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- W4302321894 abstract "Enforcing sparse structure within learning has led to significant advances in the field of data-driven discovery of dynamical systems. However, such methods require access not only to time-series of the state of the dynamical system, but also to the time derivative. In many applications, the data are available only in the form of time-averages such as moments and autocorrelation functions. We propose a sparse learning methodology to discover the vector fields defining a (possibly stochastic or partial) differential equation, using only time-averaged statistics. Such a formulation of sparse learning naturally leads to a nonlinear inverse problem to which we apply the methodology of ensemble Kalman inversion (EKI). EKI is chosen because it may be formulated in terms of the iterative solution of quadratic optimization problems; sparsity is then easily imposed. We then apply the EKI-based sparse learning methodology to various examples governed by stochastic differential equations (a noisy Lorenz 63 system), ordinary differential equations (Lorenz 96 system and coalescence equations), and a partial differential equation (the Kuramoto-Sivashinsky equation). The results demonstrate that time-averaged statistics can be used for data-driven discovery of differential equations using sparse EKI. The proposed sparse learning methodology extends the scope of data-driven discovery of differential equations to previously challenging applications and data-acquisition scenarios." @default.
- W4302321894 created "2022-10-06" @default.
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- W4302321894 date "2020-07-12" @default.
- W4302321894 modified "2023-09-26" @default.
- W4302321894 title "Ensemble Kalman Inversion for Sparse Learning of Dynamical Systems from Time-Averaged Data" @default.
- W4302321894 doi "https://doi.org/10.48550/arxiv.2007.06175" @default.
- W4302321894 hasPublicationYear "2020" @default.
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