Ordered Diffusion Kernels

Abstract: We introduce Ordered Diffusion Kernels (ODKs), a novel class of local kernels that can approximate the infinitesimal generator of an arbitrary Itô Stochastic Differential Equation (SDE). ODKs are designed to be applied to data sampled from dynamical systems where little dynamical information is available a priori. The Laplacian of classical diffusion kernels approximates the Laplace-Beltrami operator on the underlying manifold; adjusting the normalisation introduces an advection term that depends on the sampling density; recently, TMDmap generalised this normalisation to target an arbitrary measure, but at the cost of coupling advection to diffusion. More general local kernels can learn arbitrary second-order elliptic operators but are formulated in terms of known velocity fields --- making the first step of any analysis a potentially ill-posed inference problem. To formulate ODK, we first relax the problem of potential estimation to the more tractable task of inferring an ordering of the data, which we represent through an ordering function. We prove ODK's Laplacian converges to the infinitesimal generator of a gradient-flow SDE with state-dependent isotropic diffusion, without coupling advection and diffusion. We provide various extensions of ODK to: arbitrary drifts via local ordering functions; anisotropic diffusions via a Strang splitting scheme; multiple ordering functions; and self-tuning bandwidths. In addition, we introduce two loss functions which exploit the structure of ODKs to solve a non-parametric inference problem. We validate this framework on synthetic data from deterministic and stochastic systems, demonstrating accurate recovery of operators, velocity fields, extrinsic curvature, and spatially dependent drift and diffusion coefficients.