Methods for Inference and Prediction in Nonlinear Dynamical Systems

Methods for Inference and Prediction in Nonlinear Dynamical Systems
Author: Zheng Fang
Publisher:
Total Pages: 128
Release: 2021
Genre:
ISBN:

Transferring information from data to models is crucial to many scientific disciplines. Typically, the data collected are noisy, and the total number of degrees of freedom of the model far exceeds that of the data. For data assimilation in which a physical dynamical system is of interest, one could usually observe only a subset of the vector state of the system at any given time. For an artificial neural network that may be formulated as a dynamical model, observations are limited to only the input and output layers; the network topology of the hidden layers remains flexible. As a result, to train such dynamical models, it is necessary to simultaneously estimate both the observed and unobserved degrees of freedom in the models, along with all the time-independent parameters. These requirements bring significant challenges to the task. This dissertation develops methods for systematically transferring information from noisy, partial data into nonlinear dynamical models. A theoretical basis for all these methods is first formulated. Specifically, a high-dimensional probability distribution containing the structure of the dynamics and the data is derived. The task can then be formally cast as the evaluation of an expected-value integral under that probability distribution. A well-studied sampling procedure called Hamiltonian Monte Carlo is then introduced as a functioning part to be combined with Precision Annealing, a framework for gradually enforcing the model constraints into the probability distribution. Numerical applications are then demonstrated on two physical dynamical systems. In each case, inferences are made for both the model states within the observation window and the time-independent parameters.-Once complete, the predictive power of the model is then validated by additional data. Following these is a discussion of the role of the state-space representation. The dissertation concludes with an exploration of new methods for training artificial neural networks without using the well-known backpropagation procedure. Given the equivalence between the structure of an artificial neural network and that of a dynamical system, the aforementioned theoretical basis is applicable in this arena. The computational results presented indicate promising potentials of the proposed methods.

Stochastic Methods for Modeling and Predicting Complex Dynamical Systems

Stochastic Methods for Modeling and Predicting Complex Dynamical Systems
Author: Nan Chen
Publisher: Springer Nature
Total Pages: 208
Release: 2023-03-13
Genre: Mathematics
ISBN: 3031222490

This book enables readers to understand, model, and predict complex dynamical systems using new methods with stochastic tools. The author presents a unique combination of qualitative and quantitative modeling skills, novel efficient computational methods, rigorous mathematical theory, as well as physical intuitions and thinking. An emphasis is placed on the balance between computational efficiency and modeling accuracy, providing readers with ideas to build useful models in practice. Successful modeling of complex systems requires a comprehensive use of qualitative and quantitative modeling approaches, novel efficient computational methods, physical intuitions and thinking, as well as rigorous mathematical theories. As such, mathematical tools for understanding, modeling, and predicting complex dynamical systems using various suitable stochastic tools are presented. Both theoretical and numerical approaches are included, allowing readers to choose suitable methods in different practical situations. The author provides practical examples and motivations when introducing various mathematical and stochastic tools and merges mathematics, statistics, information theory, computational science, and data science. In addition, the author discusses how to choose and apply suitable mathematical tools to several disciplines including pure and applied mathematics, physics, engineering, neural science, material science, climate and atmosphere, ocean science, and many others. Readers will not only learn detailed techniques for stochastic modeling and prediction, but will develop their intuition as well. Important topics in modeling and prediction including extreme events, high-dimensional systems, and multiscale features are discussed.

Modeling, Simulation and Control of Nonlinear Engineering Dynamical Systems

Modeling, Simulation and Control of Nonlinear Engineering Dynamical Systems
Author: Jan Awrejcewicz
Publisher: Springer Science & Business Media
Total Pages: 336
Release: 2008-12-26
Genre: Technology & Engineering
ISBN: 1402087780

This volume contains the invited papers presented at the 9th International Conference "Dynamical Systems — Theory and Applications" held in Lódz, Poland, December 17-20, 2007, dealing with nonlinear dynamical systems. The conference brought together a large group of outstanding scientists and engineers, who deal with various problems of dynamics encountered both in engineering and in daily life. Topics covered include, among others, bifurcations and chaos in mechanical systems; control in dynamical systems; asymptotic methods in nonlinear dynamics; stability of dynamical systems; lumped and continuous systems vibrations; original numerical methods of vibration analysis; and man-machine interactions. Thus, the reader is given an overview of the most recent developments of dynamical systems and can follow the newest trends in this field of science. This book will be of interest to to pure and applied scientists working in the field of nonlinear dynamics.

A Framework for Linear Prediction of Nonlinear Dynamical Systems Using Koopman Theory

A Framework for Linear Prediction of Nonlinear Dynamical Systems Using Koopman Theory
Author: Ashwin Srinivas Badrinath
Publisher:
Total Pages: 36
Release: 2020
Genre:
ISBN:

