Physics-informed machine learning for reconstruction of dynamical systems with invariant measure score matching

Abstract: In this paper, we develop a novel mesh-free framework, termed physics-informed neural networks with invariant measure score matching (PINN-IMSM), for reconstructing dynamical systems from unlabeled point-cloud data that capture the system's invariant measure. The invariant density satisfies the steady-state Fokker-Planck (FP) equation. We reformulate this equation in terms of its score function (the gradient of the log-density), which is estimated directly from data via denoising score matching, thereby bypassing explicit density estimation. This learned score is then embedded into a physics-informed neural network (PINN) to reconstruct the drift velocity field under the resulting score-based FP equation. The mesh-free nature of PINNs allows the framework to scale to higher dimensions, avoiding the curse of dimensionality inherent in mesh-based methods. To address the ill-posedness of high-dimensional inverse problems, we recast the problem as a PDE-constrained optimization that seeks the minimal-energy velocity field. Under suitable conditions, we prove that this problem admits a unique solution that depends continuously on the score function. The constrained formulation is solved using a stochastic augmented Lagrangian method. Numerical experiments on representative dynamical systems, including the Van der Pol oscillator, an active swimmer in an anharmonic trap, and the chaotic Lorenz-63 and Lorenz-96 systems, demonstrate that PINN-IMSM accurately recovers invariant measures and reconstructs faithful dynamical behavior for problems in up to five dimensions.