Arbitrary-Order Finite-Time Corrections for the Kramers-Moyal Operator

Reconstruction of stochastic dynamics from large streamed datasets

The complex dynamics of physical systems can often be modeled with stochastic differential equations. However, computational constraints inhibit the estimation of dynamics from large time-series datasets. I present a method for estimating drift and diffusion functions from inordinately large datasets through the use of incremental, online, updating statistics. I demonstrate the validity and utility of this method by analyzing three large, varied synthetic datasets, as well as an empirical turbulence dataset. This method will hopefully facilitate the analysis of complex systems from exceedingly large, "big data" scientific datasets, as well as real-time streamed data.

Kernel-based learning framework for discovering the governing equations of stochastic jump-diffusion processes directly from data

Discovering the underlying mathematical-physical equations of complex systems directly from observational data has been a challenging inversion problem. We propose a data-driven framework for identifying dynamical information in stochastic diffusion or stochastic jump-diffusion systems. The probability density function is utilized to relate the Kramers-Moyal expansion to the governing equations, and the kernel density estimation method, improved by the Fourier transform idea, is used to extract the Kramers-Moyal coefficients from the time series of the state variables of the system. These coefficients provide the data expression of the governing equations of the system. Then a data-driven sparse identification algorithm is used to reconstruct the underlying dynamic equations. The proposed framework does not rely on prior assumptions, and all results are obtained directly from the data. In addition, we demonstrate its validity and accuracy using illustrative one- and two-dimensional examples.

Sparse inference and active learning of stochastic differential equations from data

Automatic machine learning of empirical models from experimental data has recently become possible as a result of increased availability of computational power and dedicated algorithms. Despite the successes of non-parametric inference and neural-network-based inference for empirical modelling, a physical interpretation of the results often remains challenging. Here, we focus on direct inference of governing differential equations from data, which can be formulated as a linear inverse problem. A Bayesian framework with a Laplacian prior distribution is employed for finding sparse solutions efficiently. The superior accuracy and robustness of the method is demonstrated for various cases, including ordinary, partial, and stochastic differential equations. Furthermore, we develop an active learning procedure for the automated discovery of stochastic differential equations. In this procedure, learning of the unknown dynamical equations is coupled to the application of perturbations to the measured system in a feedback loop. We show that active learning can significantly improve the inference of global models for systems with multiple energetic minima.

Towards a Data-Driven Estimation of Resilience in Networked Dynamical Systems: Designing a Versatile Testbed

Estimating resilience of adaptive, networked dynamical systems remains a challenge. Resilience refers to a system's capacity "to absorb exogenous and/or endogenous disturbances and to reorganize while undergoing change so as to still retain essentially the same functioning, structure, and feedbacks." The majority of approaches to estimate resilience requires exact knowledge of the underlying equations of motion; the few data-driven approaches so far either lack appropriate strategies to verify their suitability or remain subject of considerable debate. We develop a testbed that allows one to modify resilience of a multistable networked dynamical system in a controlled manner. The testbed also enables generation of multivariate time series of system observables to evaluate the suitability of data-driven estimators of resilience. We report first findings for such an estimator.