Bayesian Dynamical System Identification With Unified Sparsity Priors And Model Uncertainty

Abstract: This work is concerned with uncertainty quantification in reduced-order dynamical system identification. Reduced-order models for system dynamics are ubiquitous in design and control applications and recent efforts focus on their data-driven construction. Our starting point is the sparse-identification of nonlinear dynamics (SINDy) framework, which reformulates system identification as a regression problem, where unknown functions are approximated from a sparse subset of an underlying library. In this manuscript, we formulate this system identification method in a Bayesian framework to handle parameter and structural model uncertainties. We present a general approach to enforce sparsity, which builds on the recently introduced class of neuronized priors. We perform comparisons between different variants such as Lasso, horseshoe, and spike and slab priors, which are all obtained by modifying a single activation function. We also outline how state observation noise can be incorporated with a probabilistic state-space model. The resulting Bayesian regression framework is robust and simple to implement. We apply the method to two generic numerical applications, the pendulum and the Lorenz system, and one aerodynamic application using experimental measurements.