Learning Stochastic Closures Using Ensemble Kalman Inversion
T. Schneider, A. Stuart, J.-L. Wu
Accepted by Transactions of Mathematics and its Applications
Preprint at arXiv:2004.08376 (2021).
Although the governing equations of many systems, when derived from first principles, may be viewed as known, it is often too expensive to numerically simulate all the interactions they describe. Therefore researchers often seek simpler descriptions that describe complex phenomena without numerically resolving all the interacting components.
Stochastic differential equations (SDEs) arise naturally as models in this context.
The growth in data acquisition, both through experiment and through simulations, provides an opportunity for the systematic derivation of SDE models in many disciplines.
However, inconsistencies between SDEs and real data at short time scales often cause problems, when standard statistical methodology is applied to parameter estimation.
The incompatibility between SDEs and real data can be addressed by deriving sufficient statistics from the time-series data and learning parameters of SDEs based on these.
Following this approach, we formulate the fitting of SDEs to sufficient statistics from real data as an inverse problem and demonstrate that this inverse problem can be solved by using ensemble Kalman inversion (EKI). Furthermore, we create a framework for non-parametric learning of drift and diffusion terms by introducing hierarchical, refinable parameterizations of unknown functions, using Gaussian process regression. We demonstrate the proposed methodology for the fitting of SDE models, first in a simulation study with a noisy Lorenz '63 model, and then in other applications, including dimension reduction in deterministic chaotic systems arising in the atmospheric sciences, large-scale pattern modeling in climate dynamics, and simplified models for key observables arising in molecular dynamics.
The results confirm that the proposed methodology provides a robust and systematic approach to fitting SDE models to real data.