skip to main content


Title: Learning Stochastic Dynamical Systems via Bridge Sampling
We develop algorithms to automate discovery of stochastic dynamical system models from noisy, vector-valued time series. By discovery, we mean learning both a nonlinear drift vector field and a diagonal diffusion matrix for an Itô stochastic differential equation in Rd . We parameterize the vector field using tensor products of Hermite polynomials, enabling the model to capture highly nonlinear and/or coupled dynamics. We solve the resulting estimation problem using expectation maximization (EM). This involves two steps. We augment the data via diffusion bridge sampling, with the goal of producing time series observed at a higher frequency than the original data. With this augmented data, the resulting expected log likelihood maximization problem reduces to a least squares problem. We provide an open-source implementation of this algorithm. Through experiments on systems with dimensions one through eight, we show that this EM approach enables accurate estimation for multiple time series with possibly irregular observation times. We study how the EM method performs as a function of the amount of data augmentation, as well as the volume and noisiness of the data.  more » « less
Award ID(s):
1723272
NSF-PAR ID:
10184355
Author(s) / Creator(s):
;
Date Published:
Journal Name:
Advanced Analytics and Learning on Temporal Data. AALTD 2019. Lecture Notes in Computer Science
Volume:
11986
Page Range / eLocation ID:
183-198
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
More Like this
  1. We propose a novel methodology for fault detection and diagnosis in partially-observed Boolean dynamical systems (POBDS). These are stochastic, highly nonlinear, and derivative- less systems, rendering difficult the application of classical fault detection and diagnosis methods. The methodology comprises two main approaches. The first addresses the case when the normal mode of operation is known but not the fault modes. It applies an innovations filter (IF) to detect deviations from the nominal normal mode of operation. The second approach is applicable when the set of possible fault models is finite and known, in which case we employ a multiple model adaptive estimation (MMAE) approach based on a likelihood-ratio (LR) statistic. Unknown system parameters are estimated by an adaptive expectation- maximization (EM) algorithm. Particle filtering techniques are used to reduce the computational complexity in the case of systems with large state-spaces. The efficacy of the proposed methodology is demonstrated by numerical experiments with a large gene regulatory network (GRN) with stuck-at faults observed through a single noisy time series of RNA-seq gene expression measurements. 
    more » « less
  2. Abstract Although the governing equations of many systems, when derived from first principles, may be viewed as known, it is often too expensive to numerically simulate all the interactions they describe. Therefore, researchers often seek simpler descriptions that describe complex phenomena without numerically resolving all the interacting components. Stochastic differential equations (SDEs) arise naturally as models in this context. The growth in data acquisition, both through experiment and through simulations, provides an opportunity for the systematic derivation of SDE models in many disciplines. However, inconsistencies between SDEs and real data at short time scales often cause problems, when standard statistical methodology is applied to parameter estimation. The incompatibility between SDEs and real data can be addressed by deriving sufficient statistics from the time-series data and learning parameters of SDEs based on these. Here, we study sufficient statistics computed from time averages, an approach that we demonstrate to lead to sufficient statistics on a variety of problems and that has the secondary benefit of obviating the need to match trajectories. Following this approach, we formulate the fitting of SDEs to sufficient statistics from real data as an inverse problem and demonstrate that this inverse problem can be solved by using ensemble Kalman inversion. Furthermore, we create a framework for non-parametric learning of drift and diffusion terms by introducing hierarchical, refinable parameterizations of unknown functions, using Gaussian process regression. We demonstrate the proposed methodology for the fitting of SDE models, first in a simulation study with a noisy Lorenz ’63 model, and then in other applications, including dimension reduction in deterministic chaotic systems arising in the atmospheric sciences, large-scale pattern modeling in climate dynamics and simplified models for key observables arising in molecular dynamics. The results confirm that the proposed methodology provides a robust and systematic approach to fitting SDE models to real data. 
    more » « less
  3. Larochelle, H. ; Ranzato, M. ; Hadsell, R. ; Balcan, M. F. ; Lin, H. (Ed.)
    We propose a novel learning framework based on neural mean-field dynamics for inference and estimation problems of diffusion on networks. Our new framework is derived from the Mori-Zwanzig formalism to obtain an exact evolution of the node infection probabilities, which renders a delay differential equation with memory integral approximated by learnable time convolution operators, resulting in a highly structured and interpretable RNN. Directly using cascade data, our framework can jointly learn the structure of the diffusion network and the evolution of infection probabilities, which are cornerstone to important downstream applications such as influence maximization. Connections between parameter learning and optimal control are also established. Empirical study shows that our approach is versatile and robust to variations of the underlying diffusion network models, and significantly outperform existing approaches in accuracy and efficiency on both synthetic and real-world data. 
    more » « less
  4. Principal Component Analysis (PCA) is a standard dimensionality reduction technique, but it treats all samples uniformly, making it suboptimal for heterogeneous data that are increasingly common in modern settings. This paper proposes a PCA variant for samples with heterogeneous noise levels, i.e., heteroscedastic noise, that naturally arise when some of the data come from higher quality sources than others. The technique handles heteroscedasticity by incorporating it in the statistical model of a probabilistic PCA. The resulting optimization problem is an interesting nonconvex problem related to but not seemingly solved by singular value decomposition, and this paper derives an expectation maximization (EM) algorithm. Numerical experiments illustrate the benefits of using the proposed method to combine samples with heteroscedastic noise in a single analysis, as well as benefits of careful initialization for the EM algorithm. Index Terms— Principal component analysis, heterogeneous data, maximum likelihood estimation, latent factors 
    more » « less
  5. Knowledge discovery and information extraction of large and complex datasets has attracted great attention in wide-ranging areas from statistics and biology to medicine. Tools from machine learning, data mining, and neurocomputing have been extensively explored and utilized to accomplish such compelling data analytics tasks. However, for time-series data presenting active dynamic characteristics, many of the state-of-the-art techniques may not perform well in capturing the inherited temporal structures in these data. In this paper, integrating the Koopman operator and linear dynamical systems theory with support vector machines (SVMs), we develop a novel dynamic data mining framework to construct low-dimensional linear models that approximate the nonlinear flow of high-dimensional time-series data generated by unknown nonlinear dynamical systems. This framework then immediately enables pattern recognition, e.g., classification, of complex time-series data to distinguish their dynamic behaviors by using the trajectories generated by the reduced linear systems. Moreover, we demonstrate the applicability and efficiency of this framework through the problems of time-series classification in bioinformatics and healthcare, including cognitive classification and seizure detection with fMRI and EEG data, respectively. The developed Koopman dynamic learning framework then lays a solid foundation for effective dynamic data mining and promises a mathematically justified method for extracting the dynamics and significant temporal structures of nonlinear dynamical systems. 
    more » « less