Accurately modelling the nonlinear dynamics of a system from measurement data is a challenging yet vital topic. The sparse identification of nonlinear dynamics (SINDy) algorithm is one approach to discover dynamical systems models from data. Although extensions have been developed to identify implicit dynamics, or dynamics described by rational functions, these extensions are extremely sensitive to noise. In this work, we develop SINDy-PI (parallel, implicit), a robust variant of the SINDy algorithm to identify implicit dynamics and rational nonlinearities. The SINDy-PI framework includes multiple optimization algorithms and a principled approach to model selection. We demonstrate the ability of this algorithm to learn implicit ordinary and partial differential equations and conservation laws from limited and noisy data. In particular, we show that the proposed approach is several orders of magnitude more noise robust than previous approaches, and may be used to identify a class of ODE and PDE dynamics that were previously unattainable with SINDy, including for the double pendulum dynamics and simplified model for the Belousov–Zhabotinsky (BZ) reaction.
Automated data-driven modeling, the process of directly discovering the governing equations of a system from data, is increasingly being used across the scientific community. PySINDy is a Python package that provides tools for applying the sparse identification of nonlinear dynamics (SINDy) approach to data-driven model discovery. In this major update to PySINDy, we implement several advanced features that enable the discovery of more general differential equations from noisy and limited data. The library of candidate terms is extended for the identification of actuated systems, partial differential equations (PDEs), and implicit differential equations. Robust formulations, including the integral form of SINDy and ensembling techniques, are also implemented to improve performance for real-world data. Finally, we provide a range of new optimization algorithms, including several sparse regression techniques and algorithms to enforce and promote inequality constraints and stability. Together, these updates enable entirely new SINDy model discovery capabilities that have not been reported in the literature, such as constrained PDE identification and ensembling with different sparse regression optimizers.
The sparse identification of nonlinear dynamics (SINDy) is a regression framework for the discovery of parsimonious dynamic models and governing equations from time-series data. As with all system identification methods, noisy measurements compromise the accuracy and robustness of the model discovery procedure. In this work we develop a variant of the SINDy algorithm that integrates automatic differentiation and recent time-stepping constrained motivated by Rudy et al. [1] for simultaneously (i) denoising the data, (ii) learning and parametrizing the noise probability distribution, and (iii) identifying the underlying parsimonious dynamical system responsible for generating the time-series data. Thus within an integrated optimization framework, noise can be separated from signal, resulting in an architecture that is approximately twice as robust to noise as state-of-the-art methods, handling as much as 40% noise on a given time-series signal and explicitly parametrizing the noise probability distribution. We demonstrate this approach on several numerical examples, from Lotka-Volterra models to the spatio-temporal Lorenz 96 model. Further, we show the method can learn a diversity of probability distributions for the measurement noise, including Gaussian, uniform, Gamma, and Rayleigh distributions.
First principles modeling of physical systems has led to significant technological advances across all branches of science. For nonlinear systems, however, small modeling errors can lead to significant deviations from the true, measured behavior. Even in mechanical systems, where the equations are assumed to be well-known, there are often model discrepancies corresponding to nonlinear friction, wind resistance, etc. Discovering models for these discrepancies remains an open challenge for many complex systems.In this work, we use the sparse identification of nonlinear dynamics (SINDy) algorithm to discover a model for the discrepancy between a simplified model and measurement data. In particular, we assume that the model mismatch can be sparsely represented in a library of candidate model terms. We demonstrate the efficacy of our approach on several examples including experimental data from a double pendulum on a cart. We further design and implement a feed-forward controller in simulations, showing improvement with a discrepancy model.
The sparse identification of nonlinear dynamics (SINDy) is a regression framework for the discovery of parsimonious dynamic models and governing equations from time-series data. As with all system identification methods, noisy measurements compromise the accuracy and robustness of the model discovery procedure. In this work we develop a variant of the SINDy algorithm that integrates automatic differentiation and recent time-stepping constrained motivated by Rudy et al. [1] for simultaneously (i) denoising the data, (ii) learning and parametrizing the noise probability distribution, and (iii) identifying the underlying parsimonious dynamical system responsible for generating the time-series data. Thus within an integrated optimization framework, noise can be separated from signal, resulting in an architecture that is approximately twice as robust to noise as state-of-the-art methods, handling as much as 40% noise on a given time-series signal and explicitly parametrizing the noise probability distribution. We demonstrate this approach on several numerical examples, from Lotka-Volterra models to the spatio-temporal Lorenz 96 model. Further, we show the method can identify a diversity of probability distributions including Gaussian, uniform, Gamma, and Rayleigh.
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