Learning Stochastic Dynamical Systems with Structured Noise
Stochastic differential equations (SDEs) are a ubiquitous modeling framework that finds applications in physics, biology, engineering, social science, and finance. Due to the availability of large-scale data sets, there is growing interest in learning mechanistic models from observations with stochastic noise. In this work, we present a nonparametric framework to learn both the drift and diffusion terms in systems of SDEs where the stochastic noise is singular. Specifically, inspired by second-order equations from classical physics, we consider systems which possess structured noise, i.e. noise with a singular covariance matrix. We provide an algorithm for constructing estimators given trajectory data and demonstrate the effectiveness of our methods via a number of examples from physics and biology. As the developed framework is most naturally applicable to systems possessing a high degree of dimensionality reduction (i.e. symmetry), we also apply it to the high dimensional Cucker-Smale flocking model studied in collective dynamics and show that it is able to accurately infer the low dimensional interaction kernel from particle data.