# Quickstart

In the following, we will use some of the techniques provided by `DataDrivenDiffEq`

to infer some models.

## Linear Damped Oscillator - Dynamic Mode Decomposition

To begin, let's create our own data for the linear oscillator with damping.

```
using OrdinaryDiffEq
using Plots
gr()
using DataDrivenDiffEq
using LinearAlgebra
function linear!(du, u, p, t)
du[1] = u[2]
du[2] = -u[1] - 0.1*u[2]
end
u0 = Float64[0.99π; -0.3]
tspan = (0.0, 40.0)
problem = ODEProblem(linear!, u0, tspan)
solution = solve(problem, Tsit5(), saveat = 1.0)
plot(solution)
```

Let's assume we have just the trajectory data and let's call it `X`

. Since we gathered the data at a fixed interval of one time unit, we will try to fit a linear model. And, of course, we use a subset of the data for training and the rest for testing.

```
X = Array(solution)
approximation = DMD(X[:, 1:20])
approx_prob = DiscreteProblem(approximation, u0, tspan)
approx_sol = solve(approx_prob, FunctionMap())
```

Yeah! The model fits! But what exactly did we do?

`DMD`

is short for Dynamic Mode Decomposition, a technique which generates a linear model from data. So, given the data matrix `X`

, we simply divided it up into two data sets and performed a linear fitting between those.

Note that we fitted a **discrete** model, which fits our **continuous** data. This is possible because:

- The measurements were taken at an interval of
`1.0`

- The original, unknown model has a discrete, linear solution

To check this, we can compare the `operator`

of our linear fit with the matrix exponential of the original model.

```
dt = 1.0
K = operator(approximation)
norm(K - exp(dt*[0.0 1.0; -1.0 -0.1]), 2)
```

5 . 0 6 6 9 4 2 1 7 4 9 5 5 0 4 3 6 e - 5

The reason for using `operator`

as a function to get the corresponding matrix of the approximation is the connection of Dynamic Mode Decomposition to the Koopman Operator. You might have noticed that the return value of `DMD`

is a `LinearKoopman`

.

The `LinearKoopman`

overloads some useful functions from `LinearAlgebra`

to perform analysis. Let's have a look at the eigenvalues of the operator:

```
scatter(eigvals(approximation))
# Add the stability margin
ϕ = 0:0.01π:2π
plot!(cos.(ϕ), sin.(ϕ),
color = :red, linestyle = :dot,
label = "Stability Margin",
xlim = (-1,1), ylim = (-1,1), legend = :bottomleft)
```

For more information on the `LinearKoopman`

, have a look at the corresponding documentation.

But wait! We want a continuous model. There is also a corresponding algorithm for this : `gDMD`

! As opposed to `DMD`

, which provides a discrete model based on the direct measurements `X`

, `gDMD`

estimates the generator of the dynamical system given `X`

and the differential states `DX`

. Since we did not measure any differential states, we can just provide a vector of time measurements. `gDMD`

will automatically interpolate using DataInterpolations.jl and perform numerical differentiation using FiniteDifferences.jl.

Here, we will provide `gDMD`

with the measurement data and use a new sample time of `0.1`

```
t = solution.t
X = Array(solution)
generator_approximation = gDMD(t[1:20], X[:, 1:20], dt = 0.1)
generator_prob = ODEProblem(generator_approximation, u0 , tspan)
generator_sol = solve(generator_prob, Tsit5())
```

Since we have a continuous estimation, let's look at the `generator`

of the estimation

```
G = generator(generator_approximation)
norm(G-[0.0 1.0; -1.0 -0.1], 2)
```

0 . 0 1 7 3 6 9 7 7 3 9 7 4 2 8 7 4 5 8

## Nonlinear Systems - Extended Dynamic Mode Decomposition

But what about nonlinear systems? Even though Dynamic Mode Decomposition will help us to figure out the *best linear fit*, we are interested in figuring out all the nonlinear parts of the equations. Luckily, Koopman theory covers this! To put it very (very very) simply : If you spread out your information in many **observable functions**, you will end up with a linear system in those observables. So you might end up with a trade-off between a huge system which is linear in the observables vs a small, nonlinear system.

