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SciML / DataDrivenDiffEq.jl

Data driven modeling and automated discovery of dynamical systems for the SciML Scientific Machine Learning organization
https://docs.sciml.ai/DataDrivenDiffEq/stable/
MIT License
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Initial draft for SINDy + Parameter Estimation #252

Closed AlCap23 closed 2 years ago

AlCap23 commented 3 years ago

@korsbo @ChrisRackauckas

Related to #251.

This is the implementation of SR3 + parameter estimation using a new Cache as given here in Alg. 4.

I did not add it to the main package right now, because the convergence is poor ( as stated in the Supplement ).

Gradients + Hessians check out ( compared with ForwardDiff ), also tried out using Iterative solvers oppose to NLsolve.

The example is taken from the paper above, but does not converge easily. Maybe a better approach is to use FrankWolfe with a specialised oracle or JuMP.

AlCap23 commented 2 years ago

Needs Optimisation + TransformVariables + possibly a ML estimation