Despite many advances being made in classical techniques for handling dynamical systems,the class of nonlinear dynamical systems is yet to be treated under a "one size fits all" scheme as is the case with linear dynamical systems. But given that all linear systems lendthemselves to easy representation, analysis and control, one could leverage existing theorythat allows us to examine nonlinear dynamical systems under the same lens.Koopman theory comes as an answer to this felt need of simplifying how we deal withnonlinear dynamical systems and influence their behaviour. By riding on the rising tidesof big data and massive compute that is prevalent in our times, data driven methods toapproximate the Koopman operator can be used to develop a framework to cast a nonlineardynamical system into a linear dynamical system in a higher dimensional state space. Thishigher dimensional state space can be operated in and the resulting actions and trajectoriesthat the system assumes in this higher state space can then be translated to the originalmanifold that the system lives in naturally.This thesis proposes an end-to-end framework that constructs a linear approximation toa nonlinear dynamical system by lifting the original state space to a higher dimensional state space where it is linear. The preprocessing stage that one must go through, the choiceof lifting function that results in the higher dimensional state space, building the linear modelin this higher dimensional state space and subsequently forecasting with an initial conditionand some control inputs, if applicable, are all discussed.Two methods were tried on three classes of systems which are unforced nonlinear dynamicalsystems, forced affine nonlinear dynamical systems and forced nonaffine nonlinear dynamicalsystems. One method leverage deep learning to choose the lifting functions to attain linearadvancement in the resulting higher dimensional state space and the other makes use ofsparse regression techniques to identify analytical expressions for possible candidate liftingfunctions, so in this case we are aware of what the lifting functions are exactly.The trajectories that were obtained from the linear model derived in the higher dimensionalstate space were very close to the original trajectories obtained by advancing the nonlinearsystem with a numerical solver. This shows that this single framework is very reliable inrepresenting and analyzing nonlinear dynamical systems.

Modelling and Forecasting Financial Data

Modelling and Forecasting Financial Data
Author: Abdol S. Soofi
Publisher: Springer Science & Business Media
Total Pages: 496
Release: 2012-12-06
Genre: Business & Economics
ISBN: 1461509319

Modelling and Forecasting Financial Data brings together a coherent and accessible set of chapters on recent research results on this topic. To make such methods readily useful in practice, the contributors to this volume have agreed to make available to readers upon request all computer programs used to implement the methods discussed in their respective chapters. Modelling and Forecasting Financial Data is a valuable resource for researchers and graduate students studying complex systems in finance, biology, and physics, as well as those applying such methods to nonlinear time series analysis and signal processing.

Nonlinear Time Series

Nonlinear Time Series
Author: Randal Douc
Publisher: CRC Press
Total Pages: 548
Release: 2014-01-06
Genre: Mathematics
ISBN: 1466502347

This text emphasizes nonlinear models for a course in time series analysis. After introducing stochastic processes, Markov chains, Poisson processes, and ARMA models, the authors cover functional autoregressive, ARCH, threshold AR, and discrete time series models as well as several complementary approaches. They discuss the main limit theorems for Markov chains, useful inequalities, statistical techniques to infer model parameters, and GLMs. Moving on to HMM models, the book examines filtering and smoothing, parametric and nonparametric inference, advanced particle filtering, and numerical methods for inference.

The Dynamics of Nonlinear Inference

The Dynamics of Nonlinear Inference
Author: Nirag Kadakia
Publisher:
Total Pages: 174
Release: 2017
Genre:
ISBN:

The determination of the hidden states of coupled nonlinear systems is frustrated by the presence of high-dimensionality, chaos, and sparse observability. This problem resides naturally in a Bayesian context: an underlying physical process produces a data stream, which--though noisy and incomplete--can in principle be inverted to express the likelihood of the underlying process itself. A large class of well-developed methods treat this problem in a sequential "predict-and-correct" manner that alternates information from the presumed dynamical model with information from the data. One might instead formulate this problem in a temporally global, non-sequential manner, which suggests new avenues of approach within an optimization context, but also poses new challenges in numerical implementation. The variational annealing (VA) technique is proposed to address these problems by leveraging an inherent separability between the convex and nonconvex contributions of the resulting functional forms. VA is shown to reliably track unobservable states in sparsely observed chaotic systems, as well as in minimally-observed biophysical neural models. Second, this problem can be formally cast in continuous time as a Wiener path integral, which then suggests classical solutions derived from Hamilton's principle. These solutions come with their own difficulties in that they comprise an unstable boundary-value problem. Accordingly, a further technique called Hamiltonian variational annealing is proposed, which again exploits an existing separability of convexity and nonlinearity, this time in an enlarged manifold constrained by underlying symmetries. A running theme in this thesis is that the optimal estimate of a nonlinear system is itself a dynamical system that lives in an unstable, symplectic manifold. When this system is recast in a variational context, instability is manifested as nonconvexity, the central idea being that when this nonconvexity is incorporated in a systemic and gradual way, the classical solutions can be tracked reliably.

Nonlinear Modeling

Nonlinear Modeling
Author: Johan A.K. Suykens
Publisher: Springer Science & Business Media
Total Pages: 265
Release: 2012-12-06
Genre: Technology & Engineering
ISBN: 1461557038

Nonlinear Modeling: Advanced Black-Box Techniques discusses methods on Neural nets and related model structures for nonlinear system identification; Enhanced multi-stream Kalman filter training for recurrent networks; The support vector method of function estimation; Parametric density estimation for the classification of acoustic feature vectors in speech recognition; Wavelet-based modeling of nonlinear systems; Nonlinear identification based on fuzzy models; Statistical learning in control and matrix theory; Nonlinear time-series analysis. It also contains the results of the K.U. Leuven time series prediction competition, held within the framework of an international workshop at the K.U. Leuven, Belgium in July 1998.