论文标题
通过一组嘈杂的观察值对微分方程的强大识别
Robust Identification of Differential Equations by Numerical Techniques from a Single Set of Noisy Observation
论文作者
论文摘要
我们提出了强大的方法,以从给定的一组嘈杂的时间依赖数据中识别基本的部分微分方程(PDE)。我们假设管理方程是规定词典中一些线性和非线性差异项的线性组合。嘈杂的数据使这种标识特别具有挑战性。我们的目标是开发可在高噪声上具有鲁棒性的方法,并很好地近似无噪声动力学。我们首先引入了连续的分化方案(SDD)方案,以稳定数值分化中的扩增噪声。 SDD有效地将给定的数据和相应的衍生物授予。其次,我们提出了两种用于PDE识别的算法:子空间追求时间进化误差(ST)和子空间追踪交叉验证(SC)。我们的一般策略是首先使用子空间Pursuit(SP)贪婪算法找到候选人集,然后通过时间演变或交叉验证选择最佳的算法。 ST使用多射击数值时间演化,并选择产生最小演化误差的PDE。 SC在最小二乘拟合中评估交叉验证误差,并选择给出最小验证误差的PDE。我们提出了PDE识别错误的统一概念,以比较相关方法的目标。我们提出各种数值实验来验证我们的方法。两种方法都对噪声均有效且鲁棒。
We propose robust methods to identify underlying Partial Differential Equation (PDE) from a given set of noisy time dependent data. We assume that the governing equation is a linear combination of a few linear and nonlinear differential terms in a prescribed dictionary. Noisy data make such identification particularly challenging. Our objective is to develop methods which are robust against a high level of noise, and to approximate the underlying noise-free dynamics well. We first introduce a Successively Denoised Differentiation (SDD) scheme to stabilize the amplified noise in numerical differentiation. SDD effectively denoises the given data and the corresponding derivatives. Secondly, we present two algorithms for PDE identification: Subspace pursuit Time evolution error (ST) and Subspace pursuit Cross-validation (SC). Our general strategy is to first find a candidate set using the Subspace Pursuit (SP) greedy algorithm, then choose the best one via time evolution or cross validation. ST uses multi-shooting numerical time evolution and selects the PDE which yields the least evolution error. SC evaluates the cross-validation error in the least squares fitting and picks the PDE that gives the smallest validation error. We present a unified notion of PDE identification error to compare the objectives of related approaches. We present various numerical experiments to validate our methods. Both methods are efficient and robust to noise.