RESUMEN
The detection of anomalies or transitions in complex dynamical systems is of critical importance to various applications. In this study, we propose the use of machine learning to detect changepoints for high-dimensional dynamical systems. Here, changepoints indicate instances in time when the underlying dynamical system has a fundamentally different characteristic-which may be due to a change in the model parameters or due to intermittent phenomena arising from the same model. We propose two complementary approaches to achieve this, with the first devised using arguments from probabilistic unsupervised learning and the latter devised using supervised deep learning. To accelerate the deployment of transition detection algorithms in high-dimensional dynamical systems, we introduce dimensionality reduction techniques. Our experiments demonstrate that transitions can be detected efficiently, in real-time, for the two-dimensional forced Kolmogorov flow and the Rössler dynamical system, which are characterized by anomalous regimes in phase space where dynamics are perturbed off the attractor at potentially uneven intervals. Finally, we also demonstrate how variations in the frequency of detected changepoints may be utilized to detect a significant modification to the underlying model parameters by utilizing the Lorenz-63 dynamical system.
RESUMEN
Motivated by the computational difficulties incurred by popular deep learning algorithms for the generative modeling of temporal densities, we propose a cheap alternative that requires minimal hyperparameter tuning and scales favorably to high-dimensional problems. In particular, we use a projection-based optimal transport solver [Meng et al.,Advances in Neural Information Processing Systems (Curran Associates, 2019), Vol. 32] to join successive samples and, subsequently, use transport splines (Chewi et al., 2020) to interpolate the evolving density. When the sampling frequency is sufficiently high, the optimal maps are close to the identity and are, thus, computationally efficient to compute. Moreover, the training process is highly parallelizable as all optimal maps are independent and can, thus, be learned simultaneously. Finally, the approach is based solely on numerical linear algebra rather than minimizing a nonconvex objective function, allowing us to easily analyze and control the algorithm. We present several numerical experiments on both synthetic and real-world datasets to demonstrate the efficiency of our method. In particular, these experiments show that the proposed approach is highly competitive compared with state-of-the-art normalizing flows conditioned on time across a wide range of dimensionalities.
RESUMEN
In this work, we propose a method to learn multivariate probability distributions using sample path data from stochastic differential equations. Specifically, we consider temporally evolving probability distributions (e.g., those produced by integrating local or nonlocal Fokker-Planck equations). We analyze this evolution through machine learning assisted construction of a time-dependent mapping that takes a reference distribution (say, a Gaussian) to each and every instance of our evolving distribution. If the reference distribution is the initial condition of a Fokker-Planck equation, what we learn is the time-T map of the corresponding solution. Specifically, the learned map is a multivariate normalizing flow that deforms the support of the reference density to the support of each and every density snapshot in time. We demonstrate that this approach can approximate probability density function evolutions in time from observed sampled data for systems driven by both Brownian and Lévy noise. We present examples with two- and three-dimensional, uni- and multimodal distributions to validate the method.
RESUMEN
We investigate the application of artificial neural networks to stabilize proper orthogonal decomposition-based reduced order models for quasistationary geophysical turbulent flows. An extreme learning machine concept is introduced for computing an eddy-viscosity closure dynamically to incorporate the effects of the truncated modes. We consider a four-gyre wind-driven ocean circulation problem as our prototype setting to assess the performance of the proposed data-driven approach. Our framework provides a significant reduction in computational time and effectively retains the dynamics of the full-order model during the forward simulation period beyond the training data set. Furthermore, we show that the method is robust for larger choices of time steps and can be used as an efficient and reliable tool for long time integration of general circulation models.