用单条粗糙信号解微分方程,突破传统需多组数据的限制。
Branched Signature Kernel Solvers for ODEs with rough Single-Trajectory signals

- 通过层级采样将单条轨迹转为多级训练路径,适配签名核方法
- 在6个基准上实现全参数范围内的高精度稳定预测
- 适合地震、金融等仅有一条观测数据的物理系统建模
我们提出一种分枝签名核求解器,用于求解由单条观测轨迹驱动的线性与非线性常微分方程——这一场景常见于地震工程、金融、生物及结构健康监测等领域,其中仅有一次强迫信号的实测记录,且求解器必须遵守物理规律而无需多组样本。我们首先引入计数采样构造方法,将单次观测转化为一组包含 $N+1$ 条嵌套路径的层次化训练路径,使原本针对多实测回归设计的签名核方法可应用于单轨迹情形。随后构建核配置框架,将待求解函数的近似形式置于解的高阶导数或解本身。我们证明了分枝签名核的通用逼近定理,借助 Hairer--Kelly 映射,将分枝签名评估表达为时间延拓路径的几何签名。离线求解器扩展为支持流式测试/训练/重训练协议,并在线性与非线性情形下提供可选闭式在线更新。六个基准上的数值实验表明,该方法在所有参数区间均具备高精度与稳定性。
原文摘要 · Abstract (English)
We develop a branched signature kernel solver for linear and nonlinear ordinary differential equations driven by a \emph{single observed trajectory} of a possibly rough forcing signal--a setting common within earthquake engineering, finance, biology, and structural health monitoring, where only one forcing realization is available, and the solver must respect the underlying physical law without an ensemble of realizations. We first introduce a count-sampling construction method to turn the single observation into a hierarchical family of $N+1$ nested training paths on which the branched signature kernel can be evaluated; this allows the signature kernel machinery, originally designed for multi-realization regression problems, to operate on a single-trajectory observation. Then we build a kernel-collocation framework, which places the ansatz either on the highest-order derivative of the solution or on the solution itself. We prove a universal approximation theorem for the branched signature kernel, leveraging the Hairer--Kelly morphism to express branched signature evaluations through geometric signatures of time-extended paths. The offline solver is extended to a streaming Test/Train/Retrain protocol with optional closed-form online updates in both linear and nonlinear cases. Numerical experiments on six benchmarks show accurate, stable predictions across all regimes.
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