Sparsifying Priors for Bayesian Uncertainty Quantification in Model Discovery

TL;DR

This paper introduces UQ-SINDy, a Bayesian approach for discovering sparse, interpretable ODE models from data, providing uncertainty estimates and robustness against noise and limited data.

Contribution

It extends the SINDy framework by incorporating sparse Bayesian inference to quantify uncertainty and model inclusion probabilities, enhancing interpretability and robustness.

Findings

UQ-SINDy accurately identifies models with noise and limited data.

It provides meaningful uncertainty quantification for model coefficients.

The method successfully applies to synthetic and real-world data.

Abstract

We propose a probabilistic model discovery method for identifying ordinary differential equations (ODEs) governing the dynamics of observed multivariate data. Our method is based on the sparse identification of nonlinear dynamics (SINDy) framework, in which target ODE models are expressed as a sparse linear combinations of pre-specified candidate functions. Promoting parsimony through sparsity in SINDy leads to interpretable models that generalize to unknown data. Instead of targeting point estimates of the SINDy (linear combination) coefficients, in this work we estimate these coefficients via sparse Bayesian inference. The resulting method, uncertainty quantification SINDy (UQ-SINDy), quantifies not only the uncertainty in the values of the SINDy coefficients due to observation errors and limited data, but also the probability of inclusion of each candidate function in the linear combination. UQ-SINDy promotes robustness against observation noise and limited data, interpretability (in terms of model selection and inclusion probabilities), and generalization capacity for out-of-sample forecast. Sparse inference for UQ-SINDy employs Markov Chain Monte Carlo, and we explore two sparsifying priors: the spike-and-slab prior, and the regularized horseshoe prior. We apply UQ-SINDy to synthetic nonlinear data sets from a Lotka-Volterra model and a nonlinear oscillator, and to a real-world data set of lynx and hare populations. We find that UQ-SINDy is able to discover accurate and meaningful models even in the presence of noise and limited data samples.