Active operator inference for learning low-dimensional dynamical-system models from noisy data (2107.09256v2)

Abstract: Noise poses a challenge for learning dynamical-system models because already small variations can distort the dynamics described by trajectory data. This work builds on operator inference from scientific machine learning to infer low-dimensional models from high-dimensional state trajectories polluted with noise. The presented analysis shows that, under certain conditions, the inferred operators are unbiased estimators of the well-studied projection-based reduced operators from traditional model reduction. Furthermore, the connection between operator inference and projection-based model reduction enables bounding the mean-squared errors of predictions made with the learned models with respect to traditional reduced models. The analysis also motivates an active operator inference approach that judiciously samples high-dimensional trajectories with the aim of achieving a low mean-squared error by reducing the effect of noise. Numerical experiments with high-dimensional linear and nonlinear state dynamics demonstrate that predictions obtained with active operator inference have orders of magnitude lower mean-squared errors than operator inference with traditional, equidistantly sampled trajectory data.