But how can we leverage this? We use the Extended Dynamic Mode Decomposition, or `EDMD`

for short. `EDMD`

does more or less the exact same thing like `DMD`

, but in the new `Basis`

of nonlinear observables. We will investigate now a fairly standard system, with a slow and fast manifold, for which there exists an analytical solution of this problem.

```
using OrdinaryDiffEq
using Plots
gr()
using DataDrivenDiffEq
using LinearAlgebra
using ModelingToolkit
function slow_manifold(du, u, p, t)
du[1] = p[1]*u[1]
du[2] = p[2]*(u[2]-u[1]^2)
end
u0 = [3.0; -2.0]
tspan = (0.0, 10.0)
p = [-0.05, -1.0]
problem = ODEProblem(slow_manifold, u0, tspan, p)
solution = solve(problem, Tsit5(), saveat = 0.2)
X = Array(solution)
DX = solution(solution.t, Val{1})
```

Since we want to estimate the continuous system, we also capture the trajectory of the differential states. Now, we will create our nonlinear observables, which is represented as a `Basis`

in `DataDrivenDiffEq.jl`

.

```
@variables u[1:2]
observables = [u; u[1]^2]
basis = Basis(observables, u)
```

`##Basis#330 : 3 dimensional basis in ["u₁", "u₂"]`

A `Basis`

captures a bunch of functions defined over some variables provided via ModelingToolkit.jl. Here, we included the state and `u[1]^2`

. Now, we simply call `gEDMD`

, which will compute the generator of the Koopman Operator associated with the model.

```
approximation = gEDMD(X, DX, basis)
approximation_problem = ODEProblem(approximation, u0, tspan)
generator_sol = solve(approximation_problem, Tsit5(), saveat = solution.t)
```

Looking at the eigenvalues of the system, we see that the estimated eigenvalues of the linear system are close to the true values.

## Nonlinear Systems - Sparse Identification of Nonlinear Dynamics

Okay, so far we can fit linear models via DMD and nonlinear models via EDMD. But what if we want to find a model of a nonlinear system *without moving to Koopman space*? Simple, we use Sparse Identification of Nonlinear Dynamics or `SINDy`

.

As the name suggests, `SINDy`

finds the sparsest basis of functions which build the observed trajectory. Again, we will start with a nonlinear system

```
using DataDrivenDiffEq
using ModelingToolkit
using OrdinaryDiffEq
using LinearAlgebra
using Plots
gr()
function pendulum(u, p, t)
x = u[2]
y = -9.81sin(u[1]) - 0.1u[2]
return [x;y]
end
u0 = [0.4π; 1.0]
tspan = (0.0, 20.0)
problem = ODEProblem(pendulum, u0, tspan)
solution = solve(problem, Tsit5(), atol = 1e-8, rtol = 1e-8, saveat = 0.001)
X = Array(solution)
DX = solution(solution.t, Val{1})
```

which is the simple nonlinear pendulum with damping.

Suppose we are like John and know nothing about the system, we have just the data in front of us. To apply `SINDy`

, we need three ingredients:

- A
`Basis`

containing all possible candidate functions which might be in the model - An optimizer which is able to produce a sparse output
- A threshold for the optimizer

**It might seem to you that the third point is more a parameter of the optimizer (which it is), but, nevertheless, it is a crucial decision where to cut off parameters.**

So, let's create a bunch of basis functions for our problem first

```
@variables u[1:2]
h = [u; u.^2; u.^3; sin.(u); cos.(u); 1]
basis = Basis(h, u)
```

`DataDrivenDiffEq`

comes with some optimizers to tackle sparse regression problems. Here, we will use `SR3`

, used here and introduced here. We choose a threshold of `3.5e-1`

and start the optimizer.

```
opt = SR3(3e-1, 1.0)
Ψ = SINDy(X[:, 1:1000], DX[:, 1:1000], basis, opt, maxiter = 10000, normalize = true)
```

```
##Basis#356 : 2 dimensional basis in ["u₁", "u₂"]
Parameters : SymbolicUtils.Sym{ModelingToolkit.Parameter{Real}}[p₁, p₂, p₃]
Independent variable: t
Equations
φ₁ = p₁ * u₂
φ₂ = (p₂ * u₂) + (p₃ * sin(u₁))
```

We recovered the equations! Let's transform the `SINDyResult`

into a performant piece of Julia Code using `ODESystem`

```
sys = ODESystem(Ψ)
p = parameters(Ψ)
dudt = ODEFunction(sys)
estimator = ODEProblem(dudt, u0, tspan, p)
estimation = solve(estimator, Tsit5(), saveat = solution.t)
```