用物理不变测度对比,提升复杂系统识别的鲁棒性。
Invariant Measures for Data-Driven Dynamical System Identification: Analysis and Application
- 从轨迹直接拟合转为匹配全局不变统计量
- 在高维系统中仍保持高效与准确
- 解决混沌、噪声下唯一性难题,适合复杂动力系统建模
我们提出一种基于模拟与观测物理不变测度对比的新方法进行动力系统识别。传统方法采用拉格朗日视角,直接以时间轨迹为推断数据;本文则采用欧拉视角,寻找匹配观测全局时间不变统计量的模型。该方法对噪声、混沌和低采样率等常见挑战更具鲁棒性。前半部分将识别问题建模为偏微分方程(PDE)约束优化,利用有限体积离散化求得福克-普朗克方程的合成稳态解,并与从真实轨迹数据中提取的不变测度进行比较。后半部分在两个关键方向改进:第一,引入类伽辽金的有限体积代理模型,结合数据自适应非结构网格与蒙特卡洛积分,实现高维问题的高效扩展;第二,借助塔肯斯经典的时间延迟嵌入理论,设计关键的数据依赖坐标变换,确保仅凭不变测度即可唯一确定系统。该贡献解决了仅依赖不变测度时系统识别的唯一性难题——即使瞬态行为不同,状态坐标下的不变统计量也可能相同。文中通过一系列数值实验验证了方法在多种挑战性任务中的有效性。
原文摘要 · Abstract (English)
We propose a novel approach for performing dynamical system identification, based upon the comparison of simulated and observed physical invariant measures. While standard methods adopt a Lagrangian perspective by directly treating time-trajectories as inference data, we take on an Eulerian perspective and instead seek models fitting the observed global time-invariant statistics. With this change in perspective, we gain robustness against pervasive challenges in system identification including noise, chaos, and slow sampling. In the first half of this paper, we pose the system identification task as a partial differential equation (PDE) constrained optimization problem, in which synthetic stationary solutions of the Fokker-Planck equation, obtained as fixed points of a finite-volume discretization, are compared to physical invariant measures extracted from observed trajectory data. In the latter half of the paper, we improve upon this approach in two crucial directions. First, we develop a Galerkin-inspired modification to the finite-volume surrogate model, based on data-adaptive unstructured meshes and Monte-Carlo integration, enabling the approach to efficiently scale to high-dimensional problems. Second, we leverage Takens' seminal time-delay embedding theory to introduce a critical data-dependent coordinate transformation which can guarantee unique system identifiability from the invariant measure alone. This contribution resolves a major challenge of system identification through invariant measures, as systems exhibiting distinct transient behaviors may still share the same time-invariant statistics in their state-coordinates. Throughout, we present comprehensive numerical tests which highlight the effectiveness of our approach on a variety of challenging system identification tasks.
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