Robust Sparse Identification of Nonlinear Dynamics via Least Trimmed Squares

Abstract

In this work, we propose a robust Sparse Identification of Nonlinear Dynamics (SINDy) pipeline for handling datasets corrupted by noise and outliers. The method decouples outlier filtering from sparse regression by combining Iterative Least Trimmed Squares (ILTS) with Sequentially Thresholded Least Squares (STLS). Unlike standard approaches that treat all observations uniformly within a single regression stage, the proposed ILTS-SINDy framework first applies an ILTS procedure that iteratively minimizes the sum of the smallest squared residuals to identify the most reliable observations without prior knowledge of outliers, after which STLS is used to recover a parsimonious governing model. Extensive numerical experiments show that ILTS-SINDy can significantly outperform existing robust SINDy variants across a range of outlier contamination levels, with performance maintained even under settings with up to $20\%$ corrupted observations.