We present a numerical framework for learning unknown stochastic dynamical systems using measurement data. Termed stochastic flow map learning (sFML), the new framework is an extension of flow map learning (FML) that was developed for learning deterministic dynamical systems. For learning stochastic systems, we define a stochastic flow map that is a superposition of two sub-flow maps: a deterministic sub-map and a stochastic sub-map. The stochastic training data are used to construct the deterministic sub-map first, followed by the stochastic sub-map. The deterministic sub-map takes the form of residual network (ResNet), similar to the work of FML for deterministic systems. For the stochastic sub-map, we employ a generative model, particularly generative adversarial networks (GANs) in this paper. The final constructed stochastic flow map then defines a stochastic evolution model that is a weak approximation, in term of distribution, of the unknown stochastic system. A comprehensive set of numerical examples are presented to demonstrate the flexibility and effectiveness of the proposed sFML method for various types of stochastic systems.
Most works on joint state and unknown input (UI) estimation require the assumption that the UIs are linear; this is potentially restrictive as it does not hold in many intelligent autonomous systems. To overcome this restriction and circumvent the need to linearize the system, we propose a derivative-free Unknown Input Sigma-point Kalman Filter (SPKF-nUI) where the SPKF is interconnected with a general nonlinear UI estimator that can be implemented via nonlinear optimization and data-driven approaches. The nonlinear UI estimator uses the posterior state estimate which is less susceptible to state prediction error. In addition, we introduce a joint sigma-point transformation scheme to incorporate both the state and UI uncertainties in the estimation of SPKF-nUI. An in-depth stochastic stability analysis proves that the proposed SPKF-nUI yields exponentially converging estimation error bounds under reasonable assumptions. Finally, two case studies are carried out on a simulation-based rigid robot and a physical soft robot, i.e., robots made of soft materials with complex dynamics to validate effectiveness of the proposed filter on nonlinear dynamic systems. Our results demonstrate that the proposed SPKF-nUI achieves the lowest state and UI estimation errors when compared to the existing nonlinear state-UI filters.
Neural networks (NNs) that exploit strong inductive biases based on physical laws and symmetries have shown remarkable success in learning the dynamics of physical systems directly from their trajectory. However, these works focus only on the systems that follow deterministic dynamics, for instance, Newtonian or Hamiltonian dynamics. Here, we propose a framework, namely Brownian graph neural networks (BROGNET), combining stochastic differential equations (SDEs) and GNNs to learn Brownian dynamics directly from the trajectory. We theoretically show that BROGNET conserves the linear momentum of the system, which in turn, provides superior performance on learning dynamics as revealed empirically. We demonstrate this approach on several systems, namely, linear spring, linear spring with binary particle types, and non-linear spring systems, all following Brownian dynamics at finite temperatures. We show that BROGNET significantly outperforms proposed baselines across all the benchmarked Brownian systems. In addition, we demonstrate zero-shot generalizability of BROGNET to simulate unseen system sizes that are two orders of magnitude larger and to different temperatures than those used during training. Altogether, our study contributes to advancing the understanding of the intricate dynamics of Brownian motion and demonstrates the effectiveness of graph neural networks in modeling such complex systems.
We investigate linear dynamical systems of second order. Uncertainty quantification is applied, where physical parameters are substituted by random variables. A stochastic Galerkin method yields a linear dynamical system of second order with high dimensionality. A structure-preserv\-ing model order reduction (MOR) produces a small linear dynamical system of second order again. We arrange an associated port-Hamiltonian (pH) formulation of first order for the second-order systems. Each pH system implies a Hamiltonian function describing an internal energy. We examine the properties of the Hamiltonian function for the stochastic Galerkin systems. We show numerical results using a test example, where both the stochastic Galerkin method and structure-preserving MOR are applied.
We present a novel approach to system identification (SI) using deep learning techniques. Focusing on parametric system identification (PSI), we use a supervised learning approach for estimating the parameters of discrete and continuous-time dynamical systems, irrespective of chaos. To accomplish this, we transform collections of state-space trajectory observations into image-like data to retain the state-space topology of trajectories from dynamical systems and train convolutional neural networks to estimate the parameters of dynamical systems from these images. We demonstrate that our approach can learn parameter estimation functions for various dynamical systems, and by using training-time data augmentation, we are able to learn estimation functions whose parameter estimates are robust to changes in the sample fidelity of their inputs. Once trained, these estimation models return parameter estimations for new systems with negligible time and computation costs.
Pseudo-Hamiltonian neural networks (PHNN) were recently introduced for learning dynamical systems that can be modelled by ordinary differential equations. In this paper, we extend the method to partial differential equations. The resulting model is comprised of up to three neural networks, modelling terms representing conservation, dissipation and external forces, and discrete convolution operators that can either be learned or be given as input. We demonstrate numerically the superior performance of PHNN compared to a baseline model that models the full dynamics by a single neural network. Moreover, since the PHNN model consists of three parts with different physical interpretations, these can be studied separately to gain insight into the system, and the learned model is applicable also if external forces are removed or changed.
