This paper addresses the data-driven identification of latent dynamical representations of partially-observed systems, i.e., dynamical systems for which some components are never observed, with an emphasis on forecasting applications, including long-term asymptotic patterns. Whereas state-of-the-art data-driven approaches rely on delay embeddings and linear decompositions of the underlying operators, we introduce a framework based on the data-driven identification of an augmented state-space model using a neural-network-based representation. For a given training dataset, it amounts to jointly learn an ODE (Ordinary Differential Equation) representation in the latent space and reconstructing latent states. Through numerical experiments, we demonstrate the relevance of the proposed framework w.r.t. state-of-the-art approaches in terms of short-term forecasting performance and long-term behaviour. We further discuss how the proposed framework relates to Koopman operator theory and Takens' embedding theorem.
The process of transforming observed data into predictive mathematical models of the physical world has always been paramount in science and engineering. Although data is currently being collected at an ever-increasing pace, devising meaningful models out of such observations in an automated fashion still remains an open problem. In this work, we put forth a machine learning approach for identifying nonlinear dynamical systems from data. Specifically, we blend classical tools from numerical analysis, namely the multi-step time-stepping schemes, with powerful nonlinear function approximators, namely deep neural networks, to distill the mechanisms that govern the evolution of a given data-set. We test the effectiveness of our approach for several benchmark problems involving the identification of complex, nonlinear and chaotic dynamics, and we demonstrate how this allows us to accurately learn the dynamics, forecast future states, and identify basins of attraction. In particular, we study the Lorenz system, the fluid flow behind a cylinder, the Hopf bifurcation, and the Glycoltic oscillator model as an example of complicated nonlinear dynamics typical of biological systems. We introduce a new family of deep neural network models. Instead of specifying a discrete sequence of hidden layers, we parameterize the derivative of the hidden state using a neural network. The output of the network is computed using a blackbox differential equation solver. These continuous-depth models have constant memory cost, adapt their evaluation strategy to each input, and can explicitly trade numerical precision for speed. We demonstrate these properties in continuous-depth residual networks and continuous-time latent variable models. We also construct continuous normalizing flows, a generative model that can train by maximum likelihood, without partitioning or ordering the data dimensions. For training, we show how to scalably backpropagate through any ODE solver, without access to its internal operations. This allows end-to-end training of ODEs within larger models. Our work explores methods for the data-driven inference of temporal evolutions of physical functions with deep learning techniques. More specifically, we target fluid flow problems, and we propose a novel LSTM-based approach to predict the changes of the pressure field over time. The central challenge in this context is the high dimensionality of Eulerian space-time data sets. Key for arriving at a feasible algorithm is a technique for dimensionality reduction based on convolutional neural networks, as well as a special architecture for temporal prediction. We demonstrate that dense 3D+time functions of physics system can be predicted with neural networks, and we arrive at a neural-network based simulation algorithm with significant practical speed-ups. We demonstrate the capabilities of our method with a series of complex liquid simulations, and with a set of single-phase buoyancy simulations. With a set of trained networks, our method is more than two orders of magnitudes faster than a traditional pressure solver. Additionally, we present and discuss a series of detailed evaluations for the different components of our algorithm. In this paper, we propose a method to model nonlinear systems using polynomial nonlinear state space equations. Obtaining good initial estimates is a major problem in nonlinear modelling. It is solved here by identifying first the best linear approximation of the system under test. The proposed identification procedure is successfully applied to measurements of two physical systems. In this work, we investigate residual neural network representations for the identification and forecasting of dynamical systems. We propose a novel architecture that jointly learns the dynamical model and the associated Runge-Kutta integration scheme. We demonstrate the relevance of the proposed architecture with respect to learning-based state-of-the-art approaches in the identification and forecasting of chaotic dynamics when provided with training data with low temporal sampling rates. Extracting governing equations from data is a central challenge in many diverse areas of science and engineering. Data are abundant whereas models often remain elusive, as in climate science, neuroscience, ecology, finance, and epidemiology, to name only a few examples. In this work, we combine sparsity-promoting techniques and machine learning with nonlinear dynamical systems to discover governing equations from noisy measurement data. The only assumption about the structure of the model is that there are only a few important terms that govern the dynamics, so that the equations are sparse in the space of possible functions; this assumption holds for many physical systems in an appropriate basis. In particular, we use sparse regression to determine the fewest terms in the dynamic governing equations required to accurately represent the data. This results in parsimonious models that balance accuracy with model complexity to avoid overfitting. We demonstrate the algorithm on a wide range of problems, from simple canonical systems, including linear and nonlinear oscillators and the chaotic Lorenz system, to the fluid vortex shedding behind an obstacle. The fluid example illustrates the ability of this method to discover the underlying dynamics of a system that took experts in the community nearly 30 years to resolve. We also show that this method generalizes to parameterized systems and systems that are time-varying or have external forcing.