Extracting structured dynamical systems using sparse optimization with very few samples

DOI10.1137/18M1194730zbMATH Open1528.65035arXiv1805.04158MaRDI QIDQ6301445FDOQ6301445

Giang Tran, Hayden Schaeffer, Rachel Ward, Linan Zhang

Publication date: 10 May 2018

Abstract: Learning governing equations allows for deeper understanding of the structure and dynamics of data. We present a random sampling method for learning structured dynamical systems from under-sampled and possibly noisy state-space measurements. The learning problem takes the form of a sparse least-squares fitting over a large set of candidate functions. Based on a Bernstein-like inequality for partly dependent random variables, we provide theoretical guarantees on the recovery rate of the sparse coefficients and the identification of the candidate functions for the corresponding problem. Computational results are demonstrated on datasets generated by the Lorenz 96 equation, the viscous Burgers' equation, and the two-component reaction-diffusion equations (which is challenging due to parameter sensitives in the model). This formulation has several advantages including ease of use, theoretical guarantees of success, and computational efficiency with respect to ambient dimension and number of candidate functions.

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Applications of mathematical programming (90C90) Low-dimensional dynamical systems (37E99) Sampling theory in information and communication theory (94A20) Numerical methods for mathematical programming, optimization and variational techniques (65K99)

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