Sparsifying priors for Bayesian uncertainty quantification in model discovery.

We propose a probabilistic model discovery method for identifying ordinary differential equations governing the dynamics of observed multivariate data. Our method is based on the sparse identification of nonlinear dynamics (SINDy) framework, where models are expressed as sparse linear combinations of pre-specified candidate functions. Promoting parsimony through sparsity leads to interpretable models that generalize to unknown data. Instead of targeting point estimates of the SINDy coefficients, we estimate these coefficients via sparse Bayesian inference. The resulting method, uncertainty quantification SINDy (UQ-SINDy), quantifies not only the uncertainty in the values of the SINDy coefficients due to observation errors and limited data, but also the probability of inclusion of each candidate function in the linear combination. UQ-SINDy promotes robustness against observation noise and limited data, interpretability (in terms of model selection and inclusion probabilities) and generalization capacity for out-of-sample forecast. Sparse inference for UQ-SINDy employs Markov chain Monte Carlo, and we explore two sparsifying priors: the spike and slab prior, and the regularized horseshoe prior. UQ-SINDy is shown to discover accurate models in the presence of noise and with orders-of-magnitude less data than current model discovery methods, thus providing a transformative method for real-world applications which have limited data.

Probabilistic density function method for nonlinear dynamical systems driven by colored noise.

We present a probability density function (PDF) method for a system of nonlinear stochastic ordinary differential equations driven by colored noise. The method provides an integrodifferential equation for the temporal evolution of the joint PDF of the system's state, which we close by means of a modified large-eddy-diffusivity (LED) closure. In contrast to the classical LED closure, the proposed closure accounts for advective transport of the PDF in the approximate temporal deconvolution of the integrodifferential equation. In addition, we introduce the generalized local linearization approximation for deriving a computable PDF equation in the form of a second-order partial differential equation. We demonstrate that the proposed closure and localization accurately describe the dynamics of the PDF in phase space for systems driven by noise with arbitrary autocorrelation time. We apply the proposed PDF method to analyze a set of Kramers equations driven by exponentially autocorrelated Gaussian colored noise to study nonlinear oscillators and the dynamics and stability of a power grid. Numerical experiments show the PDF method is accurate when the noise autocorrelation time is either much shorter or longer than the system's relaxation time, while the accuracy decreases as the ratio of the two timescales approaches unity. Similarly, the PDF method accuracy decreases with increasing standard deviation of the noise.