Numerical Model Construction with Closed Observables

TL;DR

This paper introduces a method to construct macroscopic numerical models from black box simulation data using time-lagged embedding, enabling efficient analysis and control of complex systems without explicit macroscopic models.

Contribution

The paper presents a novel approach employing time-lagged embedding to build closed observable models from output data, facilitating online-offline modeling for complex systems.

Findings

Constructed models from ODE system time series and density evolution data.

Achieved three orders of magnitude faster simulations with the new models.

Demonstrated real-world applicability in modeling train passenger density flow.

Abstract

Performing analysis, optimization and control using simulations of many-particle systems is computationally demanding when no macroscopic model for the dynamics of the variables of interest is available. In case observations on the macroscopic scale can only be produced via legacy simulator code or live experiments, finding a model for these macroscopic variables is challenging. In this paper, we employ time-lagged embedding theory to construct macroscopic numerical models from output data of a black box, such as a simulator or live experiments. Since the state space variables of the constructed, coarse model are dynamically closed and observable by an observation function, we call these variables closed observables. The approach is an online-offline procedure, as model construction from observation data is performed offline and the new model can then be used in an online phase, independent of the original. We illustrate the theoretical findings with numerical models constructed from time series of a two-dimensional ordinary differential equation system, and from the density evolution of a transport-diffusion system. Applicability is demonstrated in a real-world example, where passengers leave a train and the macroscopic model for the density flow onto the platform is constructed with our approach. If only the macroscopic variables are of interest, simulation runtimes with the numerical model are three orders of magnitude lower compared to simulations with the original fine scale model. We conclude with a brief discussion of possibilities of numerical model construction in systematic upscaling, network optimization and uncertainty quantification.