Weak SINDy: Galerkin-Based Data-Driven Model Selection (2005.04339v3)

Abstract: We present a weak formulation and discretization of the system discovery problem from noisy measurement data. This method of learning differential equations from data fits into a new class of algorithms that replace pointwise derivative approximations with linear transformations and a variance reduction technique. Our approach improves on the standard SINDy algorithm by orders of magnitude. We first show that in the noise-free regime, this so-called Weak SINDy (WSINDy) framework is capable of recovering the dynamic coefficients to very high accuracy, with the number of significant digits equal to the tolerance of the data simulation scheme. Next we show that the weak form naturally accounts for white noise by identifying the correct nonlinearities with coefficient error scaling favorably with the signal-to-noise ratio while significantly reducing the size of linear systems in the algorithm. In doing so, we combine the ease of implementation of the SINDy algorithm with the natural noise-reduction of integration to arrive at a more robust and user-friendly method of sparse recovery that correctly identifies systems in both small-noise and large-noise regimes.