论文标题
时间序列的参数推断通过延迟嵌入和学习可区分的操作员
Parameter Inference of Time Series by Delay Embeddings and Learning Differentiable Operators
论文作者
论文摘要
我们提供了一种方法来识别动态系统的系统参数,称为ID-ODE-通过分化和观察延迟嵌入来推断。在这种情况下,我们从具有系统参数标签的动态系统中为我们提供了一个轨迹数据集。我们的目标是确定新轨迹的系统参数。给定的轨迹可能会或可能不会涵盖系统的完整状态,我们只能观察到一维时间序列。在后一种情况下,我们通过使用延迟嵌入来重建完整状态,在充分条件下,所采用的嵌入定理向我们保证,重建对原始状态是不同的。这使我们的方法可以在时间序列上使用。我们的方法是通过首先学习速度运算符(给定或重建)的神经网络,其状态和系统参数作为可变输入而起作用。然后,在新的轨迹上,我们将预测错误反向系统参数输入,从而为我们提供了梯度。然后,我们使用梯度下降来推断正确的系统参数。我们在许多数字示例中证明了方法的功效:Lorenz系统,Lorenz96,Lotka-Volterra Predator-Prey和化合物双摆。我们还将算法应用于现实世界数据集:霍尔效应推进器(HET)的推进。
We provide a method to identify system parameters of dynamical systems, called ID-ODE -- Inference by Differentiation and Observing Delay Embeddings. In this setting, we are given a dataset of trajectories from a dynamical system with system parameter labels. Our goal is to identify system parameters of new trajectories. The given trajectories may or may not encompass the full state of the system, and we may only observe a one-dimensional time series. In the latter case, we reconstruct the full state by using delay embeddings, and under sufficient conditions, Taken's Embedding Theorem assures us the reconstruction is diffeomorphic to the original. This allows our method to work on time series. Our method works by first learning the velocity operator (as given or reconstructed) with a neural network having both state and system parameters as variable inputs. Then on new trajectories we backpropagate prediction errors to the system parameter inputs giving us a gradient. We then use gradient descent to infer the correct system parameter. We demonstrate the efficacy of our approach on many numerical examples: the Lorenz system, Lorenz96, Lotka-Volterra Predator-Prey, and the Compound Double Pendulum. We also apply our algorithm on a real-world dataset: propulsion of the Hall-effect Thruster (HET).