Learning dynamical systems from noisy data with inverse-explicit integrators

Abstract

We introduce the mean inverse integrator (MII), a novel approach that improves accuracy when training neural networks to approximate vector fields of dynamical systems using noisy data. This method can be used to average multiple trajectories obtained by numerical integrators such as Runge–Kutta methods. We show that the class of mono-implicit Runge–Kutta methods (MIRK) offers significant advantages when used in connection with MII. When training vector field approximations, explicit expressions for the loss functions are obtained by inserting the training data in the MIRK formulae. This allows the use of symmetric and high-order integrators without requiring the solution of non-linear systems of equations. The combined approach of applying MIRK within MII yields a significantly lower error compared to the plain use of the numerical integrator without averaging the trajectories. This is demonstrated with extensive numerical experiments using data from chaotic and high-dimensional Hamiltonian systems. Additionally, we perform a sensitivity analysis of the loss functions under normally distributed perturbations, providing theoretical support for the favorable performance of MII and symmetric MIRK methods.