Overcoming error-in-variable problem in data-driven model discovery by orthogonal distance regression

TL;DR

This paper introduces ODR-BINDy, a novel approach combining orthogonal distance regression with Bayesian model selection, effectively addressing noise in data-driven discovery of dynamical systems and outperforming existing methods.

Contribution

The paper presents ODR-BINDy, a new method that incorporates ODR and Bayesian framework to improve model discovery from noisy datasets, overcoming limitations of previous approaches.

Findings

ODR-BINDy outperforms existing methods in recovering models from noisy data.

Successfully recovers Lorenz63 model with up to 30% noise.

Demonstrates robustness on Lorenz63, Rossler, and Van Der Pol systems.

Abstract

Despite the recent proliferation of machine learning methods like SINDy that promise automatic discovery of governing equations from time-series data, there remain significant challenges to discovering models from noisy datasets. One reason is that the linear regression underlying these methods assumes that all noise resides in the training target (the regressand), which is the time derivative, whereas the measurement noise is in the states (the regressors). Recent methods like modified-SINDy and DySMHO address this error-in-variable problem by leveraging information from the model's temporal evolution, but they are also imposing the equation as a hard constraint, which effectively assumes no error in the regressand. Without relaxation, this hard constraint prevents assimilation of data longer than Lyapunov time. Instead, the fulfilment of the model equation should be treated as a soft constraint to account for the small yet critical error introduced by numerical truncation. The uncertainties in both the regressor and the regressand invite the use of orthogonal distance regression (ODR). By incorporating ODR with the Bayesian framework for model selection, we introduce a novel method for model discovery, termed ODR-BINDy, and assess its performance against current SINDy variants using the Lorenz63, Rossler, and Van Der Pol systems as case studies. Our findings indicate that ODR-BINDy consistently outperforms all existing methods in recovering the correct model from sparse and noisy datasets. For instance, our ODR-BINDy method reliably recovers the Lorenz63 equation from data with noise contamination levels of up to 30%.