Extracting stochastic governing laws by non-local Kramers-Moyal formulae

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.

Data-driven prediction in dynamical systems: recent developments

In recent years, we have witnessed a significant shift toward ever-more complex and ever-larger-scale systems in the majority of the grand societal challenges tackled in applied sciences. The need to comprehend and predict the dynamics of complex systems have spurred developments in large-scale simulations and a multitude of methods across several disciplines. The goals of understanding and prediction in complex dynamical systems, however, have been hindered by high dimensionality, complexity and chaotic behaviours. Recent advances in data-driven techniques and machine-learning approaches have revolutionized how we model and analyse complex systems. The integration of these techniques with dynamical systems theory opens up opportunities to tackle previously unattainable challenges in modelling and prediction of dynamical systems. While data-driven prediction methods have made great strides in recent years, it is still necessary to develop new techniques to improve their applicability to a wider range of complex systems in science and engineering. This focus issue shares recent developments in the field of complex dynamical systems with emphasis on data-driven, data-assisted and artificial intelligence-based discovery of dynamical systems. This article is part of the theme issue 'Data-driven prediction in dynamical systems'.

An end-to-end deep learning approach for extracting stochastic dynamical systems with α-stable Lévy noise

Recently, extracting data-driven governing laws of dynamical systems through deep learning frameworks has gained much attention in various fields. Moreover, a growing amount of research work tends to transfer deterministic dynamical systems to stochastic dynamical systems, especially those driven by non-Gaussian multiplicative noise. However, many log-likelihood based algorithms that work well for Gaussian cases cannot be directly extended to non-Gaussian scenarios, which could have high errors and low convergence issues. In this work, we overcome some of these challenges and identify stochastic dynamical systems driven by α-stable Lévy noise from only random pairwise data. Our innovations include (1) designing a deep learning approach to learn both drift and diffusion coefficients for Lévy induced noise with α across all values, (2) learning complex multiplicative noise without restrictions on small noise intensity, and (3) proposing an end-to-end complete framework for stochastic system identification under a general input data assumption, that is, an α-stable random variable. Finally, numerical experiments and comparisons with the non-local Kramers-Moyal formulas with the moment generating function confirm the effectiveness of our method.