Sparse Identification of Nonlinear Dynamical Systems via Reweighted $\ell_1$-regularized Least Squares

This work proposes an iterative sparse-regularized regression method to recover governing equations of nonlinear dynamical systems from noisy state measurements. The method is inspired by the Sparse Identification of Nonlinear Dynamics (SINDy) approach of {\it [Brunton et al., PNAS, 113 (15) (2016) 3932-3937]}, which relies on two main assumptions: the state variables are known {\it a priori} and the governing equations lend themselves to sparse, linear expansions in a (nonlinear) basis of the state variables. The aim of this work is to improve the accuracy and robustness of SINDy in the presence of state measurement noise. To this end, a reweighted $\ell_1$-regularized least squares solver is developed, wherein the regularization parameter is selected from the corner point of a Pareto curve. The idea behind using weighted $\ell_1$-norm for regularization -- instead of the standard $\ell_1$-norm -- is to better promote sparsity in the recovery of the governing equations and, in turn, mitigate the effect of noise in the state variables. We also present a method to recover single physical constraints from state measurements. Through several examples of well-known nonlinear dynamical systems, we demonstrate empirically the accuracy and robustness of the reweighted $\ell_1$-regularized least squares strategy with respect to state measurement noise, thus illustrating its viability for a wide range of potential applications.