Sparse Identification of Nonlinear Dynamics for Stochastic Delay Differential Equations
By: Dimitri Breda , Dajana Conte , Raffaele D'Ambrosio and more
Potential Business Impact:
Unlocks secrets of moving things with delays.
A general framework for recovering drift and diffusion dynamics from sampled trajectories is presented for the first time for stochastic delay differential equations. The core relies on the well-established SINDy algorithm for the sparse identification of nonlinear dynamics. The proposed methodology combines recently proposed high-order estimates of drift and covariance for dealing with stochastic problems with augmented libraries to handle delayed arguments. Three different strategies are discussed in view of exploiting only realistically available data. A thorough comparative numerical investigation is performed on different models, which helps guiding the choice of effective and possibly outperforming schemes.
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