Data-driven modeling of interrelated dynamical systems

Abstract Non-linear dynamical systems describe numerous real-world phenomena, ranging from the weather, to financial markets and disease progression. Individual systems may share substantial common information, for example patients’ anatomy. Lately, deep-learning has emerged as a leading method for data-driven modeling of non-linear dynamical systems. Yet, despite recent breakthroughs, prior works largely ignored the existence of shared information between different systems. However, such cases are quite common, for example, in medicine: we may wish to have a patient-specific model for some disease, but the data collected from a single patient is usually too small to train a deep-learning model. Hence, we must properly utilize data gathered from other patients. Here, we explicitly consider such cases by jointly modeling multiple systems. We show that the current single-system models consistently fail when trying to learn simultaneously from multiple systems. We suggest a framework for jointly approximating the Koopman operators of multiple systems, while intrinsically exploiting common information. We demonstrate how we can adapt to a new system using order-of-magnitude less new data and show the superiority of our model over competing methods, in terms of both forecasting ability and statistical fidelity, across chaotic, cardiac, and climate systems.