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Title: Asymptotic consistency of the WSINDy algorithm in the limit of continuum data
Abstract In this work we study the asymptotic consistency of the weak-form sparse identification of nonlinear dynamics algorithm (WSINDy) in the identification of differential equations from noisy samples of solutions. We prove that the WSINDy estimator is unconditionally asymptotically consistent for a wide class of models that includes the Navier–Stokes, Kuramoto–Sivashinsky and Sine–Gordon equations. We thus provide a mathematically rigorous explanation for the observed robustness to noise of weak-form equation learning. Conversely, we also show that, in general, the WSINDy estimator is only conditionally asymptotically consistent, yielding discovery of spurious terms with probability one if the noise level exceeds a critical threshold $$\sigma _{c}$$. We provide explicit bounds on $$\sigma _{c}$$ in the case of Gaussian white noise and we explicitly characterize the spurious terms that arise in the case of trigonometric and/or polynomial libraries. Furthermore, we show that, if the data is suitably denoised (a simple moving average filter is sufficient), then asymptotic consistency is recovered for models with locally-Lipschitz, polynomial-growth nonlinearities. Our results reveal important aspects of weak-form equation learning, which may be used to improve future algorithms. We demonstrate our findings numerically using the Lorenz system, the cubic oscillator, a viscous Burgers-growth model and a Kuramoto–Sivashinsky-type high-order PDE.  more » « less
Award ID(s):
2054085
PAR ID:
10559984
Author(s) / Creator(s):
;
Publisher / Repository:
Oxford University Press
Date Published:
Journal Name:
IMA Journal of Numerical Analysis
Volume:
45
Issue:
6
ISSN:
0272-4979
Format(s):
Medium: X Size: p. 3264-3312
Size(s):
p. 3264-3312
Sponsoring Org:
National Science Foundation
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