This paper focuses on investigating the learning operators for identifying weak solutions to the Navier-Stokes equations. Our objective is to establish a connection between the initial data as input and the weak solution as output. To achieve this, we employ a combination of deep learning methods and compactness argument to derive learning operators for weak solutions for any large initial data in 2D, and for low-dimensional initial data in 3D. Additionally, we utilize the universal approximation theorem to derive a lower bound on the number of sensors required to achieve accurate identification of weak solutions to the Navier-Stokes equations. Our results demonstrate the potential of using deep learning techniques to address challenges in the study of fluid mechanics, particularly in identifying weak solutions to the Navier-Stokes equations.
Sparse functional/longitudinal data have attracted widespread interest due to the prevalence of such data in social and life sciences. A prominent scenario where such data are routinely encountered are accelerated longitudinal studies, where subjects are enrolled in the study at a random time and are only tracked for a short amount of time relative to the domain of interest. The statistical analysis of such functional snippets is challenging since information for the far-off-diagonal regions of the covariance structure is missing. Our main methodological contribution is to address this challenge by bypassing covariance estimation and instead modeling the underlying process as the solution of a data-adaptive stochastic differential equation. Taking advantage of the interface between Gaussian functional data and stochastic differential equations makes it possible to efficiently reconstruct the target process by estimating its dynamic distribution. The proposed approach allows one to consistently recover forward sample paths from functional snippets at the subject level. We establish the existence and uniqueness of the solution to the proposed data-driven stochastic differential equation and derive rates of convergence for the corresponding estimators. The finite-sample performance is demonstrated with simulation studies and functional snippets arising from a growth study and spinal bone mineral density data.
Learning interpretable representations of neural dynamics at a population level is a crucial first step to understanding how observed neural activity relates to perception and behavior. Models of neural dynamics often focus on either low-dimensional projections of neural activity, or on learning dynamical systems that explicitly relate to the neural state over time. We discuss how these two approaches are interrelated by considering dynamical systems as representative of flows on a low-dimensional manifold. Building on this concept, we propose a new decomposed dynamical system model that represents complex non-stationary and nonlinear dynamics of time series data as a sparse combination of simpler, more interpretable components. Our model is trained through a dictionary learning procedure, where we leverage recent results in tracking sparse vectors over time. The decomposed nature of the dynamics is more expressive than previous switched approaches for a given number of parameters and enables modeling of overlapping and non-stationary dynamics. In both continuous-time and discrete-time instructional examples we demonstrate that our model can well approximate the original system, learn efficient representations, and capture smooth transitions between dynamical modes, focusing on intuitive low-dimensional non-stationary linear and nonlinear systems. Furthermore, we highlight our model's ability to efficiently capture and demix population dynamics generated from multiple independent subnetworks, a task that is computationally impractical for switched models. Finally, we apply our model to neural "full brain" recordings of C. elegans data, illustrating a diversity of dynamics that is obscured when classified into discrete states.
Recently, graph neural networks have been gaining a lot of attention to simulate dynamical systems due to their inductive nature leading to zero-shot generalizability. Similarly, physics-informed inductive biases in deep-learning frameworks have been shown to give superior performance in learning the dynamics of physical systems. There is a growing volume of literature that attempts to combine these two approaches. Here, we evaluate the performance of thirteen different graph neural networks, namely, Hamiltonian and Lagrangian graph neural networks, graph neural ODE, and their variants with explicit constraints and different architectures. We briefly explain the theoretical formulation highlighting the similarities and differences in the inductive biases and graph architecture of these systems. We evaluate these models on spring, pendulum, gravitational, and 3D deformable solid systems to compare the performance in terms of rollout error, conserved quantities such as energy and momentum, and generalizability to unseen system sizes. Our study demonstrates that GNNs with additional inductive biases, such as explicit constraints and decoupling of kinetic and potential energies, exhibit significantly enhanced performance. Further, all the physics-informed GNNs exhibit zero-shot generalizability to system sizes an order of magnitude larger than the training system, thus providing a promising route to simulate large-scale realistic systems.
The Bayesian paradigm has the potential to solve core issues of deep neural networks such as poor calibration and data inefficiency. Alas, scaling Bayesian inference to large weight spaces often requires restrictive approximations. In this work, we show that it suffices to perform inference over a small subset of model weights in order to obtain accurate predictive posteriors. The other weights are kept as point estimates. This subnetwork inference framework enables us to use expressive, otherwise intractable, posterior approximations over such subsets. In particular, we implement subnetwork linearized Laplace: We first obtain a MAP estimate of all weights and then infer a full-covariance Gaussian posterior over a subnetwork. We propose a subnetwork selection strategy that aims to maximally preserve the model's predictive uncertainty. Empirically, our approach is effective compared to ensembles and less expressive posterior approximations over full networks.