Joshua L. Proctor

Discovering governing equations from data by sparse identification of nonlinear dynamical systems

Significance Understanding dynamic constraints and balances in nature has facilitated rapid development of knowledge and enabled technology, including aircraft, combustion engines, satellites, and electrical power. This work develops a novel framework to discover governing equations underlying a dynamical system simply from data measurements, leveraging advances in sparsity techniques and machine learning. The resulting models are parsimonious, balancing model complexity with descriptive ability while avoiding overfitting. There are many critical data-driven problems, such as understanding cognition from neural recordings, inferring climate patterns, determining stability of financial markets, predicting and suppressing the spread of disease, and controlling turbulence for greener transportation and energy. With abundant data and elusive laws, data-driven discovery of dynamics will continue to play an important role in these efforts. Extracting governing equations from data is a central challenge in many diverse areas of science and engineering. Data are abundant whereas models often remain elusive, as in climate science, neuroscience, ecology, finance, and epidemiology, to name only a few examples. In this work, we combine sparsity-promoting techniques and machine learning with nonlinear dynamical systems to discover governing equations from noisy measurement data. The only assumption about the structure of the model is that there are only a few important terms that govern the dynamics, so that the equations are sparse in the space of possible functions; this assumption holds for many physical systems in an appropriate basis. In particular, we use sparse regression to determine the fewest terms in the dynamic governing equations required to accurately represent the data. This results in parsimonious models that balance accuracy with model complexity to avoid overfitting. We demonstrate the algorithm on a wide range of problems, from simple canonical systems, including linear and nonlinear oscillators and the chaotic Lorenz system, to the fluid vortex shedding behind an obstacle. The fluid example illustrates the ability of this method to discover the underlying dynamics of a system that took experts in the community nearly 30 years to resolve. We also show that this method generalizes to parameterized systems and systems that are time-varying or have external forcing.

Dynamic Mode Decomposition with Control

We develop a new method which extends dynamic mode decomposition (DMD) to incorporate the effect of control to extract low-order models from high-dimensional, complex systems. DMD finds spatial-temporal coherent modes, connects local-linear analysis to nonlinear operator theory, and provides an equation-free architecture which is compatible with compressive sensing. In actuated systems, DMD is incapable of producing an input-output model; moreover, the dynamics and the modes will be corrupted by external forcing. Our new method, dynamic mode decomposition with control (DMDc), capitalizes on all of the advantages of DMD and provides the additional innovation of being able to disambiguate between the underlying dynamics and the effects of actuation, resulting in accurate input-output models. The method is data-driven in that it does not require knowledge of the underlying governing equations---only snapshots in time of observables and actuation data from historical, experimental, or black-box simulations. W...

Passive mode-locking by use of waveguide arrays

A novel mode-locking technique is presented in which the intensity-dependent spatial coupling dynamics of a waveguide array is used to achieve temporal mode-locking in a passive optical fiber laser. By use of the discrete, nearest-neighbor spatial coupling of the waveguide array, low-intensity light can be transferred to the neighboring waveguides and ejected (attenuated) from the laser cavity. In contrast, higher-intensity light is self-focused in the waveguide and remains largely unaffected. Numerical studies of this pulse shaping mechanism (intensity discrimination) show that using current waveguide arrays and standard optical fiber technology produces stable and robust mode-locked soliton-like pulses.

Nonlinear mode-coupling for passive mode-locking: application of waveguide arrays, dual-core fibers, and/or fiber arrays

A detailed analysis of mode-locking is presented in which the nonlinear mode-coupling behavior in a waveguide array, dual-core fiber, and/or fiber array is used to achieve stable and robust passive modelocking. By using the discrete, nearest-neighbor spatial coupling of these nonlinear mode-coupling devices, low-intensity light can be transferred to the neighboring waveguides and ejected (attenuated) from the laser cavity. In contrast, higher intensity light is self-focused in the launch waveguide and remains largely unaffected. This nonlinear effect, which is a discrete Kerr lens effect, leads to the temporal intensity discrimination required in the laser cavity for mode-locking. Numerical studies of this pulse shaping mechanism show that using current waveguide arrays, fiber-arrays, or dual-core fibers in conjunction with standard optical fiber technology, stable and robustmode-locked soliton-like pulses are produced.

Koopman Invariant Subspaces and Finite Linear Representations of Nonlinear Dynamical Systems for Control.

In this work, we explore finite-dimensional linear representations of nonlinear dynamical systems by restricting the Koopman operator to an invariant subspace spanned by specially chosen observable functions. The Koopman operator is an infinite-dimensional linear operator that evolves functions of the state of a dynamical system. Dominant terms in the Koopman expansion are typically computed using dynamic mode decomposition (DMD). DMD uses linear measurements of the state variables, and it has recently been shown that this may be too restrictive for nonlinear systems. Choosing the right nonlinear observable functions to form an invariant subspace where it is possible to obtain linear reduced-order models, especially those that are useful for control, is an open challenge. Here, we investigate the choice of observable functions for Koopman analysis that enable the use of optimal linear control techniques on nonlinear problems. First, to include a cost on the state of the system, as in linear quadratic regulator (LQR) control, it is helpful to include these states in the observable subspace, as in DMD. However, we find that this is only possible when there is a single isolated fixed point, as systems with multiple fixed points or more complicated attractors are not globally topologically conjugate to a finite-dimensional linear system, and cannot be represented by a finite-dimensional linear Koopman subspace that includes the state. We then present a data-driven strategy to identify relevant observable functions for Koopman analysis by leveraging a new algorithm to determine relevant terms in a dynamical system by ℓ1-regularized regression of the data in a nonlinear function space; we also show how this algorithm is related to DMD. Finally, we demonstrate the usefulness of nonlinear observable subspaces in the design of Koopman operator optimal control laws for fully nonlinear systems using techniques from linear optimal control.

