Geometric path augmentation for inference of sparsely observed stochastic nonlinear systems (2301.08102v1)

Abstract: Stochastic evolution equations describing the dynamics of systems under the influence of both deterministic and stochastic forces are prevalent in all fields of science. Yet, identifying these systems from sparse-in-time observations remains still a challenging endeavour. Existing approaches focus either on the temporal structure of the observations by relying on conditional expectations, discarding thereby information ingrained in the geometry of the system's invariant density; or employ geometric approximations of the invariant density, which are nevertheless restricted to systems with conservative forces. Here we propose a method that reconciles these two paradigms. We introduce a new data-driven path augmentation scheme that takes the local observation geometry into account. By employing non-parametric inference on the augmented paths, we can efficiently identify the deterministic driving forces of the underlying system for systems observed at low sampling rates.