectories
- DynGMA: a robust approach for learning stochastic differential equations from data
- STWCR: weak collocation regression for revealing hidden stochastic dynamics from single trajectory data
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