Chaos as an intermittently forced linear system

Understanding the interplay of order and disorder in chaos is a central challenge in modern quantitative science. Approximate linear representations of nonlinear dynamics have long been sought, driving considerable interest in Koopman theory. We present a universal, data-driven decomposition of chaos as an intermittently forced linear system. This work combines delay embedding and Koopman theory to decompose chaotic dynamics into a linear model in the leading delay coordinates with forcing by low-energy delay coordinates; this is called the Hankel alternative view of Koopman (HAVOK) analysis. This analysis is applied to the Lorenz system and real-world examples including Earth’s magnetic field reversal and measles outbreaks. In each case, forcing statistics are non-Gaussian, with long tails corresponding to rare intermittent forcing that precedes switching and bursting phenomena. The forcing activity demarcates coherent phase space regions where the dynamics are approximately linear from those that are strongly nonlinear.The huge amount of data generated in fields like neuroscience or finance calls for effective strategies that mine data to reveal underlying dynamics. Here Brunton et al.develop a data-driven technique to analyze chaotic systems and predict their dynamics in terms of a forced linear model.

Inferring Biological Networks by Sparse Identification of Nonlinear Dynamics

Inferring the structure and dynamics of network models is critical to understanding the functionality and control of complex systems, such as metabolic and regulatory biological networks. The increasing quality and quantity of experimental data enable statistical approaches based on information theory for model selection and goodness-of-fit metrics. We propose an alternative data-driven method to infer networked nonlinear dynamical systems by using sparsity-promoting optimization to select a subset of nonlinear interactions representing dynamics on a network. In contrast to standard model selection methods-based upon information content for a finite number of heuristic models (order 10 or less), our model selection procedure discovers a parsimonious model from a combinatorially large set of models, without an exhaustive search. Our particular innovation is appropriate for many biological networks, where the governing dynamical systems have rational function nonlinearities with cross terms, thus requiring an implicit formulation and the equations to be identified in the null-space of a library of mixed nonlinearities, including the state and derivative terms. This method, implicit-SINDy, succeeds in inferring three canonical biological models: 1) Michaelis-Menten enzyme kinetics; 2) the regulatory network for competence in bacteria; and 3) the metabolic network for yeast glycolysis.

Averaged models for passive mode-locking using nonlinear mode-coupling

An averaged mode-locking model is presented in which the nonlinear mode-coupling behavior in a wave-guide array, dual-core fiber, and/or fiber array is used to achieve stable and robust passive mode-locking. By using the discrete, nearest-neighbor spatial coupling of these nonlinear mode-coupling devices, low-intensity light can be transferred to the neighboring wave-guides and attenuated. In contrast, higher intensity light is self-focused in the launch wave-guide and remains largely unaffected. This nonlinear effect, which is described by linearly coupled nonlinear Schrodinger equations, leads to the temporal intensity discrimination required in the laser cavity for mode-locking. Computations of this pulse shaping mechanism show that stable and robust mode-locked soliton-like pulses can be produced in this master mode-locking model.

Generalizing Koopman Theory to allow for inputs and control

We develop a new generalization of Koopman operator theory that incorporates the effects of inputs and control. Koopman spectral analysis is a theoretical tool for the analysis of nonlinear dynamical systems. Moreover, Koopman is intimately connected to Dynamic Mode Decomposition (DMD), a method that discovers spatial-temporal coherent modes from data, connects local-linear analysis to nonlinear operator theory, and importantly creates an equation-free architecture allowing investigation of complex systems. In actuated systems, standard Koopman analysis and DMD are incapable of producing input-output models; moreover, the dynamics and the modes will be corrupted by external forcing. Our new theoretical developments extend Koopman operator theory to allow for systems with nonlinear input-output characteristics. We show how this generalization is rigorously connected and generalizes a recent development called Dynamic Mode Decomposition with control (DMDc). We demonstrate this new theory on nonlinear dynamical systems, including a standard Susceptible-Infectious-Recovered model with relevance to the analysis of infectious disease data with mass vaccination (actuation).

Model selection for dynamical systems via sparse regression and information criteria

We develop an algorithm for model selection which allows for the consideration of a combinatorially large number of candidate models governing a dynamical system. The innovation circumvents a disadvantage of standard model selection which typically limits the number of candidate models considered due to the intractability of computing information criteria. Using a recently developed sparse identification of nonlinear dynamics algorithm, the sub-selection of candidate models near the Pareto frontier allows feasible computation of Akaike information criteria (AIC) or Bayes information criteria scores for the remaining candidate models. The information criteria hierarchically ranks the most informative models, enabling the automatic and principled selection of the model with the strongest support in relation to the time-series data. Specifically, we show that AIC scores place each candidate model in the strong support, weak support or no support category. The method correctly recovers several canonical dynamical systems, including a susceptible-exposed-infectious-recovered disease model, Burgers’ equation and the Lorenz equations, identifying the correct dynamical system as the only candidate model with strong support.