Data-Driven Discovery of Governing Equations of Physical Systems

By J. Nathan Kutz

Applied Mathematics, University of Washington, Seattle, WA

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A major challenge in the study of dynamical systems is that of model discovery: turning data into models that are not just predictive, but provide insight into the nature of the underlying dynamical system that generated the data. This problem is made more difficult by the fact that many systems of interest exhibit parametric dependencies and diverse behaviors across multiple time scales. We introduce a number of data-driven strategies for discovering nonlinear multiscale dynamical systems and their embeddings from data. We consider two canonical cases: (i) systems for which we have full measurements of the governing variables, and (ii) systems for which we have incomplete measurements. For systems with full state measurements, we show that the recent sparse identification of nonlinear dynamical systems (SINDy) method can discover governing equations with relatively little data and introduce a sampling method that allows SINDy to scale efficiently to problems with multiple time scales and parametric dependencies. Specifically, we can discover distinct governing equations at slow and fast scales. For systems with incomplete observations, we show that the Hankel alternative view of Koopman (HAVOK) method, based on time-delay embedding coordinates, can be used to obtain a linear model and Koopman invariant measurement system that nearly perfectly captures the dynamics of nonlinear quasiperiodic systems. We introduce two strategies for using HAVOK on systems with multiple time scales. Together, our approaches provide a suite of mathematical strategies for reducing the data required to discover and model nonlinear multiscale systems.


J. Nathan Kutz Professor Kutz was awarded the B.S. in Physics and Mathematics from the University of Washington in 1990 and the PhD in Applied Mathematics from Northwestern University in 1994. Following postdoctoral fellowships at the Institute for Mathematics and its Applications (University of Minnesota, 1994-1995) and Princeton University (1995-1997), he joined the faculty of applied mathematics and served as Chair from 2007-2015.

He is the author of the book Data-Driven Modeling & Scientific Computation: Methods for Complex Systems & Big Data (Oxford Univ. Press, 2013). He also delivers on a regular basis Scientific Computing and Computational Methods for Data Analysis as Massive Open Online Courses (MOOCs) in the Coursera platform.

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  • J. Nathan Kutz (2019), "Data-Driven Discovery of Governing Equations of Physical Systems,"

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