Modeling of missing dynamical systems: deriving parametric models using a nonparametric framework

DOI10.1007/S40687-020-00217-4zbMATH Open1447.37067arXiv1905.08082OpenAlexW3102026477MaRDI QIDQ783086FDOQ783086

Authors: Shixiao W. Jiang, John Harlim 

Publication date: 30 July 2020

Published in: Research in the Mathematical Sciences (Search for Journal in Brave)

Abstract: In this paper, we consider modeling missing dynamics with a nonparametric non-Markovian model, constructed using the theory of kernel embedding of conditional distributions on appropriate Reproducing Kernel Hilbert Spaces (RKHS), equipped with orthonormal basis functions. Depending on the choice of the basis functions, the resulting closure model from this nonparametric modeling formulation is in the form of parametric model. This suggests that the success of various parametric modeling approaches that were proposed in various domains of applications can be understood through the RKHS representations. When the missing dynamical terms evolve faster than the relevant observable of interest, the proposed approach is consistent with the effective dynamics derived from the classical averaging theory. In the linear Gaussian case without the time-scale gap, we will show that the proposed non-Markovian model with a very long memory yields an accurate estimation of the nontrivial autocovariance function for the relevant variable of the full dynamics. Supporting numerical results on instructive nonlinear dynamics show that the proposed approach is able to replicate high-dimensional missing dynamical terms on problems with and without the separation of temporal scales.

Full work available at URL: https://arxiv.org/abs/1905.08082

Recommendations

• Stochastic quantification of missing mechanisms in dynamical systems
• scientific article; zbMATH DE number 934449
• A Bayesian nonparametric approach to reconstruction and prediction of random dynamical systems
• A nonlinear time series model and estimation of missing observations
• Nonparametric dynamic modeling

zbMATH Keywords

closure modelkernel embeddingmissing dynamical systemsnonparametric non-Markovian model

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Time series analysis of dynamical systems (37M10) Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.) (37M25) Approximation by polynomials (41A10) Approximation by arbitrary linear expressions (41A45)

Cites Work

• Support Vector Machines
• Heterogeneous multiscale methods: a review
• A computational strategy for multiscale systems with applications to Lorenz 96 model
• The structure of isotropic turbulence at very high Reynolds numbers
• A mathematical framework for stochastic climate models
• Physics constrained nonlinear regression models for time series
• Transport, Collective Motion, and Brownian Motion
• Linear theory for filtering nonlinear multiscale systems with model error
• Multiscale Methods
• Title not available (Why is that?)
• Semigroups of conditioned shifts and approximation of Markov processes
• Extracting macroscopic dynamics: model problems and algorithms
• Optimal prediction with memory
• Statistical mechanics for truncations of the Burgers-Hopf equation: a model for intrinsic stochastic behavior with scaling
• An ensemble Kalman filter for statistical estimation of physics constrained nonlinear regression models
• New perspectives on superparameterization for geophysical turbulence
• Models for stochastic climate prediction
• Remarkable statistical behavior for truncated Burgers–Hopf dynamics
• One-dimensional turbulence: model formulation and application to homogeneous turbulence, shear flows, and buoyant stratified flows
• Information Theory and Stochastics for Multiscale Nonlinear Systems
• A stochastic multicloud model for tropical convection
• Stochastic models for selected slow variables in large deterministic systems
• Some probabilistic problems and methods in singular perturbations
• Data-driven non-Markovian closure models
• Problem reduction, renormalization, and memory
• Data-driven parameterization of the generalized Langevin equation
• Data-driven computational methods. Parameter and operator estimations
• Semiparametric modeling: correcting low-dimensional model error in parametric models
• The role of additive and multiplicative noise in filtering complex dynamical systems
• Data-based stochastic model reduction for the Kuramoto-Sivashinsky equation
• \textit{A priori} estimation of memory effects in reduced-order models of nonlinear systems using the Mori-Zwanzig formalism

Cited In (12)

• Quantum Mechanics for Closure of Dynamical Systems
• ISALT: inference-based schemes adaptive to large time-stepping for locally Lipschitz ergodic systems
• A framework for machine learning of model error in dynamical systems
• Kernel Analog Forecasting: Multiscale Test Problems
• Estimation of parameters in incomplete data models defined by dynamical systems
• Kernel-based prediction of non-Markovian time series
• Data-driven model reduction, Wiener projections, and the Koopman-Mori-Zwanzig formalism
• Error bounds of the invariant statistics in machine learning of ergodic Itô diffusions
• Linear response based parameter estimation in the presence of model error
• Machine learning for prediction with missing dynamics
• Transport and scale interactions in geophysical flows. Abstracts from the workshop held July 16--21, 2023
• Stochastic quantification of missing mechanisms in dynamical systems

This page was built for publication: Modeling of missing dynamical systems: deriving parametric models using a nonparametric framework

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q783086)