Weak SINDy for partial differential equations

Sparse Identification of Nonlinear Dynamics (SINDy) is a method of system discovery that has been shown to successfully recover governing dynamical systems from data [6,39]. Recently, several groups have independently discovered that the weak formulation provides orders of magnitude better robustness to noise. Here we extend our Weak SINDy (WSINDy) framework introduced in [28] to the setting of partial differential equations (PDEs). The elimination of pointwise derivative approximations via the weak form enables effective machine-precision recovery of model coefficients from noise-free data (i.e. below the tolerance of the simulation scheme) as well as robust identification of PDEs in the large noise regime (with signal-to-noise ratio approaching one in many well-known cases). This is accomplished by discretizing a convolutional weak form of the PDE and exploiting separability of test functions for efficient model identification using the Fast Fourier Transform. The resulting WSINDy algorithm for PDEs has a worst-case computational complexity of O(ND+1log⁡(N)) for datasets with N points in each of D+1 dimensions. Furthermore, our Fourier-based implementation reveals a connection between robustness to noise and the spectra of test functions, which we utilize in an a priori selection algorithm for test functions. Finally, we introduce a learning algorithm for the threshold in sequential-thresholding least-squares (STLS) that enables model identification from large libraries, and we utilize scale invariance at the continuum level to identify PDEs from poorly-scaled datasets. We demonstrate WSINDy's robustness, speed and accuracy on several challenging PDEs. Code is publicly available on GitHub at https://github.com/MathBioCU/WSINDy_PDE. •We present the WSINDy algorithm for identifying PDEs from highly-corrupted data using a convolutional weak formulation.•Efficient FFT-based implementation reveals crucial role played by test function spectra in combating measurement noise.•Scale invariance and sparsity threshold learning utilized to identify PDEs from poorly-scaled data and large libraries.•Successful PDE discovery is demonstrated for non-classical (weak) solutions as well as data from classical solutions.